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• 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

  Search term matches:

  Tag

  ... libor market model ...

  
  

• Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment

  Author(s):

  Tim Xiao (see profile)

  Date:

  2020

  Group(s):

  Business Management

  Subject(s):

  Economics

  Item Type:

  Article

  Tag(s):

  bilateral defaultable derivatives, credit asymmetry, market models, Black model, LIBOR Market Model

  Search term matches:

  Tag

  ... libor market model ...

  Full Text

  ... of Black for caps and swaptions. The typical market models are Black model, LIBOR market model (LMM ...

  
  

• An Efficient Lattice Algorithm For The LIBOR Market Model

  Author(s):

  Tim Xiao (see profile)

  Date:

  2020

  Group(s):

  Business Management

  Subject(s):

  Values--Philosophy, Economics

  Item Type:

  Article

  Tag(s):

  LIBOR Market Model, lattice model, asset pricing, derivatives valuation, risk management, Value theory

  Search term matches:

  Title

  ... An Efficient Lattice Algorithm For The LIBOR Market Model ...

  Tag

  ... libor market model ...

  Full Text

  ... AN EFFICIENT LATTICE ALGORITHM FOR THE LIBOR MARKET MODEL Tim Xiao1 ABSTRACT ...

  
  

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