Science Media

Results were found under presentations .

There are no videos within this category so far.

General Management

Sort by

Sort

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. Here cash flows consist of principal and interest payments. Principal payments arise from the regular amortization of principal, as well as from scheduled and unscheduled principal pre-payments.

Pricing Variable Rate MBS

Economics (General Management)

Tim Xiao

Date of upload:

10.01.2023

Co-author:

Abstract:

The VRM MBS calculator treats conversions using a constant annualized conversion rate that is applied as a monthly mortality rate. This treatment of conversions ignores the impact of ageing, seasonality and interest rate volatility. However, since the VRM coupon resets each month, we expect ageing/seasonality/ interest rate volatility to impact the price marginally; therefore, the extra spread to be paid to investors because of the early principal payment, especially due to interest rate volatility, is marginal as well.

Trinomial Tree Construction

Economics (General Management)

Tim Xiao

Date of upload:

18.01.2023

Co-author:

Abstract:

A trinomial tree based method is presented for pricing exotic options. The model is based on a combination of techniques. that is, a tree generation technique and an appropriate backward induction pricing technique.

Pricing Seller Swap

Economics (General Management)

Tim Xiao

Date of upload:

13.01.2023

Co-author:

Abstract:

CHT sold bullet bonds of total notional N that pays C% semi annual coupon for 60 months to investors for P dollars. Using these proceedings, CHT bought a mortgage pool, whose dollar price was P, from the party and entered into a “seller swap” with the party. CHT will buy new mortgage pools from the principal payments generated from the mortgage pools that already bought from the party

Trinomial Tree Algorithm for Barrier Option

Economics (General Management)

Tim Xiao

Date of upload:

16.01.2023

Co-author:

Abstract:

A trinomial tree can be used for pricing particular types of barrier options. We consider particular types of single barrier and double barrier options. Each method for pricing a particular type of barrier option is based on a combination of techniques, that is, a tree generation technique and an appropriate backward induction pricing technique.

GIC Redemption Option Sensitivity Calculation

Economics (General Management)

Tim Xiao

Date of upload:

23.12.2022

Co-author:

Abstract:

Flexible is a one year maturity GIC whose holder has an option to redeem the principal and accrued interest without any penalty from one month after inception till maturity. If the holder chooses to redeem the GIC within the first 30 days after inception, a zero call rate is applied.

Pricing Lookback Call Option

Economics (General Management)

Tim Xiao

Date of upload:

20.01.2023

Co-author:

Abstract:

A model is presented for pricing a European lookback call option on a stock index with guaranteed exchange rate (LBCGER). Closed-form formulas exist for pricing certain types of lookback options. For example, assuming that the underlying security earns no dividend. The method for pricing a lookback call option with guaranteed exchange rate is based on a single factor Monte Carlo approach. The idea of the method is to stochastically generate a large number of discrete sample paths for the underlying security

Prepayment Neural Net Method

Economics (General Management)

Tim Xiao

Date of upload:

10.01.2023

Co-author:

Abstract:

A model of mortgage prepayment rates based on the neural net approach is proposed. The model for insured, closed, five-year term mortgages has been developed. The neural net prepayment model behaves consistently across the training and testing sets and outperforms a simpler predictor, the linear regression model.

MBS Model with Liquidation Rate

Economics (General Management)

Tim Xiao

Date of upload:

11.01.2023

Co-author:

Abstract:

The proposed enhancement computes the constant liquidation rate for which the remaining principal balance at the month before the first maturing principal tranche is the same as remaining principal balance (RPB) using variable liquidation rate (Standard Vector). The MBS PE then also displays a warning message that a different constant equivalent liquidation rate was computed.

Swap Average Term Computation

Economics (General Management)

Tim Xiao

Date of upload:

24.12.2022

Co-author:

Abstract:

The average term is calculated for a swap that underlies a European style payer swaption, which is in the calibration portfolio for a Bermudan swaption with amortizing notional (i.e., the outstanding notional is reduced from time-to-time). Given the payer swaption maturity and the average swap term pair, we then look up, from a table indexed by payer swaption maturity and underlying swap term, the corresponding Black’s implied volatility.

Mortgage Pool Valuation

Economics (General Management)

Tim Xiao

Date of upload:

12.01.2023

Co-author:

Abstract:

A model is presented for the calculation of the fair value and the hedge ratios, Delta, Vega and Gamma, with respect to pools of Canadian commercial and residential mortgages. Commercial mortgages are closed and either insured or not insured, while residential mortgages are separated into • insured open or closed mortgages, and • non-insured open or closed mortgages.

BGM Monte Carlo Simulation

Economics (General Management)

Tim Xiao

Date of upload:

24.12.2022

Co-author:

Abstract:

The generated simulation must satisfy certain requirements. These properties fall into two categories. First, there are no arbitrage conditions, which are to be satisfied exactly. Second, there is a requirement to reproduce input calibration data as accurately as possible with selected types of analytical parameterizations of model parameters.

‹ First456

There are no posters within this category so far.

There are no papers within this category so far.