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Pricing Swap with Better-of Cliquet Option
Economics (General Management)
Tim Xiao
Date of upload:
26.01.2023
Co-author:
Abstract:
A model is developed for pricing a swap with better of cliquet opti...
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GIC Coupon Rate Calculation
Economics (General Management)
Tim Xiao
Date of upload:
23.12.2022
Co-author:
Abstract:
We calculate the Treasury transfer coupon rate, in the case of zero...
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Martingale Preserving Tree Method
Economics (General Management)
Tim Xiao
Date of upload:
29.11.2022
Co-author:
Abstract:
We propose a two-factor tree model that implements the Hull-White a...
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Computing Conditional Probability of Hitting Barrier
Economics (General Management)
Tim Xiao
Date of upload:
24.01.2023
Co-author:
Abstract:
The method for evaluating the conditional probability of hitting an...
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Greek Calculation for Local Volatility Model
Economics (General Management)
Tim Xiao
Date of upload:
29.12.2022
Co-author:
Abstract:
Calculation of the Greeks in the local volatility model is difficul...
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Multi-currency BGM Pricing Model
Economics (General Management)
Tim Xiao
Date of upload:
24.12.2022
Co-author:
Abstract:
There is one theoretical subtlety about multi-currency models. Risk...
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Mortgage Cash Flow Modelling
Economics (General Management)
Tim Xiao
Date of upload:
16.01.2023
Co-author:
Abstract:
We model the closed monthly cash flows from a pool of mortgage. Her...
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Pricing Amortizing Floor Option
Economics (General Management)
Tim Xiao
Date of upload:
11.12.2022
Co-author:
Abstract:
An amortizing floor option consists of 12 floorlets, or put options...
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Pricing Arbitrary Cash-Flow
Economics (General Management)
Tim Xiao
Date of upload:
11.12.2022
Co-author:
Abstract:
An Arbitrary Cash-Flow (ACF) security interface values future known...
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Mortgage Transfer Coupon Rate Computation
Economics (General Management)
Tim Xiao
Date of upload:
16.01.2023
Co-author:
Abstract:
With respect to a closed commercial mortgage certificate, the trans...
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Monte Carlo Short Rate Model
Economics (General Management)
Tim Xiao
Date of upload:
25.01.2023
Co-author:
Abstract:
The Monte Carlo Multi-factor Short Rate Mode has been used extensiv...
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Asian Swap Model
Economics (General Management)
Tim Xiao
Date of upload:
26.01.2023
Co-author:
Abstract:
The arithmetic average of the resulting approximate basket price pr...
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