- 401K Fund
A fund model is presented for several contract subtypes involving stable value protection on 401K tax-sheltered investment plans. The model does not perform pricing, but rather makes an estimate of expected losses. The estimation of fees received in compensation for extending the value protection is not treated in the model, although the loss estimation appears to be consistent with the detailed structure of these contracts.
2. Reverse Convertible
The payoff of reverse convertible product involves returns on multiple assets and is conditional on hitting of continuous barriers. The Monte Carlo methodology employed by ESP is an efficient conditioning technique.
Zenodo reverse convertible pdf
3. Binary Return Note
The structure of a Binary Return Note is similar to the one of a regular note, but the coupons are
contingent on return rates on stocks. Quasi-Monte Carlo simulation is used for pricing the product.
4. Equity Futures
The output of the model is the mark to market value of such a contract, that is, the Equity Futures price less the strike (if long position).
5. Equity Forward with Some Features
Two new features are added in the equity forward pricing model. One feature is settle date lag, which is introduced to match market conventions as forward contracts are sometimes settled with a delay. The other feature is dividend percentage, which allows the model user to use part of the real dividend for calculation.
6. Equity for Float Swap
An equity-for-float swap is an agreement between two counterparties to exchange the dividends and capital gains realized on an equity portfolio for a floating rate of interest. When the reset dates for the equity leg and for the floating leg are different, a new dividend payment option is now available, where the user can specify that dividends be paid according to the floating payment dates.
7. Expiration Price Option
The model allows users to calculate daily amortization amount using total number of amortization dates and amortization of the initial premium based on the specified amortization history.
8. Fair Value Adjustment
A modified calculation approach is presented for the fair value of an equity index futures contract. The modified calculation takes into account the funding required to support the tail hedge that was not considered previously.
9. CARC Flexible Return
A Monte Carlo (Monte Carlo, MC, and Quasi Monte Carlo, QMC) pricing model is presented for a new variation on the product named capped-accumulated-return-call (CARC): CARC with pick and choose the return period. User specifies the dates where equity returns are to be calculated and then used in the final payoff.
Zenodo carc flexible return pdf
10. CARC Lock-In Feature
A Monte Carlo (Gaussian MC and Quasi MC) pricing model is presented for the product named capped-accumulated-return-call (CARC) with lock in feature. Let be an increasing series of lock in returns. Let
be the greatest lock in return such that the maximum of the partial accumulated returns is greater or equal than
. If
exists, then the final accumulated return will not be smaller than
. By its definition
is path-dependent. It acts as a path-dependent floor, as opposed to the global floor which is fixed.
11. CARC Volatility Surface
A pricing model for capped-accumulated-return-call (CARC) with volatility surface is presented. Proprietary approaches to interpreting volatility surface are employed during pricing. To accelerate the convergence when low discrepancy sequences are used in Monte Carlo simulation (Quasi-Monte Carlo simulation), the Brownian Bridge Path Construction has been employed in some CARC transactions.
12. Two Way Return CARC
We developed and implemented a pricing model for capped-accumulated-return-call (CARC) with two features: two-way-return and splitting payoff.
13. Multiple-Underlying CARC
A pricing model is presented for capped-accumulated-return-call (CARC) with multiple underlyings. At each reset date, a weighted stock price is calculated. These weighted stock prices are used to compute returns.
14. Average Rate (Asian) Option
The payoff of an Asian option depends on the average of the underling stock price over certain time interval. Since no general analytical solutions for the price of the Asian option is known, a variety of techniques have been proposed to analyze the arithmetic average Asian options.
15. Cross Currency Option
A cross currency option is a currency translated option of the type foreign equity option struck in domestic currency, which is a call or put on a foreign asset with a strike price set in domestic currency and payoff measured in domestic currency.
16. Capped Asian Basket Options
A model is presented for pricing Asian basket options with individually capped returns. Crude Monte Carlo method is employed to value the derivatives. Each asset return is capped with a rate. Volatility smile is utilized in the calculation.