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Calculating Risk Sensitivities for Monte Carlo Approach
Author(s):
David Lee
(see profile)
Date:
2023
Group(s):
Business Management
Subject(s):
Credit derivatives
,
Derivative securities--Valuation
,
Risk management
,
Capital assets pricing model
Item Type:
Article
Tag(s):
securitization
,
Monte Carlo simulation
,
Risk Sensitivities
,
CDO
Asian Futures Option Valuation
Author(s):
David Lee
(see profile)
Date:
2023
Group(s):
Business Management
Subject(s):
Options (Finance)
,
Derivative securities
,
Derivative securities--Valuation
,
Capital assets pricing model
Item Type:
Article
Tag(s):
Asian option
,
Asian futures option
,
option pricing
,
derivatives valuation
Double Window Barrier Option Valuation
Author(s):
David Lee
(see profile)
Date:
2023
Group(s):
Business Management
Subject(s):
Options (Finance)
,
Derivative securities--Valuation
,
Capital assets pricing model
,
Derivative securities
Item Type:
Article
Tag(s):
barrier option
,
option valuation
,
windows barrier option
,
asset pricing
,
risk management
Index Tranches and Bespoke CDOs
Author(s):
David Lee
(see profile)
Date:
2023
Group(s):
Business Management
Subject(s):
Credit derivatives
,
Derivative securities--Valuation
,
Collateralized debt obligations
,
Capital assets pricing model
Item Type:
Article
Tag(s):
credit derivatives
,
cdo
,
index
,
valuation
,
risk management
Capped Accumulated Return Call Option
Author(s):
David Lee
(see profile)
Date:
2023
Group(s):
Business Management
Subject(s):
Options (Finance)
,
Options (Finance)--Valuation--Mathematical models
,
Capital assets pricing model
,
Stock exchanges
Item Type:
Article
Tag(s):
Capped Accumulated Return Call Option
,
option valuation
,
asset pricing
,
pricing model
CDS Index Basis Adjustment
Author(s):
David Lee
(see profile)
Date:
2023
Group(s):
Business Management
Subject(s):
Derivative securities
,
Valuation
,
Capital assets pricing model
,
Credit
Item Type:
Article
Tag(s):
CDS
,
index basis
,
basis adjustment
CLO Total Return Swap
Author(s):
David Lee
(see profile)
Date:
2023
Group(s):
Business Management
Subject(s):
Capital assets pricing model
,
Risk management
,
Corporations--Valuation
,
Derivative securities
Item Type:
Report
Tag(s):
CLO
,
devative pricing
,
Swap Model
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