Roderick MacLeod

Rodel Tech Financial

London

United Kingdom

http://www.rodeltechfin.com

U.C. Berkeley Master of Financial Engineering

Master of Financial Engineering

310 Barrows Hall

Berkeley, CA 94720

United States

MIT - B.S. Management Science / Finance

Alumnus

Cambridge, MA 02136

United States

  • Rodel Tech Financial

  • U.C. Berkeley Master of Financial Engineering

  • MIT - B.S. Management Science / Finance

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 38,129

SSRN RANKINGS

Top 38,129

in Total Papers Downloads

2,568

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (5)

Actions:
Email selected abstracts
1.

Pricing Exotic Barrier Options with Finite Differences

Number of pages: 29 Posted: 30 May 2007
Guanghua Cao and Roderick MacLeod
Morgan Stanley and Rodel Tech Financial
Downloads 830 (57,733)

Abstract:

Loading...

Barrier Option, Derivative, Path-Dependent Payoff, Finite Differences, Exotic Options, Payoff, Delta, Gamma, Accuracy, Speed

2.

Trading Basis Part 1

Number of pages: 45 Posted: 31 May 2007 Last Revised: 15 Jun 2016
Roderick MacLeod
Rodel Tech Financial
Downloads 638 (81,275)

Abstract:

Loading...

CDS, Credit, Basis, Default Probability, Recovery Rates, Sovereign Emerging Market CDS, Trading Satretgy, Cheapest to Deliver Options, Black-Scholes, Monte-Carlo

3.

Trading Basis Part 2

Number of pages: 62 Posted: 31 May 2007 Last Revised: 15 Jun 2016
Roderick MacLeod
Rodel Tech Financial
Downloads 419 (135,675)

Abstract:

Loading...

CDS, Credit, Basis, Default Probability, Recovery Rates, Sovereign Emerging Market CDS, Trading Satretgy, Cheapest to Deliver Options, Black-Scholes, Monte-Carlo

4.

Simple Computational Methods For Pricing Equity Default Swaps

Number of pages: 13 Posted: 31 May 2007
Guanghua Cao, Nathan Coelen, Andrea Ling and Roderick MacLeod
Morgan Stanley, Morgan Stanley, University of California, Berkeley - Haas School of Business and Rodel Tech Financial
Downloads 383 (150,282)
Citation 1

Abstract:

Loading...

Equity Default Swap, hybrid credit-equity instrument, equity, credit, pricing methods, accelerated simulation, real-time pricing

5.

Simple Computational Methods for Pricing a Down and Out Basket Bermudan Put

Number of pages: 11 Posted: 30 May 2007
Guanghua Cao, Nathan Coelen, Andrea Ling and Roderick MacLeod
Morgan Stanley, Morgan Stanley, University of California, Berkeley - Haas School of Business and Rodel Tech Financial
Downloads 298 (196,970)

Abstract:

Loading...

Down and Out Option, Bermudan Option, Basket Option, Stirke, Basket of Stocks, Weekly Exercise Intervals, Automatic Exercise, Accelerate Pricing Methods, Accelerated Simulation, Accurate Pricing, Real-Time Pricing, Greeks, Delta, Gamma, Vega, Theta, Rho