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The regulatory credit value adjustment (CVA) for an outstanding over-the-counter (OTC) derivative portfolio is computed based on the portfolio exposure over its lifetime. Usually, the future portfolio exposure is approximated using the Monte Carlo simulation, as the portfolio value can be driven by several market risk-factors. For derivatives, such as Bermudan swaptions, that do not have an analyt

This paper describes an American Monte Carlo approach for obtaining fast and accurate exercise policies for pricing of callable LIBOR Exotics (e.g., Bermudan swaptions) in the LIBOR market model using the Stochastic Grid Bundling Method (SGBM). SGBM is a bundling and regression based Monte Carlo method where the continuation value is projected onto a space where the distribution is known. We also

Developing an ability to independently formulate research questions is an important goal in doctoral education. During a seminar in the “Docent course”, accredited by Genombrottet at Lund University, the authors behind this paper ended up in a discussion on the actual conditions for developing such ability. During the discussions, the authors, based on their own experiences, identified several con

This paper presents an assessment framework for methodologies under development. It is adapted from the evaluation framework for the design of an engineering model developed by Ben Ahmed and colleagues [1]. The assessment framework allows to take into account in a systematic way characteristics (that is, main categories or classes of potential requirements) that are of importance for the assessmen

INTRODUCTION: Huntington's disease (HD) is an incurable chronic neurodegenerative disorder that typically presents in mid-life with a range of motor, cognitive and affective problems. Patients are currently managed using a combination of drug treatments and non-pharmacological therapies but at present there is no "gold standard" treatment for any aspect of the disease.AREAS COVERED: In this review

We propose a novel approach to the problem of inverse kinematics for possibly redundant planar manipulators. We show that, by considering the joints as point masses in a fictitious gravity field, and by adding proper constraints to take into account the length of the links, the kinematic inversion may be cast as a convex programming problem. Convex constraints in the decision variables (in particu

The simulation approach is an important tool used for the design and implementation of mobile radio systems with an emphasis on the propagation modeling for wireless channel. We carried out simulations for three different street positions scenarios of the receiver, (mobile station), using the geometrical-based single bounce elliptical channel model, as might be appropriate for microcellular applic

The strong process forces arising during high-speed machining operations, combined with the limited stiffness of industrial robots, have hampered the usage of industrial robots in high-end milling tasks. However, since such manipulators may offer flexible and cost-effective machining solutions, a three-dimensional piezo-actuated compensation mechanism, which aims to compensate for the positioning

Popular Abstract in Swedish Omkring hälften av alla kvinnor kommer någon gång efter 50 års ålder att drabbas av ett benbrott. Ett benbrott ger upphov till smärta, en risk för långvarig invaliditet och förtida död. Det är viktigt att försöka hitta dem som riskerar att drabbas, eftersom det möjliggör förebyggande behandling. Hur stor risken är att man drabbas av ett benbrott på äldre dagar beror fraApproximately half of all women will sustain a fracture after the age of 50. Fractures may cause long-term disability and excess mortality. Identifying individuals at high risk of sustaining a fracture is important in the development of primary and secondary prevention strategies. In this study, initiated to identify factors associated with a high risk of future fractures, 1 044 women, all 75 yea

In Western classical music traditions, conventional ways of considering melody have been established. The tones of a melody phrase might be experienced as building up a continuous line moving between dynamical culmination points and relaxation points. In this study, a special visual tool called the Melody phrasing curve (MPhC) has been tested. The MPhC is designed according to some established con

Long-term instability in multiplanet exosystems is a crucial consideration when confirming putative candidates, analysing exoplanet populations, constraining the age of exosystems and identifying the sources of white dwarf pollution. Two planets that are Hill stable are separated by a wide-enough distance to ensure that they will never collide. However, Hill-stable planetary systems may eventually