American Step-Up and Step-Down Default Swaps under Levy Models

This paper studies the valuation of a class of default swaps with the embedded option to switch to a different premium and notional principal anytime prior to a credit event. These are early exercisable contracts that give the protection buyer or seller the right to step-up, step-down, or cancel the swap position. The pricing problem is formulated under a structural credit risk model based on Levy processes. This leads to the analytic and numerical studies of several optimal stopping problems subject to early termination due to default. In a general spectrally negative Levy model, we rigorously derive the optimal exercise strategy. This allows for instant computation of the credit spread under various specifications. Numerical examples are provided to examine the impacts of default risk and contractual features on the credit spread and exercise strategy.Comment: 35 pages, 5 figure

Applications of Remote Sensing to Alien Invasive Plant Studies

Biological invasions can affect ecosystems across a wide spectrum of bioclimatic conditions. Therefore, it is often important to systematically monitor the spread of species over a broad region. Remote sensing has been an important tool for large-scale ecological studies in the past three decades, but it was not commonly used to study alien invasive plants until the mid 1990s. We synthesize previous research efforts on remote sensing of invasive plants from spatial, temporal and spectral perspectives. We also highlight a recently developed state-of-the-art image fusion technique that integrates passive and active energies concurrently collected by an imaging spectrometer and a scanning-waveform light detection and ranging (LiDAR) system, respectively. This approach provides a means to detect the structure and functional properties of invasive plants of different canopy levels. Finally, we summarize regional studies of biological invasions using remote sensing, discuss the limitations of remote sensing approaches, and highlight current research needs and future directions