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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…
q-fin.PR2023
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…
q-fin.PR2023
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…