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Tim Xiao
BMO
Position
Department
Field of research
Economics (General Management)
Email
cfrm17@yahoo.com
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Arrear Quanto CMS Valuation
Economics (General Management)
346 views
Date of upload:
30.11.2022
Co-author:
Abstract:
The convexity adjustment is from a par bond specified by • three ye...
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Black-Karasinski Short Rate Tree Algorithm
Economics (General Management)
445 views
Date of upload:
30.11.2022
Co-author:
Abstract:
The Black-Karasinski model is a short rate model that assumes the s...
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Pricing Variable Rate Swap
Economics (General Management)
313 views
Date of upload:
30.11.2022
Co-author:
Abstract:
Variable rate swap is an interest rate swap that has two legs: one ...
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Pricing CMS Spread Option
Economics (General Management)
535 views
Date of upload:
30.11.2022
Co-author:
Abstract:
A constant maturity swap (CMS) spread option makes payments based o...
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