My account
Information
Tim Xiao
BMO
Position
Department
Field of research
Economics (General Management)
Email
cfrm17@yahoo.com
My OpenAccess portfolio

There are no uploaded videos yet.

There are no uploaded posters yet.

There are no uploaded papers yet.

img
LIBOR Rate Model Introduction
Economics (General Management)
281 views
Date of upload:
02.12.2022
Co-author:
Abstract:
A Libor rate model is presented for pricing Libor-rate based derivative securities including caps, floors, and cross-currency Bermudan swaptions. Although referred to as a BGM model, the model is actually based on Jamshidian’s approach towards Libor rate modeling (i.e., where Libor rates are modeled simultaneously under the spot Libor measure).
img
Pricing Amortizing Floor Option
Economics (General Management)
245 views
Date of upload:
11.12.2022
Co-author:
Abstract:
An amortizing floor option consists of 12 floorlets, or put options, on the arithmetic average of the daily 12-month Pibor rate fixings over respective windows of approximately 30 calendar days. Furthermore the notional amount corresponding to each floorlet is specified by an amortization schedule.
img
Pricing Single Currency Bermudan Swaption
Economics (General Management)
358 views
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.
img
Pricing Arbitrary Cash-Flow
Economics (General Management)
240 views
Date of upload:
11.12.2022
Co-author:
Abstract:
An Arbitrary Cash-Flow (ACF) security interface values future known cash-flows. These cash-flows must be in a single (potentially foreign) currency. The present value of these cash-flows is determined by prevailing market interest and foreign exchange rates.

There are no uploaded conferences yet.