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Daily Digital Swap Model
Author(s):
Tim Xiao
(see profile)
Date:
2022
Group(s):
Scholarly Communication
Subject(s):
Derivative securities
,
Derivative securities--Valuation
Item Type:
Essay
Tag(s):
digital swap
,
swap valuation
Search term matches:
Subject
... Derivative securities--
Valuation
...
Tag
... swap
valuation
...
Early Start Swap Model
Author(s):
Tim Xiao
(see profile)
Date:
2022
Group(s):
Scholarly Communication
Subject(s):
Derivative securities
,
Derivative securities--Valuation
Item Type:
Essay
Tag(s):
early start swap
,
swap valuation
Search term matches:
Subject
... Derivative securities--
Valuation
...
Tag
... swap
valuation
...
Full Text
...
Valuation
day Beginning of End of exercise period exercise period Option tenor ...
CMS Spread Option Model
Author(s):
Tim Xiao
(see profile)
Date:
2022
Group(s):
Scholarly Communication
Subject(s):
Derivative securities
,
Derivative securities--Valuation
Item Type:
Essay
Tag(s):
CMS swap
,
spread option
,
option valuation
Search term matches:
Subject
... Derivative securities--
Valuation
...
Tag
... option
valuation
...
GIC Pricing Model
Author(s):
Tim Xiao
(see profile)
Date:
2022
Group(s):
Business Management
Subject(s):
Derivative securities
,
Derivative securities--Valuation
Item Type:
Essay
Tag(s):
GIC
,
valuation model
Search term matches:
Subject
... Derivative securities--
Valuation
...
Tag
...
valuation
model ...
Asset Backed Senior Note Model
Author(s):
Tim Xiao
(see profile)
Date:
2022
Group(s):
Business Management
Subject(s):
Derivative securities
,
Derivative securities--Valuation
Item Type:
Essay
Tag(s):
ABS
,
ABS valuation
Search term matches:
Subject
... Derivative securities--
Valuation
...
Tag
... abs
valuation
...
Full Text
... . For this reason, only the portion of the model relevant to the liquidation period The
valuation
is updated ...
Three Factor Convertible Bond Model
Author(s):
Tim Xiao
(see profile)
Date:
2022
Group(s):
Business Management
Subject(s):
Options (Finance)
,
Derivative securities
Item Type:
Essay
Tag(s):
convertible bond
,
bond valuation
Search term matches:
Tag
... bond
valuation
...
Full Text
... the coupon amounts paid by the underlying bond in the CB
valuation
. You can find more about convertible ...
FX Asian Option
Author(s):
Tim Xiao
(see profile)
Date:
2021
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Presentation
Tag(s):
Asian option
,
FX option
,
option valuation
Search term matches:
Tag
... option
valuation
...
Full Text
... Aian Option Introduction ▪ The Use of FX Asian Options ▪ Forex Market Convention ▪
Valuation
...
Zero Coupon Bond
Author(s):
Tim Xiao
(see profile)
Date:
2021
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Presentation
Tag(s):
bond
,
zero coupon bond
,
bond valuation
Search term matches:
Tag
... bond
valuation
...
Full Text
... Discussing Zero Coupon Bond
Valuation
Overview A company can raise capital in financial ...
Bond Valuation
Author(s):
Tim Xiao
(see profile)
Date:
2021
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Presentation
Tag(s):
bond
,
bond valuation
,
yield to maturity
Search term matches:
Title
... Bond
Valuation
...
Tag
... bond
valuation
...
Full Text
... Fixed Rate Bond
Valuation
and Risk FinPricing Fixed Rate Bond Summary ▪ Fixed Rate Bond ...
Callable Yield Note
Author(s):
Tim Xiao
(see profile)
Date:
2021
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Presentation
Tag(s):
yield note
,
callable yield note
,
derivative valuation
Search term matches:
Tag
... derivative
valuation
...
Full Text
... Callable Yield Note
Valuation
A yield note is a principal-protected structured note that pays ...
Accelerated Share Repurchase
Author(s):
Tim Xiao
(see profile)
Date:
2021
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Presentation
Tag(s):
accelerated share repurchase
,
derivative valuation
Search term matches:
Tag
... derivative
valuation
...
Full Text
... Accelerated Share Repurchase
Valuation
An accelerated share repurchase (ASR) agreement ...
Binary Option Valuation
Author(s):
Tim Xiao
(see profile)
Date:
2021
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Presentation
Tag(s):
binary option pricing
,
digital option valuation
Search term matches:
Title
... Binary Option
Valuation
...
Tag
... digital option
valuation
...
Full Text
... Binary Option
Valuation
A binary option is an option with a predetermined payoff, triggered ...
Warrant Pricing Guide
Author(s):
Tim Xiao
(see profile)
Date:
2021
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Presentation
Tag(s):
warrant
,
right
,
callable warrant valuation
Search term matches:
Tag
... callable warrant
valuation
...
Full Text
... Introduction ▪ The Use of Equity Warrants ▪ Equity Warrant Payoffs ▪
Valuation
▪
Valuation
Model Assumption ...
Pricing American Option
Author(s):
Tim Xiao
(see profile)
Date:
2021
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Presentation
Tag(s):
american option
,
american option valuation
Search term matches:
Tag
... american option
valuation
...
Full Text
... American Equity Option
Valuation
Practical Guide FinPricing American Equity Option Summary ...
Funding Valuation Adjustment
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Presentation
Tag(s):
funding valuation adjustment
,
FVA
,
credit risk
,
credit exposure approach
,
least square Monte Carlo approach
,
funding cost
Search term matches:
Title
... Funding
Valuation
Adjustment ...
Tag
... funding
valuation
adjustment ...
Full Text
... Credit
Valuation
Adjustment and Funding
Valuation
Adjustment CVA FVA Summary ◆ Credit ...
Credit Valuation Adjustment (CVA) Introduction
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Presentation
Tag(s):
Credit value adjustment
,
CVA
,
credit risk
,
valuation
,
risk management
Search term matches:
Title
... Credit
Valuation
Adjustment (CVA) Introduction ...
Tag
...
valuation
...
Full Text
... by holding
valuation
date and portfolio unchanged ◆ In one year period, ◆ If number of breaches is 0 ...
Collateral Management
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Presentation
Tag(s):
Collateral
,
credit risk
,
counterparty credit risk
,
valuation
Search term matches:
Tag
...
valuation
...
Full Text
... Forms ◆ Credit Support Annex (CSA) ◆
Valuation
under Collateral Arrangement ◆ Credit Exposure ...
The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Article
Tag(s):
credit value adjustment (CVA)
,
credit risk modeling
,
financial derivative valuation
,
collateralization
,
margin and netting.
Search term matches:
Title
... The
Valuation
of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment ...
Tag
... financial derivative
valuation
...
Full Text
... The
Valuation
of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment ...
The Valuation of Credit Default Swap with Counterparty Risk and Collateralization
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Article
Tag(s):
valuation model; credit risk modeling; collateralization; correlation
,
CDS.
Search term matches:
Title
... The
Valuation
of Credit Default Swap with Counterparty Risk and Collateralization ...
Tag
...
valuation
model; credit risk modeling; collateralization; correlation ...
Full Text
... The
Valuation
of Credit Default Swap with Counterparty Risk and Collateralization Tim ...
An Efficient Lattice Algorithm For The LIBOR Market Model
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Values--Philosophy
,
Economics
Item Type:
Article
Tag(s):
LIBOR Market Model
,
lattice model
,
asset pricing
,
derivatives valuation
,
risk management
,
Value theory
Search term matches:
Tag
... derivatives
valuation
...
Full Text
... , the calibration is almost automatic and it is simple and easy to implement. Adding this model to the
valuation
...
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