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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
Search term matches:
Subject
... Capital
assets
pricing
model ...
Tag
...
asset
pricing
...
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
Search term matches:
Subject
... Capital
assets
pricing
model ...
Tag
...
asset
pricing
...
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
Search term matches:
Tag
...
asset
pricing
...
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
Search term matches:
Tag
...
asset
pricing
...
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
Search term matches:
Tag
...
asset
pricing
...
Two Asset Barrier Option Valuation Model
Author(s):
David Lee
(see profile)
Date:
2023
Group(s):
Business Management
Subject(s):
Valuation
,
Economics
,
Finance
Item Type:
Report
Tag(s):
derivative valuation
,
asset pricing
,
barrier option
,
valuation model
Search term matches:
Tag
...
asset
pricing
...
Two Asset Barrier Option
Author(s):
David Lee
(see profile)
Date:
2023
Group(s):
Business Management
Subject(s):
Economics
,
Finance
Item Type:
Report
Tag(s):
Barrier option
,
asset pricing
,
valuation model
Search term matches:
Tag
...
asset
pricing
...
GIC Pricing Model
Author(s):
David Lee
(see profile)
Date:
2023
Group(s):
Business Management
Item Type:
Report
Tag(s):
Asset pricing
,
valuation model
,
GIC
Search term matches:
Tag
...
asset
pricing
...
Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Article
Tag(s):
asset pricing
,
credit risk modeling
,
colateral
,
risk management
,
CDS
Search term matches:
Tag
...
asset
pricing
...
Full Text
... . We show that default dependency has a significant impact on
asset
pricing
. In fact, correlated default ...
The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
,
Qualitative research--Methodology
Item Type:
Article
Tag(s):
asset pricing
,
credit risk modeling
,
collateralization
,
Quantitative methods
Search term matches:
Title
... The Impact of Default Dependency and Collateralization on
Asset
Pricing
and Credit Risk Modeling ...
Tag
...
asset
pricing
...
Full Text
... The Impact of Default Dependency and Collateralization on
Asset
Pricing
and Credit Risk ...
An Economic Examination of Collateralization in Different Financial Markets
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Article
Tag(s):
unilateral/bilateral collateralization
,
partial/full/over collateralization
,
asset pricing
,
plumbing of the financial system
,
swap premium spread
Search term matches:
Tag
...
asset
pricing
...
Full Text
... to bankruptcy laws. As such, the model can back out differences in
asset
prices
due to collateralized ...
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
...
asset
pricing
...
An Accurate Solution for Credit Valuation Adjustment (CVA) and Wrong Way Risk
Author(s):
Tim Xiao
(see profile)
Date:
2015
Group(s):
Business Management
,
Scholarly Communication
Subject(s):
Economics
,
Knowledge management
,
Commercial statistics
Item Type:
Article
Tag(s):
asset pricing
,
credit value adjustment
,
wrong way risk
,
credit risk modeling
,
default time approach
,
Business data
Search term matches:
Tag
...
asset
pricing
...
Full Text
... , 50, 23- 33. Xiao, T., 2013a, The impact of default dependency and collateralization on
asset
...
A New Model for Pricing Collateralized Financial Derivatives
Author(s):
Tim Xiao
(see profile)
Date:
2017
Group(s):
Business Management
,
Scholarly Communication
Item Type:
Article
Tag(s):
asset pricing
,
collateralization
,
CVA
,
interaction between market and credit risk
,
plumbing of financial system
,
swap premium spread
,
VaR
Search term matches:
Tag
...
asset
pricing
...
Full Text
... and credit risk. Key words: collateralization,
asset
pricing
, plumbing of financial system, swap ...
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