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6 results on '"Wu, Ting-Pin"'

1. Modifying the LMM to price constant maturity swaps

Author

Wu, Ting-Pin and Chen, Son-Nan

Subjects
Swaps (Finance) -- Analysis, London Interbank Offered Rate -- Analysis, Pricing -- Analysis, Product price, Banking, finance and accounting industries, Business
Abstract

Within the framework of the LIBOR market model, this article presents a new approach for finding the approximate distribution of constant maturity swap (CMS) rates under forward martingale measures. With [...]

Published
2010

2. Analytical valuation of barrier interest rate options under market models

Author

Wu, Ting-Pin and Chen, Son-Nan

Subjects
Hedging (Finance) -- Analysis, Options (Finance) -- Prices and rates, Options (Finance) -- Valuation, Pricing -- Models, Pricing -- Analysis, Swaps (Finance) -- Valuation, Product price, Company pricing policy, Banking, finance and accounting industries, Business
Abstract

Barrier caps, floors, and swaptions are priced in a closed form via the time-changed technique under the market models. The parameters of the resulting formulas can be easily extracted from [...]

Published
2009

3. Valuation of interest rate spread options in a multifactor LIBOR market model

Author

Wu, Ting-Pin and Chen, Son-Nan

Subjects
Derivatives (Financial instruments) -- Analysis, Interest rates -- Analysis, Swaps (Finance) -- Analysis, Banking, finance and accounting industries, Business
Abstract

Within the multifactor LIBOR market model, the authors examine three types pf interest rate spread options: LIBOR vs. LIBOR, LIBOR vs. swap rate, and swap rate vs. swap rate. These [...]

Published
2009

4. Cross-currency equity swaps in the BGM model

Author

Wu, Ting-Pin and Chen, Son-Nan

Subjects
Hedging (Finance) -- Analysis, Swaps (Finance) -- Analysis, Banking, finance and accounting industries, Business
Abstract

Under the arbitrage-free framework of the HJM model (Heath, Jarrow and Morton [1992]), this article simultaneously extends the BGM model (Brace, Gatarek and Musiela [1997])from a single-currency economy to a [...]

Published
2007

5. Valuation of floating range notes in a LIBOR market model

Author

Wu, Ting-Pin and Chen, Son-Nan

Subjects
Floating rate notes -- Valuation, London Interbank Offered Rate -- Models, Interest rates -- Models, Business, Business, general
Abstract

An approximate pricing formula of floating range notes within the multifactor LIBOR market model (LMM) framework is derived. The formula is easier to calibrate due to the use of the LMM framework and is more tractable.

Published
2008

6. Equity swaps in a LIBOR model

Author

Wu, Ting-Pin and Chen, Son Nan

Subjects
London, England -- Economic aspects, Econometric models -- Usage, Quasi contracts -- Evaluation, Business, Business, general
Abstract

The extension of the Brace-Gatarek-Musiela interest rate model to analyze the valuation of equity swaps in the financial markets of London is described.

Published
2007

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