4 papers
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…
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…
Valuation of Equity Linked Securities with Guaranteed Return
David Xiao
Equity-linked securities with a guaranteed return become very popular in financial markets ether as investment instruments or life insurance policies. The contract pays off a guara…
Generic Forward Curve Dynamics for Commodity Derivatives
David Xiao
This article presents a generic framework for modeling the dynamics of forward curves in commodity market as commodity derivatives are typically traded by futures or forwards. We h…