User Perceptions of Gmail’s Confidential Mode

Gmail’s confidential mode enables a user to send confidential emails and control access to their content through setting an expiration time and passcode, pre-expiry access revocation, and prevention of email forwarding, downloading, and printing. This paper aims to understand user perceptions and motivations for using Gmail’s confidential mode (GCM). Our structured interviews with 19 Gmail users at UNC Charlotte show that users utilize this mode to share their private documents with recipients and perceive that this mode encrypts their emails and attachments. The most commonly used feature of this mode is the default time expiration of one week, and the least used feature is the pre-expiry access revocation. Our analysis suggests several design improvements.

Reflected and doubly reflected BSDEs driven by RCLL martingales

We prove some new results on reflected BSDEs and doubly reflected BSDEs driven by a multi-dimensional RCLL martingale. The goal is to develop a general multi-asset framework encompassing a wide spectrum of nonlinear financial models, including as particular cases the setups studied by Peng and Xu [BSDEs with random default time and their applications to default risk, working paper, preprint (2009), arXiv:0910.2091] and Dumitrescu et al. [BSDEs with default jump, in Computation and Combinatorics in Dynamics, Stochastics and Control, Abel Symposia, Vol. 13, eds. E. Celledoni, G. Di Nunno, K. Ebrahimi-Fard and H. Munthe-Kaas (Springer, Cham, 2018), pp. 233–263] who examined BSDEs driven by a one-dimensional Brownian motion and a purely discontinuous martingale with a single jump. Our results are not covered by existing literature on reflected and doubly reflected BSDEs driven by a Brownian motion and a Poisson random measure.

Modeling the Dependence of Losses of a Financial Portfolio Using Nested Archimedean Copulas

In financial analysis, stochastic models are more and more used to estimate potential outcomes in a risky framework. This paper proposes an approach of modeling the dependence of losses on securities, and the potential loss of the portfolio is divided into sectors each including two subsectors. The Weibull model is used to describe the stochastic behavior of the default time while a nested class of Archimedean copulas at three levels is used to model the maximum of the value at risk of the portfolio.

A Bank Salvage Model by Impulse Stochastic Controls

The present paper is devoted to the study of a bank salvage model with a finite time horizon that is subjected to stochastic impulse controls. In our model, the bank’s default time is a completely inaccessible random quantity generating its own filtration, then reflecting the unpredictability of the event itself. In this framework the main goal is to minimize the total cost of the central controller, which can inject capitals to save the bank from default. We address the latter task, showing that the corresponding quasi-variational inequality (QVI) admits a unique viscosity solution—Lipschitz continuous in space and Hölder continuous in time. Furthermore, under mild assumptions on the dynamics the smooth-fit W l o c ( 1 , 2 ) , p property is achieved for any 1 < p < + ∞ .

Listening to birdsong reveals basic features of rate perception and aesthetic judgements

The timing of acoustic events is central to human speech and music. Tempo tends to be slower in aesthetic contexts: rates in poetic speech and music are slower than non-poetic, running speech. We tested whether a general aesthetic preference for slower rates can account for this, using birdsong as a stimulus: it structurally resembles human sequences but is unbiased by their production or processing constraints. When listeners selected the birdsong playback tempo that was most pleasing, they showed no bias towards any range of note rates. However, upon hearing a novel stimulus, listeners rapidly formed a robust, implicit memory of its temporal properties, and developed a stimulus-specific preference for the memorized tempo. Interestingly, tempo perception in birdsong stimuli was strongly determined by individual, internal preferences for rates of 1–2 Hz. This suggests that processing complex sound sequences relies on a default time window, while aesthetic appreciation appears flexible, experience-based and not determined by absolute event rates.

Option Pricing for Path-Dependent Options with Assets Exposed to Multiple Defaults Risk

In the present paper, we derive analytical formulas for barrier and lookback options with underlying assets exposed to multiple defaults risks which include exogenous counterparty default risk and endogenous default risk. The endogenous default risk leads the asset price drop to zero and the exogenous counterparty default risk induces a drop in the asset price, but the asset can still be traded after this default time. An original technique is developed to valuate the barrier and lookback options by first conditioning on the predefault and the afterdefault time and then obtaining the unconditional analytic formulas for their price. We also compare the pricing results of our model with the default-free option model and exogenous counterparty default risk option model.

Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment

The one-side defaultable financial derivatives valuation problems have been studied extensively, but the valuation of bilateral derivatives with asymmetric credit qualities is still lacking convincing mechanism. This paper presents an analytical model for valuing derivatives subject to default by both counterparties. The default-free interest rates are modeled by the Market Models, while the default time is modeled by the reduced-form model as the first jump of a time-inhomogeneous Poisson process. All quantities modeled are market-observable. The closed-form solution gives us a better understanding of the impact of the credit asymmetry on swap value, credit value adjustment, swap rate and swap spread.

Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment

The one-side defaultable financial derivatives valuation problems have been studied extensively, but the valuation of bilateral derivatives with asymmetric credit qualities is still lacking convincing mechanism. This paper presents an analytical model for valuing derivatives subject to default by both counterparties. The default-free interest rates are modeled by the Market Models, while the default time is modeled by the reduced-form model as the first jump of a time-inhomogeneous Poisson process. All quantities modeled are market-observable. The closed-form solution gives us a better understanding of the impact of the credit asymmetry on swap value, credit value adjustment, swap rate and swap spread.

Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment

The one-side defaultable financial derivatives valuation problems have been studied extensively, but the valuation of bilateral derivatives with asymmetric credit qualities is still lacking convincing mechanism. This paper presents an analytical model for valuing derivatives subject to default by both counterparties. The default-free interest rates are modeled by the Market Models, while the default time is modeled by the reduced-form model as the first jump of a time-inhomogeneous Poisson process. All quantities modeled are market-observable. The closed-form solution gives us a better understanding of the impact of the credit asymmetry on swap value, credit value adjustment, swap rate and swap spread.