Valuation and Hedging of Contracts with Funding Costs and Collateralization

The research presented in this work is motivated by recent papers by Brigo et al. (2011), Burgard and Kjaer (2009), Cr\'epey (2012), Fujii and Takahashi (2010), Piterbarg (2010) and Pallavicini et al. (2012). Our goal is to provide a sound theoretical underpinning for some results presented in these papers by developing a unified framework for the non-linear approach to hedging and pricing of OTC financial contracts. We introduce a systematic approach to valuation and hedging in nonlinear markets, that is, in markets where cash flows of the financial contracts may depend on the hedging strategies. Our systematic approach allows to identify primary sources of and quantify various adjustment to valuation and hedging, primarily the funding and liquidity adjustment and credit risk adjustment. We propose a way to define no-arbitrage in such nonlinear markets, and we provide conditions that imply absence of arbitrage in some specific market trading models. Accordingly, we formulate a concept of no-arbitrage price, and we provide relevant (non-linear) BSDE that produces the no-arbitrage price in case when the contract's cash flows can be replicated

Parallel Tiled Code Generation with Loop Permutation within Tiles

An approach of generation of tiled code with an arbitrary order of loops within tiles is presented. It is based on the transitive closure of the program dependence graph and derived via a combination of the Polyhedral and Iteration Space Slicing frameworks. The approach is explained by means of a working example. Details of an implementation of the approach in the TRACO compiler are outlined. Increasing tiled program performance due to loop permutation within tiles is illustrated on real-life programs from the NAS Parallel Benchmark suite. An analysis of speed-up and scalability of parallel tiled code with loop permutation is presented

TRACO: Source-to-Source Parallelizing Compiler

The paper presents a source-to-source compiler, TRACO, for automatic extraction of both coarse- and fine-grained parallelism available in C/C++ loops. Parallelization techniques implemented in TRACO are based on the transitive closure of a relation describing all the dependences in a loop. Coarse- and fine-grained parallelism is represented with synchronization-free slices (space partitions) and a legal loop statement instance schedule (time partitions), respectively. TRACO enables also applying scalar and array variable privatization as well as parallel reduction. On its output, TRACO produces compilable parallel OpenMP C/C++ and/or OpenACC C/C++ code. The effectiveness of TRACO, efficiency of parallel code produced by TRACO, and the time of parallel code production are evaluated by means of the NAS Parallel Benchmark and Polyhedral Benchmark suites. These features of TRACO are compared with closely related compilers such as ICC, Pluto, Par4All, and Cetus. Feature work is outlined

Obowiązek udostępnienia informacji publicznej przez kościelne osoby prawne w związku prowadzeniem cmentarzy wyznaniowych. Glosa do wyroku Naczelnego Sądu Administracyjnego z dnia 4 grudnia 2020 r. (I OSK 125/19)

Przedmiotem niniejszego opracowania jest analiza wyroku Naczelnego Sądu Administracyjnego z dnia 4 grudnia 2020 r. (I OSK 125/19). Glosowane orzeczenie jest jednym z serii wydanych przez sądy administracyjne w związku z aktywnością organizacji „Sieć Obywatelska – Watchdog”, która w maju 2018 r., zwróciła się z wnioskami do ponad 30 wybranych parafii w Polsce o udostępnienie informacji publicznej. Głównym celem tego działania było poznanie cennika usług cmentarnych, kwoty środków uzyskanych z opłat, jak również liczby pochowanych osób. Orzecznictwo dotyczące rzeczonych wniosków jest zróżnicowane. Niektóre z prezentowanych w nim tez zostały omówione w przeprowadzonej analizie, co pozwoliło szerzej spojrzeć na problematykę prowadzenia cmentarzy przez kościelne osoby prawne. W artykule dokonano oceny obowiązków parafii rzymskokatolickich jako podmiotów prowadzących cmentarze w omawianym zakresie. Autor wypowiada pogląd, że obowiązek udostępniania informacji publicznej dotyczy jedynie tych sytuacji, w których – wobec braku cmentarza komunalnego – na cmentarzu katolickim pochowane są osoby, które nie identyfikowały się z Kościołem Katolickim

ST-Elevation Myocardial Infarction simulations

The authors present the methods of ECG signal simulation especially ST-Elevation Myocardial Infarction known as STEMI. It occurs in the case of blood flow around and towards heart problem. It is strongly associated with a heart attack due to low level of oxygen transported to the heart muscle. The most common symptoms of this disease are chest pain, breath shortness or sweating. There are many symptoms of STEMI but the most characteristic feature is a line change between the QRS complex and T wave which are considered by the authors. The obtained results are compared with actual signals from three leads of ECG Holter, or scanned signals digitalized to formatted files. All simulations, results and analyses are made used of in the applications created by the authors

Pricing and trading credit default swaps in a hazard process model

In the paper we study dynamics of the arbitrage prices of credit default swaps within a hazard process model of credit risk. We derive these dynamics without postulating that the immersion property is satisfied between some relevant filtrations. These results are then applied so to study the problem of replication of general defaultable claims, including some basket claims, by means of dynamic trading of credit default swaps.Comment: Published in at http://dx.doi.org/10.1214/00-AAP520 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org