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• Calculating Risk Sensitivities for Monte Carlo Approach

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management

  Subject(s):

  Credit derivatives, Derivative securities--Valuation, Risk management, Capital assets pricing model

  Item Type:

  Article

  Tag(s):

  securitization, Monte Carlo simulation, Risk Sensitivities, CDO

  
  

• Binary Return Note Valuation

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management

  Subject(s):

  Options (Finance), Derivative securities, Derivative securities--Valuation

  Item Type:

  Article

  Tag(s):

  option valuation, derivative pricing, binary return note

  
  

• Fade Option Valuation

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management

  Subject(s):

  Options (Finance), Derivative securities, Derivative securities--Valuation, Foreign exchange, Pricing

  Item Type:

  Article

  Tag(s):

  fade option, fx option, option valuation, option model

  
  

• Asian Futures Option Valuation

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management

  Subject(s):

  Options (Finance), Derivative securities, Derivative securities--Valuation, Capital assets pricing model

  Item Type:

  Article

  Tag(s):

  Asian option, Asian futures option, option pricing, derivatives valuation

  
  

• Power Swap Valuation

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management

  Subject(s):

  Prices, Commercial products, Derivative securities--Valuation

  Item Type:

  Article

  Tag(s):

  power swap, commodity derivatives, commodity market, derivatives valuation

  
  

• Double Window Barrier Option Valuation

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management

  Subject(s):

  Options (Finance), Derivative securities--Valuation, Capital assets pricing model, Derivative securities

  Item Type:

  Article

  Tag(s):

  barrier option, option valuation, windows barrier option, asset pricing, risk management

  
  

• Index Tranches and Bespoke CDOs

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management

  Subject(s):

  Credit derivatives, Derivative securities--Valuation, Collateralized debt obligations, Capital assets pricing model

  Item Type:

  Article

  Tag(s):

  credit derivatives, cdo, index, valuation, risk management

  
  

• Capped Accumulated Return Call Option

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management

  Subject(s):

  Options (Finance), Options (Finance)--Valuation--Mathematical models, Capital assets pricing model, Stock exchanges

  Item Type:

  Article

  Tag(s):

  Capped Accumulated Return Call Option, option valuation, asset pricing, pricing model

  
  

• CDS Index Basis Adjustment

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management

  Subject(s):

  Derivative securities, Valuation, Capital assets pricing model, Credit

  Item Type:

  Article

  Tag(s):

  CDS, index basis, basis adjustment

  
  

• Reverse Convertible Pricing Model

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management

  Subject(s):

  Derivative securities, Corporations--Valuation, Options (Finance), Pricing

  Item Type:

  Article

  Tag(s):

  reverse convertible, asset pricing, security, valuation, valuation model

  
  

• Conduit Fees Introduction

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management

  Subject(s):

  Accounting, Pricing, Finance, Public

  Item Type:

  Report

  Tag(s):

  conduit administration fee, fee process, financial modeling

  
  

• Digital Barrier Basket Note Valuation

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management

  Subject(s):

  Derivative securities, Derivative securities--Valuation, Options (Finance)

  Item Type:

  Report

  Tag(s):

  barrier option, basket option, basket barrier option, option valuation

  
  

• Pricing Asian Option on a Basket of Averages

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management

  Subject(s):

  Options (Finance), Derivative securities, Options (Finance)--Valuation

  Item Type:

  Report

  Tag(s):

  Asian option, commodity derivatives, average basket

  
  

• Equity Asian Swap Model

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management

  Subject(s):

  Derivative securities, Options (Finance), Options (Finance)--Valuation

  Item Type:

  Report

  Tag(s):

  equity option, Asian option, option valuation

  
  

• Variance and Volatility Swap Model

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management

  Subject(s):

  Derivative securities, Valuation, Stock exchanges

  Item Type:

  Essay

  Tag(s):

  variance swap, volatility swap, asset pricing, derivative valuation

  
  

• Equity Forwards and Futures Valuation

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management

  Subject(s):

  Foreign exchange futures, Futures market, Valuation

  Item Type:

  Report

  Tag(s):

  forward, futures, derivative valuation

  
  

• Forward Starting Option Model

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management

  Subject(s):

  Options (Finance), Valuation, Risk management

  Item Type:

  Report

  Tag(s):

  forward start option, option valuation, sensitivity

  
  

• Loan Commitment Analytics

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management

  Subject(s):

  Loans, Fixed-income securities, Contingent valuation

  Item Type:

  Report

  Tag(s):

  load commitment, credit risk, value at risk

  
  

• Term of Structure of Implied Volatility Model

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management

  Subject(s):

  Risk management, Options (Finance), Derivative securities

  Item Type:

  Presentation

  Tag(s):

  Implied volatility, VAR, derivative valuation

  
  

• Valuation of Shrinking Basket Option Based on the Worst Return.

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management

  Subject(s):

  Derivative securities, Stock exchanges, Options (Finance)

  Item Type:

  Presentation

  Tag(s):

  option, basket option, derivative valuation

  
  

• Credit VaR Model

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management

  Subject(s):

  Credit ratings, Risk management

  Item Type:

  Presentation

  Tag(s):

  credit risk, value at risk, VaR

  
  

• Default Put Protection Derivative Analytics

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management

  Subject(s):

  Derivative securities, Credit, Valuation

  Item Type:

  Presentation

  Tag(s):

  put production, credit derivatives, derivative valuation

  
  

• Gold Option Pricing Model

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management

  Subject(s):

  Derivative securities, Commodity exchanges, Contingent valuation

  Item Type:

  Report

  Tag(s):

  gold derivatives, derivative valuation, pricing model

  
  

• Pricing Path Dependent Derivative Note

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management

  Subject(s):

  Derivative securities, Economics, Finance, Pricing

  Item Type:

  Article

  Tag(s):

  Deirivatives, equity linked note, path dependent valuation

  
  

• American Barrier Option Model

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management

  Subject(s):

  Derivative securities, Pricing, Stock exchanges

  Item Type:

  Presentation

  Tag(s):

  Barrier option, American option, asset pricing, valuation model

  
  

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