Science Media

Results were found under presentations .

There are no videos within this category so far.

General Management

Sort by

Sort

Pricing Partial Payoff Swap

Economics (General Management)

Tim Xiao

Date of upload:

12.12.2022

Co-author:

Abstract:

Partial payoff swap pays periodically, the payoff from a particular European style put option on the spread between respective ten and two-year CMS rates. Moreover, this payoff is algebraically equivalent to the sum of the spread above and the payoff from a related European style put option.

CAD Government Bond Bootstrapping

Economics (General Management)

Tim Xiao

Date of upload:

21.12.2022

Co-author:

Abstract:

Canadian Government Bonds are traded and quoted based on yield to maturity (YTM). The actual settlement clean price depends on the number of coupons available. For bonds with a single remaining coupon, the bond trades at a pure discount (i.e., like a money market instrument). For bonds with multiple remaining coupons, these are priced with a special formula.

Mutual Fund Securitization

Economics (General Management)

Tim Xiao

Date of upload:

28.11.2022

Co-author:

Abstract:

Two parties have established Securitization Partnership (the “Partnership”), to distribute and administer the mutual funds. Under the agreement the Partnership will finance the commissions to brokers selling mutual fund units on a deferred sales charge basis and, in exchange, will receive mutual fund distribution, administrative and redemption fees.

Pricing Quanto Total Return LIBOR Swap

Economics (General Management)

Tim Xiao

Date of upload:

01.12.2022

Co-author:

Abstract:

A quanto total return Libor Swap is a swap with two legs. One leg of the swap pays LIBOR less a constant spread and the other leg makes a single payment at the swap’s maturity equal to a leveraged non-negative return on USD-for-EURO exchange rate paid in CAD.

Hull-White Model for Convertible Bond

Economics (General Management)

Tim Xiao

Date of upload:

28.11.2022

Co-author:

Abstract:

The Hull-White convertible bond pricing model assumes that the short-term interest rate process follows a SDE of the Hull-White form, and that the stock’s price process follows geometric Brownian motion with drift.

Pricing Forward Starting Option

Economics (General Management)

Tim Xiao

Date of upload:

27.11.2022

Co-author:

Abstract:

A forward starting option is an option whose strike price is not fully determined until an intermediate date before expiration. A model is used to compute option price, Delta, Gamma, Hedge Rho, Discount Rho, Vega and Theta.

Pricing Quanto Himalayan Option

Economics (General Management)

Tim Xiao

Date of upload:

26.11.2022

Co-author:

Abstract:

We present analytics for pricing quanto European-style Himalayan options on equity (stock or index), where the single best return is locked in each fixing period. Specifically, we considered the impact of the quanto adjustment term on calibration and the computation of option premium and hedge ratios.

Pricing Exchangeable Convertible Bond

Economics (General Management)

Tim Xiao

Date of upload:

28.11.2022

Co-author:

Abstract:

A convertible bond with exchangeable feature, which can be converted into a stock issued by a party different from the bond issuer. Assume that the stock conversion is vulnerable. If the bond-issuer has defaulted by a time, t , then the stock price is zero. If, on the other hand, the bond-issuer has not defaulted by time t , then the stock price is given by St or 0.

Brownian Bridge Method

Economics (General Management)

Tim Xiao

Date of upload:

28.11.2022

Co-author:

Abstract:

The Brownian bridge algorithm generates points on a path sequentially, starting from the initial point and progressing toward the end. However, the symmetry of the formula for the intermediate point with respect to the initial and final points and the recursive nature of the algorithm suggest that the generator may work better.

Financial Price Volatility Calibration

Economics (General Management)

Tim Xiao

Date of upload:

13.11.2022

Co-author:

Abstract:

Financial data are known to be far from normal and replete with outliers, many of which result from “dirty” data – data that contain errors. Such errors introduce extreme or aberrant data points, which can significantly distort parameter estimation results. Therefore, robust estimations are required to achieve stable and accurate results.

Pricing Convertible Bond via Three Factor Model

Economics (General Management)

Tim Xiao

Date of upload:

27.11.2022

Co-author:

Abstract:

We propose a model for pricing a convertible bond (CB) where the issuer’s stock price is possibly denominated in a different currency from the bond’s coupon currency. We use a three factor, trinomial tree based model for pricing the CB. Here FP constructs three independent trinomial trees, which are then combined into a three-factor tree

Local Volatility Model for Quanto Options

Economics (General Management)

Tim Xiao

Date of upload:

27.11.2022

Co-author:

Abstract:

We present a model for calculating the price of European call and put options in the domestic currency on an underlying foreign equity with tenor up to 7 years. The calculation includes option price, Delta, Gamma, Hedge Rho, Discount Rho, Vega, Theta.

12Last ›

There are no posters within this category so far.

There are no papers within this category so far.