Pricing and hedging bond options and sinking-fund bonds under the CIR model

<abstract><p>This article derives simple closed-form solutions for computing Greeks of zero-coupon and coupon-bearing bond options under the CIR interest rate model, which are shown to be accurate, easy to implement, and computationally highly efficient. These novel analytical solutions allow us to extend the literature in two other directions. First, the static hedging portfolio approach is used for pricing and hedging American-style plain-vanilla zero-coupon bond options under the CIR model. Second, we derive analytically the comparative static properties of sinking-fund bonds under the same interest rate modeling setup.</p></abstract>

Employing e-portfolio based learning in improving self-efficacy of student’s speaking ability

This research aimed at knowing the effectiveness of online learning design with an e-portfolio approach in increasing self-efficacy in speaking ability. Seventy-seven students were involved in this study. They are in the second semester of a vocational college in Business Administration Department in the academic year 2020/2021. This research is experimental research with implementing paired samples t-test as the measurement tool in knowing the effectiveness of e-portfolio based learning by finding the t score and the sig value before and after the implementation of the teaching method. The result of this study showed that e-portfolio based learning had a significant effect on the student's self-efficacy in their speaking ability. It was indicated by the value of the sig and t result from paired samples t-test analysis which was showed 0.000 as the sig value and -20.551 as the t count. The result of sig value which is below 0.05 and the t-count which is above t-table were clear indicators to argue that e-portfolio significantly impacted the student's self-efficacy in speaking ability. In this case, the variables of self-efficacy in speaking ability were improved significantly by the implementation of e-portfolio based learning. Even the implementation of e-portfolio brings many positive impacts on the students, some limitations lie on this method implementation. The limitation of this method lies in the time execution and the number of students who are taught by the lecturer.

BUILDING STUDENT RESUME USING THE EPORTFOLIO APPROACH

Before the development of the web, we talk about the portfolio; it was represented by a simple portfolio of student skills in paper form. This form of representation of skills and professional career has continued to develop over the years. After a succession of several stages in the concept of the portfolio, this simple paper form was transformed into a digital form called an e-portfolio [1, 5], which is centered on the personal and collective learning dynamics throughout the life of the student [10]. The resume is the first door to professional integration [7]. But the paper resume remains a document too linear and has not adapted to the complexity of current modes and channels of communication. The objective of our research work is the building resume student using the e-portfolio approach, allowing students to build and improve academic and extra-academic achievements while being part of a lifelong learning approach, to develop their digital identity and visibility by capitalizing on training achievements and skills obtained.

Optimal portfolios in the presence of stress scenarios A worst-case approach

Insurance companies and banks regularly have to face stress tests performed by regulatory instances. To model their investment decision problems that includes stress scenarios, we propose the worst-case portfolio approach. Thus, the resulting optimal portfolios are already stress test prone by construction. A central issue of the worst-case portfolio approach is that neither the time nor the order of occurrence of the stress scenarios are known. Even more, there are no probabilistic assumptions regarding the occurrence of the stresses. By defining the relative worst-case loss and introducing the concept of minimum constant portfolio processes, we generalize the traditional concepts of the indifference frontier and the indifference-optimality principle. We prove the existence of a minimum constant portfolio process that is optimal for the multi-stress worst-case problem. As a main result we derive a verification theorem that provides conditions on Lagrange multipliers and nonlinear ordinary differential equations that support the construction of optimal worst-case portfolio strategies. The practical applicability of the verification theorem is demonstrated via numerical solution of various worst-case problems with stresses. There, it is in particular shown that an investor who chooses the worst-case optimal portfolio process may have a preference regarding the order of stresses, but there may also be stress scenarios where he/she is indifferent regarding the order and time of occurrence.