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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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