2 papers
econ.GN2024
Hedge Fund Index Rules and Construction
David Xiao
A Hedge Fund Index is very useful for tracking the performance of hedge fund investments, especially the timing of fund redemption. This paper presents a methodology for constructi…
q-fin.PR2023
Default Process Modeling and Credit Valuation Adjustment
David Xiao
This paper presents a convenient framework for modeling default process and pricing derivative securities involving credit risk. The framework provides an integrated view of credit…