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CORE Search Results Start Search Over

  • All Deposits 0
  • MLA Deposits
  • LIBOR Rate 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):
    libor rate model, LIBOR Market Model
    Search term matches:
    Tag
    ... libor market model ...

  • Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment

    Author(s):
    Tim Xiao (see profile)
    Date:
    2020
    Group(s):
    Business Management
    Subject(s):
    Economics
    Item Type:
    Article
    Tag(s):
    bilateral defaultable derivatives, credit asymmetry, market models, Black model, LIBOR Market Model
    Search term matches:
    Tag
    ... libor market model ...
    Full Text
    ... of Black for caps and swaptions. The typical market models are Black model, LIBOR market model (LMM ...

  • 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:
    Title
    ... An Efficient Lattice Algorithm For The LIBOR Market Model ...
    Tag
    ... libor market model ...
    Full Text
    ... AN EFFICIENT LATTICE ALGORITHM FOR THE LIBOR MARKET MODEL Tim Xiao1 ABSTRACT ...

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  • Subject
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    • Derivative securities 1X
    • Derivative securities--Valuation 1X
    • Economics 2X
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  • Item Type
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    • Essay 1X
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