We examine using the Stochastic Grid Bundling Method (SGBM) to price a Bermudan swaption driven by a one-factor LIBOR Market Model (LMM). Using a wellknown approximation formula from the finance literature, we implement SGBM with one basis function and show that it is around six times faster than the equivalent Longstaff–Schwartz method. The two methods agree in price to one basis point, and th...

The paper presents recent developments in Morfeusz – a morphological analyser for Polish. The program, being already a fundamental resource for processing Polish, has been reimplemented with some important changes in the tagset, some new options, added information on proper names, and ability to perform simple prefix derivation. The present version of Morfeusz (including its dictionaries) is ma...

in this study economic and welfare impacts of establishing irrigation water market in qazvin province as well as potentiality of irrigation water transfer under stress irrigation conditions in the cities of qazvin province were analyzed. to achieve the above objectives, positive mathematical programming model and state wide agricultural production functions were used. to achieve applicable resu...

This study empirically examines the effect of foreign exchange (FX) market liquidity risk and volatility on the excess returns of currency carry trades. In contrast to the existent literature, we construct an alternative proxy of liquidity risk violations of no arbitrage bounds in the forward and currency swap markets. We also use volatility smile data to capture FX-market specific volatility. ...

Greif (1989, 1993) argues that reputations provide a solution to the agent problem deriving from information asymmetry when principal-agent relations are confined within a closed group. This raises an interesting question of whether or not reputations provide a solution to the lemon’s market problem (Akerlof, 1970) when the market has open boundaries. In order to address this question, we creat...