Projects

• A Note to Enhance the BPM Method of Pricing Basket and Spread Options  

  Chen, Son-nan

• Modifying the LMM to Price Constant Maturity Swaps  

  Chen, Son-nan

• Pricing Interest Rate Guarantee Embedded in Defined Contribution Pension Plan under the Libor Market Model  

  Chen, Son-nan

• Valuation of CMS Spread Options with Nonzero Strike Rates in the LIBOR Market Model  

  Chen, Son-nan

• Ambiguity, Learning, and Asset Returns  

  Ju, Nengjiu

• Market Liquidity, Asset Prices, and Welfare  

  Wang, Jiang

• Airport congestion pricing when airlines price discriminate  

  Zhang, Anmin