maykwok

KWOK, Yue-Kuen
郭宇權

(PhD Brown)

Phone: (852) 2358 7418
Email: maykwok@ust.hk
Office: Room 3445
Home Page

Professor



Research Interests

Financial mathematics; derivatives pricing and credit risk modeling

Teaching

  • MAFS5220  Quantitative Risk Management
  • MAFS6010B  Simulation and Optimization in Quantitative Finance

Selected Publications

  Article

  1. Efficient risk measures calculations for generalized creditrisk + models
    • Author(s): Huang, Zhenzhen; Kwok, Yue Kuen
    • Source: International Journal of Theoretical and Applied Finance, v. 24, (2), March 2021, article number 2150012
    • Year: 2021

  2. Willow tree algorithms for pricing VIX derivatives under jump-diffusion dynamics of index and variance process
    • Author(s): Ma, Chengfu; Xu, Wei; Kwok, Yue Kuen
    • Source: International Journal of Financial Engineering, v. 7, (1), 2020, article number 2050003
    • Year: 2020

  3. Real option signaling games of debt financing using equity guarantee swaps under asymmetric information
    • Author(s): Wang, Qiuqi; Kwok, Yue Kuen
    • Source: International Journal of Theoretical and Applied Finance, v. 23, (5), 1 August 2020, article number 2050036
    • Year: 2020

  4. Saddlepoint approximations to tail expectations under non-Gaussian base distributions: option pricing applications
    • Author(s): Zhang, Yuantao ; Kwok, Yue Kuen
    • Source: Journal of Applied Statistics, 2019
    • Year: 2019

  5. Signaling game models of equity financing under information asymmetry and finite project life
    • Author(s): Wang, Qiuqi ; Kwok, Yue Kuen
    • Source: International Journal of Financial Engineering, v. 6, (1), March 2019, p. 38-38
    • Year: 2019

  6. Willow Tree Algorithms for Pricing Guaranteed Minimum Withdrawal Benefits Under Jump-diffusion and CEV Models
    • Author(s): Dong, Bing; Xu, Wei; Kwok, Yue Kuen
    • Source: Quantitative Finance, 2019
    • Year: 2019

  7. Real options signaling game models for dynamic acquisition under information asymmetry
    • Author(s): Leung, Chi Man ; Kwok, Yue Kuen
    • Source: Decisions in Economics and Finance, v. 41, (1), 1 May 2018, p. 35-63
    • Year: 2018

  8. Publisher Correction: Real options signaling game models for dynamic acquisition under information asymmetry
    • Author(s): Leung, Chi Man ; Kwok, Yue Kuen
    • Source: Decisions in Economics and Finance, 11 May 2018
    • Year: 2018

  9. Numerical Pricing of CoCo Bonds with Parisian Trigger Feature Using the Fortet Method
    • Author(s): Leung, Chi Man ; Kwok, Yue Kuen
    • Source: International Journal of Theoretical and Applied Finance, v. 20, (7), November 2017, article number 1750046
    • Year: 2017

  10. Numerical Pricing of CoCo Bonds with Parsian Trigger Feature Using the Fortet Method
    • Author(s): Leung, Chi Man; Kwok, Yue Kuen
    • Source: International Journal of Theoretical and Applied Finance. , v.20, (7), November 2017, article number 1750046
    • Year: 2017

  11. Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals
    • Author(s): Huang, Yao Tung ; Zeng, Pingping; Kwok, Yue Kuen
    • Source: SIAM Journal on Financial Mathematics. , v. 8, (1), November 2017, p. 804-840
    • Year: 2017

  12. Real Options Game Models of R&D Competition between Asymmetric Firms with Spillovers
    • Author(s): Leung, Chi Man; Kwok, Yue Kuen
    • Source: Decisions in Economics and Finance, v. 39, (2), November 2016, p. 259-291
    • Year: 2016

  13. Real Options Game Models of R&D Competition between Asymmetric Frrims with Spillovers
    • Author(s): Leung, Chiman; Kwok, Yue Kuen
    • Source: Decisions in Economics and Finance. , v. 39, (2), November 2016, p. 259-291
    • Year: 2016

  14. Pricing Bounds and Approximations for Discrete Arithmetic Asian Options Under Time-changed Lévy Processes
    • Author(s): Zeng, Pingping; Kwok, Yuekuen
    • Source: Quantitative Finance. , v. 16, (9), September 2016, p. 1375-1391
    • Year: 2016

  15. Enhanced Equity-credit Modelling for Contingent Convertibles
    • Author(s): Chung, Tszkin; Kwok, Yue Kuen
    • Source: Quantitative Finance. , v. 16, (10), October 2016, p. 1511-1527
    • Year: 2016

  16. Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees
    • Author(s): Huang, Yao Tung; Kwok, Yue Kuen
    • Source: Quantitative Finance. , v. 16, (6), June 2016, p. 905-928
    • Year: 2016

  17. Recursive Algorithms for Pricing Discrete Variance Options and Volatility Swaps Under Time-changed LÉVY Processes
    • Author(s): Zheng, Wendong; Yuen, Chihung; Kwok, Yue Kuen
    • Source: International Journal of Theoretical and Applied Finance. , v. 19, (2), March 2016, article number 1650011
    • Year: 2016

  18. Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models
    • Author(s): Yuen, Chi Hung; Zheng, Wen Dong; Kwok, Yue Kuen
    • Source: Applied Mathematical Finance. , v. 22, (5), September 2015, p. 421-449
    • Year: 2015

  19. FAST HILBERT TRANSFORM ALGORITHMS FOR PRICING DISCRETE TIMER OPTIONS UNDER STOCHASTIC VOLATILITY MODELS
    • Author(s): Zeng, Pingping; Kwok, Yuekuen; Zheng, Wendong
    • Source: International Journal of Theoretical and Applied Finance. , v. 18, (7), November 2015, article number 1550046
    • Year: 2015

  20. Pricing options on discrete realized variance with partially exact and bounded approximations
    • Author(s): Zheng, Wendong; Kwok, Yue Kuen
    • Source: Quantitative Finance. , v. 15, (12), December 2015, p. 2011-2019
    • Year: 2015

  21. Stochastic control model for R&D race in a mixed duopoly with spillovers and knowledge stocks
    • Author(s): Wang, Jingjing; Leung, Chiman; Kwok, Yuekuen
    • Source: Decisions in Economics and Finance. , v. 38, (2), October 2015, p. 177-195
    • Year: 2015

  22. Game Options Analysis of the Information Role of Call Policies in Convertible Bonds
    • Author(s): Leung, Chiman ; Chen, Nan ; Kwok, Yue Kuen
    • Source: Applied Mathematical Finance. , v. 22, (4), July 2015, p. 297-335
    • Year: 2015

  23. Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance
    • Author(s): Zheng, W.; Kwok, Y.K.
    • Source: Applied Mathematical Finance. , v. 21, (1), 2014, p. 1-31
    • Year: 2014

  24. Pricing Barrier and Bermudan Style Options Under Time-Changed Levy Processes: Fast Hilbert Transform Approach
    • Author(s): Zeng, Pingping; Kwok, Yue Kuen
    • Source: SIAM Journal on Scientific Computing. , v. 36, (3), 2014
    • Year: 2014

  25. Closed form pricing formulas for discretely sampled generalized variance swaps
    • Author(s): Zheng, Wendong; Kwok, Yue Kuen
    • Source: Mathematical Finance. , v. 24, (4), October 2014, p. 855-881
    • Year: 2014

  26. Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
    • Author(s): Huang, Yao Tung; Kwok, Yue Kuen
    • Source: Journal of Economic Dynamics and Control. , v. 45, 2014, p. 19-43
    • Year: 2014

  27. Numerical Algorithms for Research and Development Stochastic Control Models
    • Author(s): Leung, Chi Man; Kwok, Yue Kuen
    • Source: Journal of Computational Finance. , v. 18, (1), September 2014, p. 3-29
    • Year: 2014

  28. Game Option Models of Convertible Bonds: Determinants of Call Policies
    • Author(s): Kwok, Yue Kuen
    • Source: Journal of Financial Engineering. , v. 1, (4), December 2014
    • Year: 2014

  29. Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
    • Author(s): Peng, Jingjiang; Leung, Kwai Sun; Kwok, Yue Kuen
    • Source: Quantitative finance. , v. 12, (6), 2012, p. 933-941
    • Year: 2012

  30. Patent-investment games under asymmetric information
    • Author(s): Leung, Chi Man; Kwok, Yue Kuen
    • Source: European Journal of Operational Research. , v. 223, (2), December 2012, p. 441-451
    • Year: 2012

  31. Fourier transform algorithms for pricing and hedging discretely sampled exotic variance products and volatility derivatives under additive processes
    • Author(s): Zheng, Wendong; Kwok, Yue Kuen
    • Source: Journal of Computational Finance. , v. 18, (2), 2014, p. 3-30
    • Year: 2012

  32. Real options game analysis of sleeping patents
    • Author(s): Leung, C.M.; Kwok, Y.K.
    • Source: Decisions in economics and finance. , v. 34, (1), 2011, p. 41-65
    • Year: 2011

  33. OPTIMAL ARBITRAGE STRATEGIES ON STOCK INDEX FUTURES UNDER POSITION LIMITS
    • Author(s): Dai, Min; Zhong, Yifei; Kwok, Yue Kuen
    • Source: The Journal of Futures Markets. , v. 31, (4), April 2011, p. 394-406
    • Year: 2011

  34. Convexity meets replication: Hedging of swap derivatives and annuity options
    • Author(s): Zheng, Wendong; Kwok, Yue Kuen
    • Source: The Journal of Futures Markets. , v. 31, (7), July 2011, p. 659-678
    • Year: 2011

  35. Lattice Methods For Path-Dependent Options
    • Author(s): Kwok, Yue Kuen
    • Source: Encyclopedia of Quantitative Finance. , 2010
    • Year: 2010

  36. Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
    • Author(s): Leung, Kwai Sun; Kwok, Yue Kuen
    • Source: Asia-Pacific Financial Markets. , v. 16, (3), 2009, p. 169-181
    • Year: 2009

  37. Employee stock option valuation with repricing features
    • Author(s): Leung, Kwai Sun; Kwok, Yue Kuen
    • Source: Quantitative finance. , v. 8, (6), 2008, p. 561-569
    • Year: 2008

  38. Guaranteed minimum withdrawal benefit in variable annuities
    • Author(s): Dai, Min; Kwok, Yue Kuen; Zong, Jianping
    • Source: Mathematical finance. , v. 18, (4, Sp. Iss. SI), 2008, OCT, p. 595-611
    • Year: 2008

  39. Optimal multiple stopping models of reload options and shout options
    • Author(s): Dai, Min; Kwok, Yue Kuen
    • Source: Journal of economic dynamics & control. , v. 32, (7), 2008, JUL, p. 2269-2290
    • Year: 2008

  40. Finite-time dividend-ruin models
    • Author(s): Leung, Kwai Sun; Kwok, Yue Kuen; Leung, Seng Yuen
    • Source: Insurance MATHEMATICS & Economics. , v. 42, (1), 2008, FEB, p. 154-162
    • Year: 2008

  41. Valuation of guaranteed annuity options in affine term structure models
    • Author(s): Chu, Chi Chiu; Kwok, Yue Kuen
    • Source: International Journal of Theoretical and Applied Finance. , v. 10, (2), 2007, p. 363-387
    • Year: 2007

  42. Target redemption notes
    • Author(s): Chu, Chi Chiu; Kwok, Yue Kuen
    • Source: JOURNAL OF FUTURES MARKETS. , v. 27, (6), 2007, JUN, p. 535-554
    • Year: 2007

  43. Distribution of occupation times for constant elasticity of variance diffusion and the pricing of alpha-quantile options
    • Author(s): Leung, Kwai Sun; Kwok, Yue Kuen
    • Source: Quantitative finance. , v. 7, (1), 2007, FEB, p. 87-94
    • Year: 2007

  44. Real options in strategic investment games between two asymmetric firms
    • Author(s): Kong, Jean J.; Kwok, Yue Kuen
    • Source: European Journal of Operational Research. , v. 181, (2), 2007, SEP 1, p. 967-985
    • Year: 2007

  45. Intensity-based framework and penalty formulation of optimal stopping problems
    • Author(s): Dai, Min; Kwok, Yue Kuen; You, Hong
    • Source: Journal of economic dynamics & control. , v. 31, (12), 2007, DEC, p. 3860-3880
    • Year: 2007

  46. Characterization of optimal stopping regions of American Asian and lookback options
    • Author(s): Dai, Min; Kwok, Yue Kuen
    • Source: Mathematical finance. , v. 16, (1), 2006, JAN, p. 63-82
    • Year: 2006

  47. Optimal execution strategy of liquidation
    • Author(s): Lau, Ka Wo; Kwok, Yue Kuen
    • Source: Journal of industrial and management optimization. , v. 2, (2), 2006, MAY, p. 135-144
    • Year: 2006

  48. Pricing participating policies with rate guarantees
    • Author(s): Chu, Chi Chiu; Kwok, Yue Kuen
    • Source: International Journal of Theoretical and Applied Finance. , v. 9, (4), 2006, p. 517-532
    • Year: 2006

  49. American options with lookback payoff
    • Author(s): Dai, Min; Kwok, Yue Kuen
    • Source: SIAM journal on applied mathematics. , v. 66, (1), 2006, p. 206-227
    • Year: 2006

  50. Options with combined reset rights on strike and maturity
    • Author(s): Dai, Min; Kwok, Yue Kuen
    • Source: Journal of economic dynamics & control. , v. 29, (9), 2005, SEP, p. 1495-1515
    • Year: 2005

  51. Optimal policies of call with notice period requirement
    • Author(s): Dai, Min; Kwok, Yue Kuen
    • Source: Asia-Pacific Financial Markets. , v. 12, (4), 2005, p. 353-373
    • Year: 2005

  52. Credit default swap valuation with counterparty risk
    • Author(s): Leung, Seng Yuen; Kwok, Yue Kuen
    • Source: Kyoto Economics Review. , vol. 25, p.25-45
    • Year: 2005

  53. Valuation of employee reload options using utility maximization approach
    • Author(s): Lau, Ka W.; Kwok, Yue Kuen
    • Source: International Journal of Theoretical and Applied Finance. , v. 8, (5), 2005, p. 659-674
    • Year: 2005

  54. Valuing employee reload options under the time vesting requirement
    • Author(s): Dai, Min; Kwok, Yue Kuen
    • Source: Quantitative finance. , v. 5, (1), 2005, FEB, p. 61-69
    • Year: 2005

  55. Integral price formulas for lookback options
    • Author(s): Xu, Chenglong; Kwok, Yue Kuen
    • Source: Journal of Applied Mathematics. , v. 2005, (2), 2005, p. 117-125
    • Year: 2005

  56. Reset and withdrawal rights in dynamic fund protection
    • Author(s): Chu, Chi Chiu; Kwok, Yue Kuen
    • Source: Insurance MATHEMATICS & Economics. , v. 34, (2), 2004, APR 19, p. 273-295
    • Year: 2004

  57. Anatomy of option features in convertible bonds
    • Author(s): Lau, Ka W.; Kwok, Yue Kuen
    • Source: JOURNAL OF FUTURES MARKETS. , v. 24, (6), 2004, JUN, p. 513-532
    • Year: 2004

  58. Knock-in American options
    • Author(s): Dai, Min; Kwok, Yue Kuen
    • Source: JOURNAL OF FUTURES MARKETS. , v. 24, (2), 2004, FEB, p. 179-192
    • Year: 2004

  59. Optimal shouting policies of options with strike reset right
    • Author(s): Dai, Min; Kwok, Yue Kuen; Wu, Li Xin
    • Source: Mathematical finance. , v. 14, (3), 2004, JUL, p. 383-401
    • Year: 2004

  60. Quanto lookback options
    • Author(s): Dai, Min; Wong, Hoi Ying; Kwok, Yue Kuen
    • Source: Mathematical finance. , v. 14, (3), 2004, JUL, p. 445-467
    • Year: 2004

  61. American currency forward
    • Author(s): Kwok, Yue Kuen; Lau, Ka Wo
    • Source: ,
    • Year: 2003

  62. Interaction of the conversion and call rights
    • Author(s): Kwok, Yue Kuen
    • Source: ,
    • Year: 2003

  63. Jump diffusion models for risky debts: Quality spread differentials
    • Author(s): Wong, Hoi Ying; Kwok, Yue Kuen
    • Source: International Journal of Theoretical and Applied Finance. , v. 6, (6), 2003, p. 655-662
    • Year: 2003

  64. Multi-asset barrier options and occupation time derivatives
    • Author(s): Wong, Hoi Ying; Kwok, Yue Kuen
    • Source: Applied Mathematical Finance. , v. 10, (3), 2003, p. 245-266
    • Year: 2003

  65. Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks
    • Author(s): Wong, Hoi Ying; Kwok, Yue Kuen
    • Source: Review of Derivatives Research. , v. 6, (2), 2003, p. 83-106
    • Year: 2003

  66. Discussion on pricing perpetual fund protection with withdrawal option
    • Author(s): Chu, Chi Chiu; Kwok, Yue Kuen
    • Source: North American Actuarial Journal. , 7(2), 17-22
    • Year: 2003

  67. No arbitrage approach for pricing credit spread derivatives
    • Author(s): Chu, Chi Chiu; Kwok, Yue Kuen
    • Source: Journal of derivatives. , spring, 51-64
    • Year: 2003

  68. Options with multiple reset rights
    • Author(s): Dai, Min; Kwok, Yue Kuen; Wu, Li Xin
    • Source: International Journal of Theoretical and Applied Finance. , v. 6, (6), 2003, p. 637-653
    • Year: 2003

  69. Contingent claim approach for analyzing the credit risk of defaultable currency swaps
    • Author(s): Yu, Hong; Kwok, Yue Kuen
    • Source: AMS/IP Studies in Advanced Mathematics. , 29, 79-92
    • Year: 2002

  70. Accuracy and reliability considerations of option pricing algorithms
    • Author(s): Kwok, Yue Kuen; Lau, Ka W.
    • Source: JOURNAL OF FUTURES MARKETS. , v. 21, (10), 2001, OCT, p. 875-903
    • Year: 2001

  71. Early exercise policies of American floating strike and fixed strike lookback options
    • Author(s): Yu, H.; Kwok, Yue Kuen; Wu, Li Xin
    • Source: NONLINEAR analysis-theory METHODS & APPLICATIONS. , v. 47, (7), 2001, AUG, p. 4591-4602
    • Year: 2001

  72. Pricing algorithms for options with exotic path dependence
    • Author(s): Kwok, Yue Kuen; Lau, Ka Wo
    • Source: Journal of Derivatives. , 9, (1), 2001 Fall, p.28-38
    • Year: 2001

  73. Pricing algorithms of multivariate path dependent options
    • Author(s): Kwok, Yue Kuen; Wong, Hoi Ying; Lau, Ka W.
    • Source: Journal of complexity. , v. 17, (4), 2001, DEC, p. 773-794
    • Year: 2001

  74. Effects of callable feature on early exercise policy
    • Author(s): Kwok, Yue Kuen; Wu, Li Xin
    • Source: Review of Derivatives Research. , v. 4, (2), 2000, p. 189-211
    • Year: 2000

  75. Numerical simulation of principal tidal constituents in the South China Sea, Gulf of Tonkin and Gulf of Thailand
    • Author(s): Fang, Guo Hong; Kwok, Yue Kuen; Yu, Kejun; Zhu, Yao Hua
    • Source: Continental shelf research. , v. 19, (7), 1999, JUN, p. 845-869
    • Year: 1999

  76. Convergence Analysis of a Staggered Pressure Correction Scheme for Viscous Incompressible Flows
    • Author(s): Zhang, Yong Dong; Kwok, Yue Kuen
    • Source: Numerical Methods for Partial Differential Equations. , v. 13, (5), 1997, p. 459-482
    • Year: 1997

  77. Vortex dynamics in the studies of looping in tropical cyclone tracks
    • Author(s): Li, Jiachun; Kwok, Yuekuen; Fung, Jimmy Chi Hung
    • Source: Fluid Dynamics Research. , v. 21, (1), July 1997, Pages 57-71
    • Year: 1997

  78. Second order projection algorithms for viscous incompressible flow simulation
    • Author(s): Luk, ST; Kwok, Yue Kuen
    • Source: International journal of computational fluid dynamics. , v. 8, (3), 1997, p. 215-220
    • Year: 1997

  79. Accuracy and Stability Analysis of Numerical Schemes for the Shallow Water Model
    • Author(s): Kwok, Yue Kuen
    • Source: Numerical Methods for Partial Differential Equations. , v. 12, (1), 1996, p. 85-98
    • Year: 1996

  80. Numerical simulation of electrochemical diffusion-migration model with reaction at electrodes
    • Author(s): Kwok, Yue Kuen; Wu, Charles C.K.
    • Source: Computer methods in applied mechanics and engineering. , v. 132, (3-4), 1996, JUN 1, p. 305-317
    • Year: 1996

  81. LINEAR HYDRODYNAMICAL STABILITY OF 2-LAYER INCLINED FLOW WITH VISCOSITY AND DENSITY STRATIFICATIONS
    • Author(s): WU, CCK; KWOK, YK
    • Source: IMA journal of applied mathematics. , v. 54, (3), 1995, p. 245-256
    • Year: 1995

  82. Fourier Analysis of Iterative Schemes for Solving the Biharmonic Equation
    • Author(s): Kwok, Yue Kuen
    • Source: International Journal of Computer Mathematics. , v. 58, (1-2), 1995, p. 95-101
    • Year: 1995

  83. Numerical Quadrature Formulas through the Theory of Analytic Functions
    • Author(s): Kwok, Yue Kuen; Tam, Kinkiu
    • Source: International Journal of Mathematical Education in Science and Technology. , v. 26, (1), 1995, p. 37-44
    • Year: 1995

  84. Fractional Step Algorithm for Solving a Multi‐Dimensional Diffusion‐Migration Equation
    • Author(s): Kwok, Yue Kuen; Wu, Charles C.K.
    • Source: Numerical Methods for Partial Differential Equations. , v. 11, (4), 1995, p. 389-397
    • Year: 1995

  85. Modified quadrature formula for integrand with nearby poles
    • Author(s): Kwok, Yue Kuen; TAM, Kin Kiu
    • Source: Applied mathematics letters. , v. 6, (3), 1993, MAY, p. 63-65
    • Year: 1993

  86. Stability analysis of three-level difference schemes for initial-boundary problems for multidimensional convective-diffusion equations
    • Author(s): Kwok, Yue Kuen; Tam, Kin Hiu
    • Source: Communications in numerical methods in engineering. , v. 9, (7), 1993, JUL, p. 595-605
    • Year: 1993

  87. Gravity due to a body with rotational symmetry about a vertical axis
    • Author(s): Kwok, Yue Kuen; Beyer, Larry A.
    • Source: Geophysics. , Volume 58, Issue 2, 1993, Pages 298-306
    • Year: 1993

  88. Linearized stability analysis of staggered-grid difference schemes for multidimensional viscous incompressible flows
    • Author(s): Kwok, Yue Kuen; Tam, Kin Kiu
    • Source: Numerical Methods for Partial Differential Equations. , v9, Issue 3, May 1993, Pages 313-322
    • Year: 1993

  89. Frequency domain expressions for surface and borehole gravity potential due to two- and three-dimensional mass models
    • Author(s): Kwok, Yue Kuen
    • Source: Pure and applied geophysics. , v. 139, (2), 1992, p. 241-253
    • Year: 1992

  90. Stability analysis of six-point finite difference schemes for the constant coefficient convective-diffusion equation
    • Author(s): Kwok, Yue-Kuen
    • Source: Computers & mathematics with applications. , v. 23, (12), 1992, p. 3-11
    • Year: 1992

  91. Contour integrals for gravity computation of horizontal 2 1 2-D bodies with variable density
    • Author(s): Kwok, Yue Kuen
    • Source: Applied mathematical modelling. , v. 15, (2), 1991, FEB, p. 98-103
    • Year: 1991

  92. Gravity gradient tensors due to a polyhedron with polygonal facets
    • Author(s): Kwok, Yue Kuen
    • Source: Geophysical prospecting. , v. 39, (3), 1991, APR, p. 435-443
    • Year: 1991

  93. PADE AND UPWINDING FINITE-DIFFERENCE SCHEMES FOR THE QUANTUM-MECHANICAL EQUATION OF MOTION
    • Author(s): Kwok, Yue Kuen; Barthez, Daniel
    • Source: Communications in applied numerical methods. , v. 7, (8), 1991, NOV, p. 639-647
    • Year: 1991

  94. Analysis of computer extended series
    • Author(s): Kwok, Yue-Kuen
    • Source: Proceedings of International Conference on Scientific Computation, Hang Zhou. , 1991, p. 56-65
    • Year: 1991

  95. Singularities in gravity computation for vertical cylinders and prisms
    • Author(s): Kwok, Yue-Kuen
    • Source: Geophysical Journal. , v. 104, 1991, p. 1-10
    • Year: 1991

  96. Location and structure of the nearest singularity of a perturbation series
    • Author(s): Kwok, Yue-Kuen
    • Source: Communications in Applied Numerical Methods. , v. 7, 1991, p. 19-28
    • Year: 1991

  97. Applications of MACSYMA to Solutions of Ordinary Differential Equations
    • Author(s): Kwok, Yue-Kuen
    • Source: International Journal of Mathematical Education in Science and Technology. , v. 22, (6), Nov 1991, p. 877-888
    • Year: 1991

  98. The use of the Euler functions for error estimates of the trapezoidal and Simpson's quadratures
    • Author(s): Kwok, Yue-Kuen
    • Source: Int. J. Math. Educ. Sci. Technol. , v. 21, 1990, p. 863-870
    • Year: 1990

  99. An Algorithm for the numerical inversion of Laplace transforms
    • Author(s): Kwok, Yue-Kuen; Barthez, Daniel
    • Source: Inverse Problems, v. 5, (6), 1989, p. 1089-1095
    • Year: 1989

  100. Algorithm for the numerical inversion of Laplace transforms
    • Author(s): Kwok, Yue-Kuen; Barthez, Daniel
    • Source: Inverse Problems. , v. 5, 1989, p. 1089-1095
    • Year: 1989

  101. Conjugate complex variables method for the computation of gravity anomalies
    • Author(s): Kwok, Yue-Kuen
    • Source: Geophysics. , v. 54, 1989, p. 1629-1637
    • Year: 1989

  102. Motion of an artificial satellite about the earth
    • Author(s): Kwok, Yue-Kuen
    • Source: UMAP Module 695. , 1989
    • Year: 1989

  103. A regular perturbation method for subcritical flow over a two-dimensional airfoil
    • Author(s): Kwok, Yue-Kuen
    • Source: IMA Journal of Applied Mathematics. , v. 43, 1989, p. 71-81
    • Year: 1989

  104. On some aspects of the transonic controversy
    • Author(s): Kwok, Yue-Kuen; Sirovich, Lawrence
    • Source: SIAM Journal of Applied Math.. , v. 47, 1987, p. 279-295
    • Year: 1987

  Book

  1. Saddlepoint approximation methods in financial engineering
    • Author(s): Kwok, Yue Kuen ; Zheng, Wendong
    • Source: Saddlepoint approximation methods in financial engineering. , / by Yue Kuen Kwok, Wendong Zheng. Part of the SpringerBriefs in Quantitative Finance book series (BRIEFFINANCE)
    • Year: 2018

  2. Applied Complex Variables for Scientists and Engineers
    • Author(s): Kwok, Yue Kuen
    • Source: Applied Complex Variables for Scientists and Engineers. , / Yue Kuen Kwok. Cambridge: Cambridge University Press, 2010
    • Year: 2010

  3. Mathematical models of financial derivatives
    • Author(s): Kwok, Yue-Kuen
    • Source: Mathematical models of financial derivatives. , by Yue-Kuen Kwok
    • Year: 2008

  4. Applied Complex Variables for Scientists and Engineers
    • Author(s): Kwok, Yue Kuen
    • Source: Applied Complex Variables for Scientists and Engineers. , / Yue Kuen Kwok. Cambridge: Cambridge University Press, 2002
    • Year: 2002

  Book chapter

  1. Efficient Options Pricing Using the Fast Fourier Transform
    • Author(s): Kwok, Yue Kuen; Leung, Kwai Sun; Wong, Hoi Ying
    • Source: Handbook of Computational Finance. , / Edited by Jin-Chuan Duan, Wolfgang Karl Härdle, James E. Gentle. Heidelberg: Springer, c2012, p. 579-604
    • Year: 2010

  2. Efficient Options Pricing Using the Fast Fourier Transform
    • Author(s): Kwok, Yue Kuen; Leung, Kwai Sun; Wong, Hoi Ying
    • Source: Handbook of Computational Finance. , / Edited by Jin-Chuan Duan, Wolfgang Karl Härdle, James E. Gentle. Heidelberg: Springer, c2012, p. 579-604
    • Year: 2010

  Conference paper

  1. Optimal calling policies in convertible bonds
    • Author(s): Lau, KW; Kwok, YK
    • Source: 2003 IEEE INTERNATIONAL CONFERENCE ON COMPUTATIONAL INTELLIGENCE FOR FINANCIAL ENGINEERING, PROCEEDINGS. , 2003, p. 109-114
    • Year: 2003

  2. First Asian Computational Fluid Dynamics Conference. Hong Kong, January 1995. Volumes 1, 2 & 3
    • Author(s): Hui, W.H.; Kwok, Yue Kuen; Chasnov, J.R.
    • Year: 1995

  3. Theoretical considerations for finite difference algorithms for simulation of gas-particle flows
    • Author(s): Kwok, Yue-Kuen
    • Source: Conference Proceedings of Asian Pacific Conference on Computational Mechanics. , v. 2, 1991, p. 1583-1588
    • Year: 1991

  Technical report

  1. Shout options
    • Author(s): Kwok, Yue Kuen
    • Source: Submitted for the Encyclopedia of Financial Engineering and Risk Management. , 2003
    • Year: 2003

  2. Double barrier options
    • Author(s): Kwok, Yue Kuen
    • Source: Submitted for the Encyclopedia of Financial Engineering and Risk Management. , 2003
    • Year: 2003

  3. Compound options
    • Author(s): Kwok, Yue Kuen
    • Source: Submitted for the Encyclopedia of Financial Engineering and Risk Management. , 2003
    • Year: 2003

  4. Credits risk of swaps
    • Author(s): Kwok, Yue Kuen
    • Source: Submitted for the Encyclopedia of Financial Engineering and Risk Management. , 2003
    • Year: 2003