Tim Xiao

Personal Details

First Name:	Tim
Middle Name:
Last Name:	Xiao
Suffix:
RePEc Short-ID:	pxi175
	[This author has chosen not to make the email address public]
	https://finpricing.com/lib/IrCurveIntroduction.html

Affiliation

FinPricing

https://finpricing.com
Canada, Toronto

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

1. Xiao,Tim, 2019. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," EconStor Preprints 201542, ZBW - Leibniz Information Centre for Economics.
   • Xiao, Tim, 2017. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," arabixiv.org 96dy5, Center for Open Science.
   • Xiao, Tim, 2013. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," MPRA Paper 47136, University Library of Munich, Germany.
   • Xiao, Tim, 2017. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," FrenXiv mt637, Center for Open Science.
   • Xiao, Tim, 2017. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," SocArXiv u546r, Center for Open Science.
   • Tim Xiao, 2019. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," Working Papers hal-02024145, HAL.

   Cited by:

   1. Xiao, Tim, 2013. "An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk," MPRA Paper 47104, University Library of Munich, Germany.
   2. Xiao, Tim, 2013. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," MPRA Paper 47366, University Library of Munich, Germany.
      • Xiao, Tim, 2017. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," SocArXiv zr7hp, Center for Open Science.
      • Xiao,Tim, 2015. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 4(1), pages 1-25.
      • Xiao, Tim, 2017. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," arabixiv.org ez659, Center for Open Science.
      • Tim Xiao, 2015. "Is the jump-diffusion model a good solution for credit risk modelling? The case of convertible bonds," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 4(1), pages 1-25.
      • Xiao, Tim, 2017. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," FrenXiv unz4k, Center for Open Science.
      • Tim Xiao, 2015. "Is the jump-diffusion model a good solution for credit risk modelling? The case of convertible bonds," Post-Print hal-01812928, HAL.

2. Tim Xiao, 2019. "Incremental Risk Charge Methodology," Working Papers hal-02024148, HAL.
   • Xiao, Tim, 2018. "Incremental Risk Charge Methodology," arabixiv.org qmcdz, Center for Open Science.
   • Xiao, Tim, 2018. "Incremental Risk Charge Methodology," FrenXiv 6b3hu, Center for Open Science.
   • Xiao, Tim, 2019. "Incremental Risk Charge Methodology," MPRA Paper 94581, University Library of Munich, Germany, revised 08 May 2019.
   • Xiao, Tim, 2018. "Incremental Risk Charge Methodology," SocArXiv y43dx, Center for Open Science.
   • Xiao,Tim, 2019. "Incremental Risk Charge Methodology," EconStor Preprints 201810, ZBW - Leibniz Information Centre for Economics.

   Cited by:

   1. Xiao, Tim, 2018. "Incremental Risk Charge Methodology," FrenXiv 6b3hu, Center for Open Science.
      • Xiao, Tim, 2018. "Incremental Risk Charge Methodology," arabixiv.org qmcdz, Center for Open Science.
      • Tim Xiao, 2019. "Incremental Risk Charge Methodology," Working Papers hal-02024148, HAL.
      • Xiao, Tim, 2019. "Incremental Risk Charge Methodology," MPRA Paper 94581, University Library of Munich, Germany, revised 08 May 2019.
      • Xiao, Tim, 2018. "Incremental Risk Charge Methodology," SocArXiv y43dx, Center for Open Science.
      • Xiao,Tim, 2019. "Incremental Risk Charge Methodology," EconStor Preprints 201810, ZBW - Leibniz Information Centre for Economics.
   2. Matheus Pimentel Rodrigues & Andre Cury Maialy, 2019. "Measuring Default Risk For A Portfolio Of Equities," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(01), pages 1-21, February.

3. Xiao, Tim, 2019. "Pricing Interest Rate Swap Subject to Bilateral Counterparty Risk," MPRA Paper 94233, University Library of Munich, Germany.

   Cited by:

   1. Abdul Latif, Nurul Atikah, 2019. "The Impact of Liquidity Risk on Internal and External Factors," MPRA Paper 97222, University Library of Munich, Germany.

4. Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," EconStor Preprints 202549, ZBW - Leibniz Information Centre for Economics.
   • Tim Xiao, 2019. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," Working Papers hal-02165501, HAL.
   • Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," arabixiv.org 5uxef, Center for Open Science.
   • Xiao, Tim, 2019. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," MPRA Paper 94135, University Library of Munich, Germany.
   • Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," FrenXiv 5hf4b, Center for Open Science.
   • Xiao, Tim, 2018. "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," SocArXiv kzbxf, Center for Open Science.

   Cited by:

   1. Abdul Latif, Nurul Atikah, 2019. "The Impact of Liquidity Risk on Internal and External Factors," MPRA Paper 97222, University Library of Munich, Germany.

5. Tim Xiao, 2018. "A New Model for Pricing Collateralized Financial Derivatives," Papers 1805.11981, arXiv.org.
   • Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," MPRA Paper 87088, University Library of Munich, Germany.
   • Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," SocArXiv fvdzh, Center for Open Science.
   • Tim Xiao, 2017. "A New Model for Pricing Collateralized Financial Derivatives," Post-Print hal-01800559, HAL.

   Cited by:

   1. Xiao, Tim, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," FrenXiv 6m73z, Center for Open Science.
      • Tim Xiao, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," Working Papers hal-02174170, HAL.
      • Xiao, Tim, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," arabixiv.org j9hkn, Center for Open Science.
      • Xiao, Tim, 2018. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," EconStor Preprints 203447, ZBW - Leibniz Information Centre for Economics.
      • Xiao, Tim, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," SocArXiv 3pzyv, Center for Open Science.
   2. Xiao, Tim, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," SocArXiv 84xjn, Center for Open Science.
      • Xiao, Tim, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," MPRA Paper 94441, University Library of Munich, Germany.
      • Tim Xiao, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," Working Papers hal-02024147, HAL.
      • Xiao, Tim, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," arabixiv.org 86xhw, Center for Open Science.
      • Xiao, Tim, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," FrenXiv ej7nz, Center for Open Science.
      • Xiao,Tim, 2018. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," EconStor Preprints 202075, ZBW - Leibniz Information Centre for Economics.

6. Xiao, Tim, 2017. "A New Model for Pricing Collateralized OTC Derivatives," arabixiv.org b9vg8, Center for Open Science.
   • Xiao, Tim, 2017. "A New Model for Pricing Collateralized OTC Derivatives," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 24(4), pages 8-20.
   • Xiao, Tim, 2017. "A New Model for Pricing Collateralized OTC Derivatives," SocArXiv dh9mr, Center for Open Science.
   • Xiao, Tim, 2017. "A New Model for Pricing Collateralized OTC Derivatives," FrenXiv am8zy, Center for Open Science.

   Cited by:

   1. Xiao, Tim, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," FrenXiv 6m73z, Center for Open Science.
      • Tim Xiao, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," Working Papers hal-02174170, HAL.
      • Xiao, Tim, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," arabixiv.org j9hkn, Center for Open Science.
      • Xiao, Tim, 2018. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," EconStor Preprints 203447, ZBW - Leibniz Information Centre for Economics.
      • Xiao, Tim, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," SocArXiv 3pzyv, Center for Open Science.
   2. Xiao, Tim, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," SocArXiv 84xjn, Center for Open Science.
      • Xiao, Tim, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," MPRA Paper 94441, University Library of Munich, Germany.
      • Tim Xiao, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," Working Papers hal-02024147, HAL.
      • Xiao, Tim, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," arabixiv.org 86xhw, Center for Open Science.
      • Xiao, Tim, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," FrenXiv ej7nz, Center for Open Science.
      • Xiao,Tim, 2018. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," EconStor Preprints 202075, ZBW - Leibniz Information Centre for Economics.

7. Xiao, Tim, 2015. "An Accurate Solution for Credit Valuation Adjustment (CVA) and Wrong Way Risk," FrenXiv 2rtya, Center for Open Science.
   • Xiao, Tim, 2015. "An Accurate Solution for Credit Valuation Adjustment (CVA) and Wrong Way Risk," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 25(1), pages 84-95.
   • Xiao, Tim, 2015. "An Accurate Solution for Credit Valuation Adjustment (CVA) and Wrong Way Risk," arabixiv.org 2cqbg, Center for Open Science.
   • Xiao, Tim, 2015. "An Accurate Solution for Credit Valuation Adjustment (CVA) and Wrong Way Risk," SocArXiv 3yjk2, Center for Open Science.

   Cited by:

   1. Xiao, Tim, 2018. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," FrenXiv ds7zj, Center for Open Science.
      • Xiao, Tim, 2020. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," arabixiv.org ep9dn, Center for Open Science.
      • Xiao, Tim, 2019. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," EconStor Preprints 204279, ZBW - Leibniz Information Centre for Economics.
      • Xiao, Tim, 2019. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper 94861, University Library of Munich, Germany.
      • Xiao, Tim, 2020. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," SocArXiv jc43a, Center for Open Science.
   2. Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," SocArXiv fvdzh, Center for Open Science.
      • Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," MPRA Paper 87088, University Library of Munich, Germany.
      • Tim Xiao, 2018. "A New Model for Pricing Collateralized Financial Derivatives," Papers 1805.11981, arXiv.org.
      • Tim Xiao, 2017. "A New Model for Pricing Collateralized Financial Derivatives," Post-Print hal-01800559, HAL.
   3. Xiao, Tim, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," FrenXiv 6m73z, Center for Open Science.
      • Tim Xiao, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," Working Papers hal-02174170, HAL.
      • Xiao, Tim, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," arabixiv.org j9hkn, Center for Open Science.
      • Xiao, Tim, 2018. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," EconStor Preprints 203447, ZBW - Leibniz Information Centre for Economics.
      • Xiao, Tim, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," SocArXiv 3pzyv, Center for Open Science.
   4. Pascal François & Weiyu Jiang, 2019. "Credit Value Adjustment with Market-implied Recovery," Journal of Financial Services Research, Springer;Western Finance Association, vol. 56(2), pages 145-166, October.
   5. David Lee, 2018. "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," Papers 1804.02289, arXiv.org.
      • David Lee, 2018. "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," Working Papers hal-01758922, HAL.
      • Lee, David, 2018. "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper 85575, University Library of Munich, Germany.

8. Tim Xiao, 2015. "An Accurate Solution for Credit Valuation Adjustment and Wrong Way Risk," Post-Print hal-01810490, HAL.

   Cited by:

   1. Xiao, Tim, 2018. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," FrenXiv ds7zj, Center for Open Science.
      • Xiao, Tim, 2020. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," arabixiv.org ep9dn, Center for Open Science.
      • Xiao, Tim, 2019. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," EconStor Preprints 204279, ZBW - Leibniz Information Centre for Economics.
      • Xiao, Tim, 2019. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper 94861, University Library of Munich, Germany.
      • Xiao, Tim, 2020. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," SocArXiv jc43a, Center for Open Science.
   2. Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," SocArXiv fvdzh, Center for Open Science.
      • Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," MPRA Paper 87088, University Library of Munich, Germany.
      • Tim Xiao, 2018. "A New Model for Pricing Collateralized Financial Derivatives," Papers 1805.11981, arXiv.org.
      • Tim Xiao, 2017. "A New Model for Pricing Collateralized Financial Derivatives," Post-Print hal-01800559, HAL.
   3. Xiao, Tim, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," FrenXiv 6m73z, Center for Open Science.
      • Tim Xiao, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," Working Papers hal-02174170, HAL.
      • Xiao, Tim, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," arabixiv.org j9hkn, Center for Open Science.
      • Xiao, Tim, 2018. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," EconStor Preprints 203447, ZBW - Leibniz Information Centre for Economics.
      • Xiao, Tim, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," SocArXiv 3pzyv, Center for Open Science.
   4. Pascal François & Weiyu Jiang, 2019. "Credit Value Adjustment with Market-implied Recovery," Journal of Financial Services Research, Springer;Western Finance Association, vol. 56(2), pages 145-166, October.
   5. David Lee, 2018. "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," Papers 1804.02289, arXiv.org.
      • David Lee, 2018. "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," Working Papers hal-01758922, HAL.
      • Lee, David, 2018. "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper 85575, University Library of Munich, Germany.

9. Xiao, Tim, 2013. "An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk," MPRA Paper 47104, University Library of Munich, Germany.

   Cited by:

   1. Xiao, Tim, 2017. "A New Model for Pricing Collateralized OTC Derivatives," FrenXiv am8zy, Center for Open Science.
      • Xiao, Tim, 2017. "A New Model for Pricing Collateralized OTC Derivatives," SocArXiv dh9mr, Center for Open Science.
      • Xiao, Tim, 2017. "A New Model for Pricing Collateralized OTC Derivatives," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 24(4), pages 8-20.
      • Xiao, Tim, 2017. "A New Model for Pricing Collateralized OTC Derivatives," arabixiv.org b9vg8, Center for Open Science.
   2. Xiao, Tim, 2018. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," FrenXiv ds7zj, Center for Open Science.
      • Xiao, Tim, 2020. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," arabixiv.org ep9dn, Center for Open Science.
      • Xiao, Tim, 2019. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," EconStor Preprints 204279, ZBW - Leibniz Information Centre for Economics.
      • Xiao, Tim, 2019. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper 94861, University Library of Munich, Germany.
      • Xiao, Tim, 2020. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," SocArXiv jc43a, Center for Open Science.
   3. Xiao, Tim, 2013. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," MPRA Paper 47366, University Library of Munich, Germany.
      • Xiao, Tim, 2017. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," SocArXiv zr7hp, Center for Open Science.
      • Xiao,Tim, 2015. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 4(1), pages 1-25.
      • Xiao, Tim, 2017. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," arabixiv.org ez659, Center for Open Science.
      • Tim Xiao, 2015. "Is the jump-diffusion model a good solution for credit risk modelling? The case of convertible bonds," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 4(1), pages 1-25.
      • Xiao, Tim, 2017. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," FrenXiv unz4k, Center for Open Science.
      • Tim Xiao, 2015. "Is the jump-diffusion model a good solution for credit risk modelling? The case of convertible bonds," Post-Print hal-01812928, HAL.
   4. Xiao, Tim, 2014. "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," MPRA Paper 53982, University Library of Munich, Germany.
      • Xiao, Tim, 2015. "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," FrenXiv k6zj3, Center for Open Science.
      • Tim Xiao, 2013. "A simple and precise method for pricing convertible bond with credit risk," Post-Print hal-01812927, HAL.
      • Xiao, Tim, 2015. "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," arabixiv.org rdega, Center for Open Science.
      • Xiao, Tim, 2019. "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," SocArXiv gxwaj, Center for Open Science.
      • Xiao, Tim, 2013. "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 19(4), pages 259-277.
   5. Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," SocArXiv fvdzh, Center for Open Science.
      • Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," MPRA Paper 87088, University Library of Munich, Germany.
      • Tim Xiao, 2018. "A New Model for Pricing Collateralized Financial Derivatives," Papers 1805.11981, arXiv.org.
      • Tim Xiao, 2017. "A New Model for Pricing Collateralized Financial Derivatives," Post-Print hal-01800559, HAL.
   6. Pascal François & Weiyu Jiang, 2019. "Credit Value Adjustment with Market-implied Recovery," Journal of Financial Services Research, Springer;Western Finance Association, vol. 56(2), pages 145-166, October.
   7. David Lee, 2018. "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," Papers 1804.02289, arXiv.org.
      • David Lee, 2018. "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," Working Papers hal-01758922, HAL.
      • Lee, David, 2018. "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper 85575, University Library of Munich, Germany.

10. Tim Xiao, 2013. "A simple and precise method for pricing convertible bond with credit risk," Post-Print hal-01812927, HAL.
    • Xiao, Tim, 2013. "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 19(4), pages 259-277.
    • Xiao, Tim, 2015. "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," FrenXiv k6zj3, Center for Open Science.
    • Xiao, Tim, 2015. "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," arabixiv.org rdega, Center for Open Science.
    • Xiao, Tim, 2019. "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," SocArXiv gxwaj, Center for Open Science.
    • Xiao, Tim, 2014. "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," MPRA Paper 53982, University Library of Munich, Germany.

    Cited by:

    1. Peter J. Zeitsch, 2024. "Convertible Bond Arbitrage Smart Beta," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 159-192, January.
    2. Zaevski, Tsvetelin S. & Kounchev, Ognyan & Savov, Mladen, 2019. "Two frameworks for pricing defaultable derivatives," Chaos, Solitons & Fractals, Elsevier, vol. 123(C), pages 309-319.
    3. Piotr Jaworski & Kamil Liberadzki & Marcin Liberadzki, 2021. "On Write-Down/ Write-Up Loss Absorbing Instruments," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 1204-1219.

11. Xiao, Tim, 2012. "An Economic Examination of Collateralization in Different Financial Markets," MPRA Paper 47371, University Library of Munich, Germany.
    • Tim Xiao, 2019. "An Economic Examination of Collateralization in Different Financial Markets," Working Papers hal-02024144, HAL.
    • Xiao, Tim, 2012. "An Economic Examination of Collateralization in Different Financial Markets," MPRA Paper 47105, University Library of Munich, Germany.
    • Xiao, Tim, 2018. "An Economic Examination of Collateralization in Different Financial Markets," SocArXiv zw6xq, Center for Open Science.
    • Xiao, Tim, 2018. "An Economic Examination of Collateralization in Different Financial Markets," arabixiv.org b7uvg, Center for Open Science.
    • Xiao,Tim, 2019. "An Economic Examination of Collateralization in Different Financial Markets," EconStor Preprints 200503, ZBW - Leibniz Information Centre for Economics.
    • Xiao, Tim, 2018. "An Economic Examination of Collateralization in Different Financial Markets," FrenXiv j32fu, Center for Open Science.

    Cited by:

    1. Xiao, Tim, 2013. "An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk," MPRA Paper 47104, University Library of Munich, Germany.

12. Tim Xiao, 2011. "An Efficient Lattice Algorithm for the LIBOR Market Model," Post-Print hal-02024141, HAL.
    • Xiao, Tim, 2011. "An Efficient Lattice Algorithm for the LIBOR Market Model," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 19(1), pages 25-40.
    • Xiao, Tim, 2015. "An Efficient Lattice Algorithm For The Libor Market Model," FrenXiv dxvnw, Center for Open Science.
    • Xiao, Tim, 2015. "An Efficient Lattice Algorithm For The Libor Market Model," arabixiv.org fvtxd, Center for Open Science.
    • Xiao, Tim, 2015. "An Efficient Lattice Algorithm For The Libor Market Model," SocArXiv qmh9c, Center for Open Science.
    • Tim, Xiao, 2011. "An efficient lattice algorithm for the libor market model," MPRA Paper 32972, University Library of Munich, Germany.

    Cited by:

    1. Xiao, Tim, 2017. "A New Model for Pricing Collateralized OTC Derivatives," FrenXiv am8zy, Center for Open Science.
       • Xiao, Tim, 2017. "A New Model for Pricing Collateralized OTC Derivatives," SocArXiv dh9mr, Center for Open Science.
       • Xiao, Tim, 2017. "A New Model for Pricing Collateralized OTC Derivatives," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 24(4), pages 8-20.
       • Xiao, Tim, 2017. "A New Model for Pricing Collateralized OTC Derivatives," arabixiv.org b9vg8, Center for Open Science.
    2. Lago, Jesus & De Ridder, Fjo & Vrancx, Peter & De Schutter, Bart, 2018. "Forecasting day-ahead electricity prices in Europe: The importance of considering market integration," Applied Energy, Elsevier, vol. 211(C), pages 890-903.
    3. Xiao, Tim, 2012. "An Economic Examination of Collateralization in Different Financial Markets," MPRA Paper 47371, University Library of Munich, Germany.
       • Tim Xiao, 2019. "An Economic Examination of Collateralization in Different Financial Markets," Working Papers hal-02024144, HAL.
       • Xiao, Tim, 2012. "An Economic Examination of Collateralization in Different Financial Markets," MPRA Paper 47105, University Library of Munich, Germany.
       • Xiao, Tim, 2018. "An Economic Examination of Collateralization in Different Financial Markets," SocArXiv zw6xq, Center for Open Science.
       • Xiao, Tim, 2018. "An Economic Examination of Collateralization in Different Financial Markets," arabixiv.org b7uvg, Center for Open Science.
       • Xiao,Tim, 2019. "An Economic Examination of Collateralization in Different Financial Markets," EconStor Preprints 200503, ZBW - Leibniz Information Centre for Economics.
       • Xiao, Tim, 2018. "An Economic Examination of Collateralization in Different Financial Markets," FrenXiv j32fu, Center for Open Science.
    4. Xiao, Tim, 2017. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," FrenXiv mt637, Center for Open Science.
       • Xiao, Tim, 2017. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," arabixiv.org 96dy5, Center for Open Science.
       • Xiao, Tim, 2013. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," MPRA Paper 47136, University Library of Munich, Germany.
       • Xiao,Tim, 2019. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," EconStor Preprints 201542, ZBW - Leibniz Information Centre for Economics.
       • Xiao, Tim, 2017. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," SocArXiv u546r, Center for Open Science.
       • Tim Xiao, 2019. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," Working Papers hal-02024145, HAL.
    5. Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," SocArXiv fvdzh, Center for Open Science.
       • Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," MPRA Paper 87088, University Library of Munich, Germany.
       • Tim Xiao, 2018. "A New Model for Pricing Collateralized Financial Derivatives," Papers 1805.11981, arXiv.org.
       • Tim Xiao, 2017. "A New Model for Pricing Collateralized Financial Derivatives," Post-Print hal-01800559, HAL.
    6. Kian Guan Lim, 2021. "Bermudan option in Singapore Savings Bonds," Review of Derivatives Research, Springer, vol. 24(1), pages 31-54, April.
    7. Zhongkai Liu & Tao Pang, 2016. "An efficient grid lattice algorithm for pricing American-style options," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 5(1), pages 36-55.

Articles

1. Xiao, Tim, 2017. "A New Model for Pricing Collateralized OTC Derivatives," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 24(4), pages 8-20.
   • Xiao, Tim, 2017. "A New Model for Pricing Collateralized OTC Derivatives," SocArXiv dh9mr, Center for Open Science.
   • Xiao, Tim, 2017. "A New Model for Pricing Collateralized OTC Derivatives," FrenXiv am8zy, Center for Open Science.
   • Xiao, Tim, 2017. "A New Model for Pricing Collateralized OTC Derivatives," arabixiv.org b9vg8, Center for Open Science.
   See citations under working paper version above.
2. Xiao, Tim, 2015. "An Accurate Solution for Credit Valuation Adjustment (CVA) and Wrong Way Risk," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 25(1), pages 84-95.
   • Xiao, Tim, 2015. "An Accurate Solution for Credit Valuation Adjustment (CVA) and Wrong Way Risk," arabixiv.org 2cqbg, Center for Open Science.
   • Xiao, Tim, 2015. "An Accurate Solution for Credit Valuation Adjustment (CVA) and Wrong Way Risk," SocArXiv 3yjk2, Center for Open Science.
   • Xiao, Tim, 2015. "An Accurate Solution for Credit Valuation Adjustment (CVA) and Wrong Way Risk," FrenXiv 2rtya, Center for Open Science.
   See citations under working paper version above.
3. Xiao, Tim, 2013. "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 19(4), pages 259-277.
   • Xiao, Tim, 2015. "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," FrenXiv k6zj3, Center for Open Science.
   • Tim Xiao, 2013. "A simple and precise method for pricing convertible bond with credit risk," Post-Print hal-01812927, HAL.
   • Xiao, Tim, 2015. "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," arabixiv.org rdega, Center for Open Science.
   • Xiao, Tim, 2019. "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," SocArXiv gxwaj, Center for Open Science.
   • Xiao, Tim, 2014. "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," MPRA Paper 53982, University Library of Munich, Germany.
   See citations under working paper version above.
4. Xiao, Tim, 2011. "An Efficient Lattice Algorithm for the LIBOR Market Model," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 19(1), pages 25-40.
   • Xiao, Tim, 2015. "An Efficient Lattice Algorithm For The Libor Market Model," FrenXiv dxvnw, Center for Open Science.
   • Xiao, Tim, 2015. "An Efficient Lattice Algorithm For The Libor Market Model," arabixiv.org fvtxd, Center for Open Science.
   • Tim Xiao, 2011. "An Efficient Lattice Algorithm for the LIBOR Market Model," Post-Print hal-02024141, HAL.
   • Xiao, Tim, 2015. "An Efficient Lattice Algorithm For The Libor Market Model," SocArXiv qmh9c, Center for Open Science.
   • Tim, Xiao, 2011. "An efficient lattice algorithm for the libor market model," MPRA Paper 32972, University Library of Munich, Germany.
   See citations under working paper version above.Sorry, no citations of articles recorded.

More information

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Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 41 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. NEP-RMG: Risk Management (28) 2013-06-04 2013-06-04 2013-06-09 2013-06-09 2014-03-15 2018-06-25 2018-07-16 2018-07-23 2019-03-04 2019-03-04 2019-03-04 2019-06-24 2019-07-08 2019-07-22 2019-07-29 2019-08-26 2019-09-02 2019-09-09 2019-09-30 2019-11-18 2019-11-18 2019-11-25 2019-12-09 2019-12-09 2019-12-09 2019-12-16 2020-01-06 2020-06-22. Author is listed
2. NEP-ORE: Operations Research (10) 2019-06-17 2019-06-24 2019-07-08 2019-07-15 2019-07-22 2019-09-02 2019-09-16 2019-12-09 2019-12-09 2019-12-16. Author is listed
3. NEP-BAN: Banking (8) 2013-06-04 2013-06-04 2013-06-09 2014-03-15 2019-03-04 2019-03-04 2019-12-09 2019-12-16. Author is listed
4. NEP-MAC: Macroeconomics (7) 2013-06-04 2013-06-04 2013-06-04 2013-06-09 2019-09-02 2019-09-09 2019-09-30. Author is listed
5. NEP-CMP: Computational Economics (6) 2011-09-05 2019-03-04 2019-06-24 2019-11-18 2019-11-25 2019-12-09. Author is listed
6. NEP-FMK: Financial Markets (4) 2019-03-04 2019-09-30 2019-11-25 2020-06-22
7. NEP-CFN: Corporate Finance (3) 2019-07-29 2019-09-09 2019-09-30

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