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1. Abramson Y, Freund Y. Active Learning for Visual Object Recognition. Forthcoming. 2. Burghardt T, Calic J. Analysing animal behaviour in wildlife videos using face detection and tracking. IEE Proc Vision, Image Signal Proces. Special issue on the Integration of Knowledge, Semantics and Digital Media Technology; March 2005. 3. Bartlett MS, Littlewort G, Fasel I, Movellan JR. Real-time face detection and expression recognition: development and application to human-computer interaction. CVPR Workshop on Computer Vision and Pattern Recognition for Human Computer Interaction, IEEE CVPR; Madison, Wi; 2003 June 17. 4. Barreto J, Menezes P, Dias J. Human robot interaction based on Haar-like features and eigenfaces. Proceedings of the New Orleans International Conference on Robotics and Automation; 2004. p 1888 1893. 5. Burghardt T, Thomas B, Barham P, Calic J. Automated visual recognition of individual african penguins. Proceedings of the Fifth International Penguin Conference; Ushuaia, Tierra del Fuego, Argentina; September 2004. 6. Cristinacce D, Cootes T. Facial feature detection using AdaBoost with shape constraints. Proceedings of 14th BMVA British Machine Vision Conference; Volume 1; Norwich, UK; September 2003. p 231 240, 7. Efford N. Digital Image Processing: A Practical Introduction Using Java. Addison Wesley; 2000. 8. Freund Y, Schapire RE. A decision-theoretic generalization on on-line learning and an application to boosting. Proceedings of the 2nd European Conference on Computational Learning Theory (Eurocolt95); Barcelona, Spain; 1995. p 23 37. J Comput Syst Sci 1997;55(1):119 139. 9. Freund Y, Schapire RE. A short introduction to boosting. J J Soc Artif Intell 1999;14(5): 771 780.
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For the case where the term of a forward lasts over a series of coupon payments, it may be easier to see why Yc is subtracted from R. Since a forward involves the commitment to purchase a security at a future point in time, a forward leaps over a span of time defined as the difference between the date the forward is purchased and the date it expires. When the forward expires, its purchaser takes ownership of any underlying spot security and pays the previously agreed forward price. Figure 2.14 depicts this scenario. As shown, the forward leaps over the three separate coupon cash flows; the purchaser does not receive these cash flows since he does not actually take ownership of the underlying spot until the forward expires. And since the holder of the forward will not receive these intervening cash flows, he ought not to pay for them. As discussed, the spot price of a coupon-bearing bond embodies an expectation of the coupon actually being paid. Accordingly, when calculating the forward value of a security that generates cash flows, it is necessary to adjust for the value of any cash flows that are paid and reinvested over the life of the forward itself. Bonds are unique relative to equities and currencies (and all other types of assets) since they are priced both in terms of dollar prices and in terms of yields (or yield spreads). Now, we must discuss how a forward yield of a bond is calculated. To do this, let us use a real-world scenario. Let us assume that an investor is trying to decide between (a) buying two consecutive sixmonth Treasury bills and (b) buying one 12-month Treasury bill. Both investments involve a 12-month horizon, and we assume that our investor intends to hold any purchased securities until they mature. Should our investor pick strategy (a) or strategy (b) To answer this, the investor prob-
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Taxonomy of Credit Derivatives The Credit Derivatives Market Using Credit Derivatives to Manage a Portfolio of Credit Assets Pricing Credit Derivatives Notes
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