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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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