J.J. Peng, K.S. Leung and Y.K. Kwok | "Pricing
guaranteed minimal withdrawal benefits under stochastic interest rate,"
Quantitative Finance, vol. 12(6) (2012), p.933-941. |
Y.K. Kwok, K.S.
Leung and H.Y. Wong | "Efficient
option pricing under the Fast Fourier Transform," Handbook of Computational Finance, Springer,
(2012) p.579-604. |
C.M. Leung and Y.K.
Kwok | "Patent-investment
games under asymmetric information,"
European Journal of Operational Research, vol. 223 (2012), p.441-451. |
W.D. Zheng and Y.K. Kwok | |
C.M. Leung and Y.K. Kwok | "Numerical
algorithms for R&D stochastic control models," Journal of Computational Finance, vol. 18(1) (2014), p.1-21. |
Y.T. Huang and Y.K. Kwok | |
P.P. Zeng and Y.K. Kwok | "Pricing barrier and Bermudan style options under time-changed Levy processes: fast Hilbert transform approach," SIAM Journal on Scientific Computing, vol. 36(3) (2014), p. B450-B485. |
T.K. Chung and Y.K. Kwok | |
W.D. Zheng and Y.K. Kwok | "Closed
form pricing formulas for discretely sampled generalized
variance swaps," Mathematical Finance, vol. 24(4)
(2014) p.855-881. |
Y.K. Kwok | "Game
option models of convertible bonds: Determinants of call policies,"
Journal of Financial Engineering, vol. 1(4) (2014) p.1-19. |
W.D. Zheng and Y.K. Kwok | "Fourier
transform algorithms for pricing and hedging discretely sampled
exotic variance products and volatility derivatives under additive
processes," Journal of Computational Finance,
vol. 18(2) (2014), p.3-30. |
J.J. Wang, C.M. Leung and Y.K. Kwok | "Stochastic control model for R&D race in a mixed duopoly with spillovers and knowledge stocks," Decisions in Economics and Finance,
vol. 38(2), p.177-195 (2015). |
P.P. Zeng, Y.K. Kwok and W.D. Zheng | "Fast Hilbert transform algorithms for pricing discrete timer options under stochastic volatility models,"
International Journal of Theoretical and Applied Finance,
vol. 18(7), (2015) 1550046 (26 pages). |
C.M. Leung, N. Chen and Y.K. Kwok | "Game options analysis of the information role of call policies in convertible bonds,"
Applied Mathematical Finance, vol. 22(5) (2015), p.421-449. |
W.D. Zheng and Y.K. Kwok |
"Pricing options on discrete realized variance with partially exact and bounded approximation,"
Quantitative Finance,
vol. 15(12) (2015), p.2011-2019. |
C.H. Yuen,
W.D. Zheng and Y.K. Kwok | "Pricing exotic variance swaps under 3/2-stochastic volatility models,"
Applied Mathematical Finance,
vol. 22(5) (2015), p.421-449. |
W.D. Zheng, C.H. Yuen and Y.K. Kwok | "Recursive algorithms for pricing discrete variance and volatility derivatives under time-changed Levy-processes,"
International Journal of Theoretical and Applied Finance,
vol. 19(2) (2016), 1650011. |
Y.T. Huang and Y.K. Kwok |
"Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees,"
Quantitative Finance, vol. 16(6) (2016), p.905-928.
|
T.K.
Chung and Y.K. Kwok | "Enhanced
equity-credit modeling for contingent convertibles," Quantitative Finance,
vol. 16(10) (2016), p.1511-1527. |
P.P. Zeng and Y.K. Kwok |
"Pricing bounds and approximation for discrete arithmetic Asian options under time-changed Levy processes,"
Quantitative Finance,
vol. 16(9) (2016), p.1375-1391. |
C.M. Leung and Y.K. Kwok | "Real
options game models of R&D competition between asymmetric firms
with spillovers,"
Decisions in Economics and Finance, vol. 39(2) (2016),
p.259-291. |
C.M. Leung and Y.K. Kwok | "Numerical
pricing of CoCo bonds with Parisian trigger," International Journal of Theoretical and Applied Finance,
vol. 20(7) (2017), 1750046. |
Y.T. Huang, P. Zeng and Y.K. Kwok | "Optimal
initiation of Guaranteed Lifelong Minimum Withdrawal with dynamic
withdrawals," SIAM Journal on Financial
Mathematics, vol. 8 (2017), p.804-840. |
C.M. Leung and Y.K. Kwok | "Real
options signaling game models for dynamic acquisition under
information asymmetry,"
Decisions in Economics and Finance,
vol. 41 (2018), p.35-63. |
Q.Q. Wang and Y.K. Kwok | "Signaling
game models of equity financing under information asymmetry and
finite project life,"
International Journal of Financial Engineering,
vol. 6(1), 1950002, 38
pages (2019). |
B. Dong, W. Xu and Y.K. Kwok | "Willow
tree algorithms for pricing guaranteed minimum withdrawal benefits
under jump-diffusion and CEV models,"
Quantitative Finance, vol. 19(10), 1741-1761 (2019). |
Y.T. Zhang and Y.K. Kwok | "Saddlepoint
approximations to tail expectations under non-Gaussian base
distributions,"
Journal of Applied Statistics, vol. 47(11) (2020),
p.1936-1956. |
C.F. Ma, W. Xu and Y.K. Kwok
| "Willow
tree algorithms for pricing VIX derivatives under jump-diffusion
dynamics of index and variance process," International Journal of Financial
Engineering, vol. 7(1) (2020), 2050005, 28 pages. |
Q.Q. Wang and Y.K. Kwok | "Real
option signaling games of debt financing using equity guarantee
swaps under asymmetric information,"
International Journal of Theoretical and Applied
Finance, vol. 23(5) (2020), 2050036, 37 pages. |
Z.Z. Huang and Y.K. Kwok |
"Efficient
risk measures calculations for generalized CreditRisk+ models,"
Working paper. |