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• Reverse Convertible Pricing Model

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management, Public Humanities, Scholarly Communication

  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, Public Humanities, Scholarly Communication

  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, Public Humanities, Scholarly Communication

  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, Public Humanities, Scholarly Communication

  Subject(s):

  Valuation, Economics, Finance

  Item Type:

  Report

  Tag(s):

  derivative valuation, asset pricing, barrier option, valuation model

  Search term matches:

  Tag

  ... asset pricing ...

  Full Text

  ... the barrier H from below by the expiration time T. The asset prices S1(t), and S2(t) are represented ...

  
  

• Two Asset Barrier Option

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management, Public Humanities, Scholarly Communication

  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, Public Humanities, Scholarly Communication

  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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