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Pricing CMS Spread Option

Economics (General Management)

Tim Xiao

Date of upload:

30.11.2022

Co-author:

Abstract:

A constant maturity swap (CMS) spread option makes payments based on a bounded spread between two index rates (e.g., a GBP CMS rate and a EURO CMS rate). We assume that both the forward GBP and EURO CMS rates follow geometric Brownian motion under their respective T-forward measures.

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 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.

Pricing Single Currency Bermudan Swaption

Economics (General Management)

Tim Xiao

Date of upload:

11.12.2022

Co-author:

Abstract:

The underlying security of a single currency Bermudan swaption is an interest-rate swap, which is specified by respective payer and receiver legs. Each of the legs above can pay a fixed rate, Libor or CMS rate. The owner of the Bermudan swaption can choose to enter into the swap above at certain pre-defined exercise times; upon exercise, the owner • must pay all payer-leg quantities that reset on or after the exercise time, and • will receive all receiver-leg quantities that reset on or after the exercise time.

Black-Karasinski Short Rate Tree Algorithm

Economics (General Management)

Tim Xiao

Date of upload:

30.11.2022

Co-author:

Abstract:

The Black-Karasinski model is a short rate model that assumes the short-term interest rates to be log-normally distributed. We implement the one factor Black-Karasinski model as a binomial or trinomial tree.

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.

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.

Delta-Gamma-Vega Value-at-Risk Model

Economics (General Management)

Tim Xiao

Date of upload:

25.01.2023

Co-author:

Abstract:

The Delta Gamma Vega (DGV) methodology is developed to estimate Value-at-Risk (VaR) for portfolios of equities and equity options in order to comply, in regard to market risk measurement. The model can accurately estimate over-night VaR for portfolios with non-zero convexity or linear risk.

Pricing Asset Backed Senior Note

Economics (General Management)

Tim Xiao

Date of upload:

28.11.2022

Co-author:

Abstract:

An early amortization event is a set of circumstances specified in the offering memorandum, which if it were to occur, would effectively move the liquidation date forward to the time of its occurrence. Generally, early amortization is triggered by the failure of the pool assets to remain within a certain range of value or quality

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 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.

Pricing FX Option via BGM

Economics (General Management)

Tim Xiao

Date of upload:

27.12.2022

Co-author:

Abstract:

The interest rate diffusion refers to the Brace-Gatarek-Musiela (BGM) model that is a multi-factor log-normal model. The model is used for pricing interest rate and FX derivatives. The method directly models the movement of the whole yield curve through the dynamics of correlated spanning forward LIBOR rates. This feature gives the BGM model much more flexibilities to model the correlation among the rates on the whole yield curve.

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