Papers

A Unified Model: Arbitrage-free Term Structure Movements of Flow Risks

• Author: Thomas S. Y. Ho and Sang Bin Lee
• Date of Publication: September 2008

THC Residential Mortgage Loan Valuation: a Unified Prepayment-Default Model (revised version)

• Author: Thomas S. Y. Ho and Sang Bin Lee
• Date of Publication: August 2008

Valuation of Credit Contingent Claims: An Arbitrage-Free Credit Model

• Author: Thomasho S. Y. Ho
• Date of Publication: June 2008

A Unified Credit and Interest Rate Arbitrage-free Contingent

• Author: Thomas S. Y. Ho and Sang Bin Lee
• Date of Publication: May 2008

Valuing Fixed Rate Mortgage Loans with Default and Prepayment Options

• Author: Thomasho S. Y. Ho
• Date of Publication: 2006

Interest Rate Models' Implied Volatility Function Stochastic Movements

• Author: Robert M. Dunsky PhD and Thomas S. Y. Ho
• Date of Publication: November 2005

Managing the Risk of Variable Annuities: a Decomposition Methodology

• Author: Thomas S. Y. Ho
• Date of Publication: 2005

Business Models: Applications to Capital Budgeting, Equity Value and Return Attribution

• Author: Thomas S. Y. Ho and Blessing Mudavanhu
• Date of Publication: 2005

Practical Considerations in Managing Variable Annuities

• Author: Thomas S. Y. Ho and Sang Bin Lee
• Date of Publication: 2005

Managing Stochastic Volatility Risks of Interest Rate Options: Key Rate Vega

• Author: Thomas S. Y. Ho and Sang Bin Lee,Yoon Seok Choi
• Date of Publication: 2005

A Multi-Factor Binomial Interest Rate Model with State Time Dependent Volatilities

• Author: Thomas S. Y. Ho and Blessing Mudavanhu
• Date of Publication: 2004

Asset/Liability Management and Enterprise Risk Management of an Insurer

• Author: Thomas S. Y. Ho and Sang Bin Lee
• Date of Publication: 2004

High Yield Bond Valuation: A Business Model Approach

• Author: Thomas S. Y. Ho
• Date of Publication: 2004

A Multi-factor Interest Rate Model: Theory and Empirical Evidence

• Author: Thomas S. Y. Ho and Sang Bin Lee
• Date of Publication: 2004

Value at Risk of a Bank's Balance Sheet

• Author: Thomas S. Y. Ho and Sang Bin Lee
• Date of Publication: January 1999

Market Valuation of Liability: Transfer Pricing, Profit Release and Credit Spread

• Author: Thomas S.Y. Ho, Allen Abrahamson and Mark C. Abbott
• Date of Publication: May 1999
• Publication: Market Valuation of Liabilities New York University

Allocate Capital and Measure Performances in a Financial Institution

• Author: Thomas S. Y. Ho
• Date of Publication: March 1998