Property Derivatives and Index-Linked Mortgages

Mortality-Linked Securities and Derivatives

Mortgages and monetary policy

How is monetary policy transmitted through its impact on mortgage borrowings? How does this transmission mechanism depend on whether mortgages are fixed or floating rate? To address these questions, we add a model of financial institutions’ behaviour to a dynamic general equilibrium model in which some households face credit constraints. We use this model to analyse the real effects of inflatio...

Property Testing on Linked Lists

We define a new property testing model for algorithms that do not have arbitrary query access to the input, but must instead traverse it in a manner that respects the underlying data structure in which it is stored. In particular, we consider the case when the underlying data structure is a linked list, and the testing algorithm is allowed to either sample randomly from the list, or walk to nod...

The finite index basis property

We describe in this paper a connection between bifix codes, symbolic dynamical systems and free groups. This is in the spirit of the connection established previously for the symbolic systems corresponding to Sturmian words. We introduce a class of sets of factors of an infinite word with linear factor complexity containing Sturmian sets and regular interval exchange sets, namely the class of t...

Faster index for property matching

In this paper, we revisit the Property Matching problem studied by Amir et al. [Property Matching and Weighted Matching, CPM 2006] and present a better indexing scheme for the problem. In particular, the data structure by Amir et al., namely PST, requires O(n log |Σ|+ n log log n) construction time and O(m log |Σ|+ K) query time, where n and m are the length of, respectively, the text and the p...