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• CDS Index Basis Adjustment

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management, Public Humanities, Scholarly Communication

  Subject(s):

  Derivative securities, Valuation, Capital assets pricing model, Credit

  Item Type:

  Article

  Tag(s):

  CDS, index basis, basis adjustment

  
  

• Reverse Convertible Pricing Model

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management, Public Humanities, Scholarly Communication

  Subject(s):

  Derivative securities, Corporations--Valuation, Options (Finance), Pricing

  Item Type:

  Article

  Tag(s):

  reverse convertible, asset pricing, security, valuation, valuation model

  
  

• Digital Barrier Basket Note Valuation

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management, Public Humanities, Scholarly Communication

  Subject(s):

  Derivative securities, Derivative securities--Valuation, Options (Finance)

  Item Type:

  Report

  Tag(s):

  barrier option, basket option, basket barrier option, option valuation

  
  

• Pricing Asian Option on a Basket of Averages

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management, Public Humanities, Scholarly Communication

  Subject(s):

  Options (Finance), Derivative securities, Options (Finance)--Valuation

  Item Type:

  Report

  Tag(s):

  Asian option, commodity derivatives, average basket

  
  

• Equity Asian Swap Model

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management, Public Humanities, Scholarly Communication

  Subject(s):

  Derivative securities, Options (Finance), Options (Finance)--Valuation

  Item Type:

  Report

  Tag(s):

  equity option, Asian option, option valuation

  
  

• Variance and Volatility Swap Model

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management, Public Humanities, Scholarly Communication

  Subject(s):

  Derivative securities, Valuation, Stock exchanges

  Item Type:

  Essay

  Tag(s):

  variance swap, volatility swap, asset pricing, derivative valuation

  
  

• Term of Structure of Implied Volatility Model

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management, Public Humanities, Scholarly Communication

  Subject(s):

  Risk management, Options (Finance), Derivative securities

  Item Type:

  Presentation

  Tag(s):

  Implied volatility, VAR, derivative valuation

  
  

• Valuation of Shrinking Basket Option Based on the Worst Return.

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management, Public Humanities, Scholarly Communication

  Subject(s):

  Derivative securities, Stock exchanges, Options (Finance)

  Item Type:

  Presentation

  Tag(s):

  option, basket option, derivative valuation

  
  

• Default Put Protection Derivative Analytics

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management, Public Humanities, Scholarly Communication

  Subject(s):

  Derivative securities, Credit, Valuation

  Item Type:

  Presentation

  Tag(s):

  put production, credit derivatives, derivative valuation

  
  

• Gold Option Pricing Model

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management, Public Humanities, Scholarly Communication

  Subject(s):

  Derivative securities, Commodity exchanges, Contingent valuation

  Item Type:

  Report

  Tag(s):

  gold derivatives, derivative valuation, pricing model

  
  

• Pricing Path Dependent Derivative Note

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management, Public Humanities, Scholarly Communication

  Subject(s):

  Derivative securities, Economics, Finance, Pricing

  Item Type:

  Article

  Tag(s):

  Deirivatives, equity linked note, path dependent valuation

  
  

• American Barrier Option Model

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management, Public Humanities, Scholarly Communication

  Subject(s):

  Derivative securities, Pricing, Stock exchanges

  Item Type:

  Presentation

  Tag(s):

  Barrier option, American option, asset pricing, valuation model

  
  

• CLO Total Return Swap

  Author(s):

  David Lee (see profile)

  Date:

  2023

  Group(s):

  Business Management, Public Humanities, Scholarly Communication

  Subject(s):

  Capital assets pricing model, Risk management, Corporations--Valuation, Derivative securities

  Item Type:

  Report

  Tag(s):

  CLO, devative pricing, Swap Model

  
  

• LIBOR Rate Model

  Author(s):

  Tim Xiao (see profile)

  Date:

  2022

  Group(s):

  Scholarly Communication

  Subject(s):

  Derivative securities, Derivative securities--Valuation

  Item Type:

  Essay

  Tag(s):

  libor rate model, LIBOR Market Model

  
  

• Hull White Volatility Calibration Study

  Author(s):

  Tim Xiao (see profile)

  Date:

  2022

  Group(s):

  Scholarly Communication

  Subject(s):

  Derivative securities, Derivative securities--Valuation

  Item Type:

  Essay

  Tag(s):

  Hull White model, volatility

  
  

• Daily Digital Swap Model

  Author(s):

  Tim Xiao (see profile)

  Date:

  2022

  Group(s):

  Scholarly Communication

  Subject(s):

  Derivative securities, Derivative securities--Valuation

  Item Type:

  Essay

  Tag(s):

  digital swap, swap valuation

  
  

• Quanto Total Return LIBOR Swap Model

  Author(s):

  Tim Xiao (see profile)

  Date:

  2022

  Group(s):

  Scholarly Communication

  Subject(s):

  Derivative securities, Derivative securities--Valuation

  Item Type:

  Essay

  Tag(s):

  total return swap, quanto option

  
  

• Early Start Swap Model

  Author(s):

  Tim Xiao (see profile)

  Date:

  2022

  Group(s):

  Scholarly Communication

  Subject(s):

  Derivative securities, Derivative securities--Valuation

  Item Type:

  Essay

  Tag(s):

  early start swap, swap valuation

  
  

• CMS Spread Option Model

  Author(s):

  Tim Xiao (see profile)

  Date:

  2022

  Group(s):

  Scholarly Communication

  Subject(s):

  Derivative securities, Derivative securities--Valuation

  Item Type:

  Essay

  Tag(s):

  CMS swap, spread option, option valuation

  
  

• Variable Rate Swap Model

  Author(s):

  Tim Xiao (see profile)

  Date:

  2022

  Group(s):

  Business Management

  Subject(s):

  Derivative securities, Derivative securities--Prices

  Item Type:

  Essay

  Tag(s):

  Variable Rate Swap, Swap Model

  
  

• Black-Karasinski Short Rate Tree Model

  Author(s):

  Tim Xiao (see profile)

  Date:

  2022

  Group(s):

  Business Management

  Subject(s):

  Derivative securities, Derivative securities--Valuation

  Item Type:

  Essay

  Tag(s):

  Black-Karasinski M

  
  

• Arrear Quanto CMS Model

  Author(s):

  Tim Xiao (see profile)

  Date:

  2022

  Group(s):

  Business Management

  Subject(s):

  Derivative securities, Derivative securities--Prices

  Item Type:

  Essay

  Tag(s):

  quanto CMS, arrear fixing, arrear fixing

  
  

• Martingale Preserving Tree Analytics

  Author(s):

  Tim Xiao (see profile)

  Date:

  2022

  Group(s):

  Business Management

  Subject(s):

  Derivative securities, Derivative securities--Valuation

  Item Type:

  Essay

  Tag(s):

  Martingale Preserving Tree

  
  

• American Bond Yield Option

  Author(s):

  Tim Xiao (see profile)

  Date:

  2022

  Group(s):

  Business Management

  Subject(s):

  Derivative securities, Derivative securities--Valuation

  Item Type:

  Essay

  Tag(s):

  American option, bond yield

  
  

• Flexible GIC Pricing Model

  Author(s):

  Tim Xiao (see profile)

  Date:

  2022

  Group(s):

  Business Management

  Subject(s):

  Derivative securities, Merton Model

  Item Type:

  Essay

  Tag(s):

  GIC, flexible gic

  
  

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