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Tim Xiao
BMO
Position
Department
Field of research
Economics (General Management)
Email
cfrm17@yahoo.com
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Pricing Callable Inverse Swap
Economics (General Management)
325 views
Date of upload:
29.11.2022
Co-author:
Abstract:
The calibration procedure takes only an interest rate curve as inpu...
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Pricing Flexible GIC
Economics (General Management)
334 views
Date of upload:
29.11.2022
Co-author:
Abstract:
A flexible GIC represents a financial instrument paying an annual c...
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Pricing American Bond Yield Option
Economics (General Management)
328 views
Date of upload:
29.11.2022
Co-author:
Abstract:
An American style call option on bond yield is a binding agreement ...
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Martingale Preserving Tree Method
Economics (General Management)
301 views
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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