25 citations · 164 across the 28 of their papers we have counts for
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q-fin.PR2016★ 1 cited
Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory
Ravi Kashyap
Models to price long term loans in the securities lending business are developed. These longer horizon deals can be viewed as contracts with optionality embedded in them. This insi…
q-fin.PR2016
Securities Lending Strategies: Exclusive Valuations and Auction Bids
Ravi Kashyap
We derive valuations of a portfolio of financial instruments from a securities lending perspective, under different assumptions, and show a weighting scheme that converges to the t…