Clearwater Bay
Kowloon, 999999
Hong Kong
Hong Kong University of Science & Technology - Department of Mathematics
LIBOR model, stochastic volatility, square-root process, swaptions, Fast Fourier transform (FFT)
CVA, FVA, default risk, funding risk, derivatives
Utility maximization, utility indifference prices, minimal entropy martingale measure, jump-diffusion processes, risk neutral valuation
Inflation rate derivatives, market model, foreign currency analogy
Stochastic Volatility, SABR Model, CEV Model
LIBOR model, market model, credit default swaps, credit default swaptions, defaultable floating-rate notes, recovery rate
Stochastic Volatility, SABR Model, CEV Model, Gauss-Hermite Quadrature
CCR, CVA, FVA
Credit valuation adjustment (CVA), funding valuation adjustment (FVA), funding cost adjustment (FCA), margin valuation adjustment (MVA), collateral valuation adjustment (ColVA), capital valuation adjustment (KVA)
Consumer Price Index, inflation rates, market model, zero-coupon and year-on-year inflation swaps, inflation caps, inflation floors and inflation swaptions.
