| L.X. Wu and Y.K. Kwok |
1997 |
"A
front-fixing finite difference method for the valuation of American
options," Journal of Financial Engineering, vol. 6,
p. 83-97. |
To the Top |
| Y.K. Kwok, L.X. Wu and H. Yu |
1998 |
"Pricing
multi-asset options with an external barrier," International
Journal of Theoretical and Applied Finance, vol. 1, p.
523-541. |
|
| L.X. Wu, Y.K. Kwok and H. Yu |
1999 |
"Asian
options with the American early exercise feature," International
Journal of Theoretical and Applied Finance, vol. 2, p.
101-111. The article is reproduced in International Securities,
edited by G. Philippatos, Edward Elgar Publishing Ltd. (2001). |
|
| Y.K. Kwok and H.Y. Wong |
2000 |
"Currency-translated
foreign equity options with path dependent features and their
multi-asset extensions," International Journal of Theoretical and
Applied Finance, vol. 3, p.257-278. |
|
| Y.K. Kwok and L. Wu |
2000 |
"Effects
of callable feature on early exercise policy," Review of
Derivatives Research, vol. 4, p. 189-211. |
|
| Y.K. Kwok and K.W. Lau |
2001 |
"Accuracy
and reliability considerations of option pricing algorithms,"
Journal of Futures Markets, vol. 21, p. 875-903. |
To the Top |
| Y.K. Kwok and K.W. Lau |
2001 |
"Pricing
algorithms for options with exotic path dependence", Journal of
Derivatives, Fall issue, p. 28-38 |
|
| H Yu, Y.K. Kwok and L.X. Wu |
2001 |
"Early
exercise policies of American floating and fixed strike lookback options,"
Nonlinear Analysis, vol. 47, p. 4591-4602. |
|
| Y.K. Kwok, H.Y. Wong and K.W.
Lau |
2001 |
"Pricing
algorithms of multivariate path dependent options," Journal of
Complexity, vol. 17, p. 773-794. |
|
| H. Yu and Y.K. Kwok |
2002
|
"Contingent
claim approach for analyzing the creditrisk of defaultable currency
swaps",
AMS/IP Studies in Advanced Mathematics, vol 26, p. 79-92. |
To the Top |
| C.C. Chu and Y.K. Kwok |
2003
|
"No
Arbitrage Approach for Pricing Credit Spread Derivatives,"
Journal of Derivatives,
Spring issue, p.51-64. |
|
| K.W. Lau and Y.K. Kwok |
2003
|
"Optimal
calling policies in convertible bonds," Proceedings of 2003
International Conference on Computational Intelligence for Financial
Engineering. |
|
| H.Y. Wong and Y.K. Kwok |
2003
|
"Jump
diffusion models for risky debts: quality spread differentials,"
International Journal of Theoretical and Applied Finance, vol 6(6),
p. 655-662. |
|
| M. Dai, Y.K. Kwok and L.X. Wu |
2003 |
"Options
with multiple reset rights," International Journal of Theoretical
and Applied Finance, vol 6(6), p.637-653. |
|
| Y.K. Kwok and C.C. Chu |
2003 |
"Discussion
on pricing perpetual fund protection with withdrawal option,"
North American Actuarial Journal, vol 7(2), p. 77-81. |
|
| H.Y. Wong and Y.K. Kwok |
2003 |
"Sub-replication
and replenishing premium: efficient pricing of multi-state lookbacks",
Review of Derivatives Research, vol 6, p. 83-106. |
|
| H.Y. Wong and Y.K. Kwok |
2003 |
"Multi-asset
barrier options and occupation time derivatives," Applied
Mathematical Finance, vol. 10, p.245-266. |
|
| K.W. Lau and Y.K. Kwok |
2004
|
"Anatomy
of option features in convertible bond," Journal of Futures
Markets, vol. 24(6), p.513-532. |
To the Top |
| C.C. Chu and Y.K. Kwok |
2004 |
"Reset
and withdrawal rights in dynamic fund protection," Insurance:
Mathematics and Economics, vol. 34(2), p.273-295. |
|
| M. Dai, Y.K. Kwok and L.X. Wu |
2004 |
"Optimal
shouting policies of options with reset rights," Mathematical
Finance, vol. 14(3), p.383-401. |
|
| M. Dai, H.Y. Wong and Y.K.
Kwok |
2004 |
"Quanto
lookback options," Mathematical Finance, vol 14(3), p.445-467. |
|
| M. Dai and Y.K. Kwok |
2004 |
"Knock-in
American options," Journal of Futures Markets, vol. 24(2),
p.179-192 |
|
| K.W. Lau and Y.K. Kwok |
2005 |
"Valuation
of employee reload options using utility maximization framework,"
International Journal of Theoretical and Applied Finance, vol. 8(5),
p.659-674. |
To the Top |
| C.L. Xu and Y.K. Kwok |
2005 |
"Integral
price formulas for lookback options," Journal of Applied
Mathematics, vol. 2005(2), p.117-125 (2005). |
|
| M. Dai and Y.K. Kwok |
2005 |
"Options
with combined reset rights on strike and maturity," Journal of
Economic Dynamics and Control, vol. 29, p.1495-1515 (2005). |
|
| M. Dai and Y.K. Kwok |
2005 |
"Valuing
employee reload options under time vesting requirement,"
Quantitative Finance, vol. 5(1), p.61-69 (2005). |
|
| M. Dai and Y.K. Kwok |
2005 |
"American
options with lookback payoff," SIAM Journal of Applied
Mathematics, vol. 66(1), p.206-227. |
|
| S.Y. Leung and Y.K. Kwok |
2005 |
"Credit
default swap valuation with counterparty risk," Kyoto Economics
Review, vol. 74(1), p.25-45. |
|
| M. Dai and Y.K. Kwok |
2005 |
"Optimal
policies of call with notice period requirement for American warrants
and convertible bonds," Asia Pacific Financial Markets, vol.
12(4), p.353-373. |
|
| M. Dai and Y.K. Kwok |
2006 |
"Characterization
of optimal stopping regions of American path dependent options,"
Mathematical Finance, vol. 16(1), p. 63-82 (2006). |
To the Top |
K.W. Lau and
Y.K. Kwok
|
2006
|
"Optimal
execution strategy of liquidation," Journal of Industrial and
Management Optimization, vol. 2(2), p.135-144 (2006). |
|
| C.C. Chu and Y.K. Kwok |
2006 |
"Pricing
participating policies with rate guarantees and bonuses,"
International Journal of Theoretical and Applied Finance, vol. 9(4),
p.517-532. |
|
| C.C. Chu and Y.K. kwok |
2007 |
"Valuation
of guaranteed annuity options in affine term structure models,"
International Journal of Theoretical and Applied Finance, vol. 10(2),
p.363-387. |
To the Top |
| K.S. Leung and Y.K.Kwok |
2007 |
"Distribution
of occupation times for CEV diffusions and pricing of a-quantile options,"
Quantitative Finance, vol. 7(1), p.87-94. |
|
| J.J. Kong and Y.K. Kwok |
2007 |
"Real
options in strategic investment games between two asymmetric firms,"
European Journal of Operational Research, vol. 181, p.967-985. |
|
| C.C. Chu and Y.K. Kwok |
2007 |
"Target
redemption notes", Journal of Futures Markets, vol. 27(6),
p.535-554. |
|
| K.S. Leung and Y.K. Kwok |
2007 |
"Contagion
models with interacting default intensity processes," Proceedings
of the International Congress of Chinese Mathematicians, vol. III,
p.748-758. |
|
| M. Dai, Y.K. Kwok and H. You |
2007 |
"Intensity-based
framework and penalty formulation of optimal stopping problems,"
Journal of Economic Dynamics and Control, vol. 31, p.3680-3880. |
|
| K.S. Leung, Y.K. Kwok and S.Y.
Leung |
2008 |
"Finite
time dividend-ruin models," Insurance: Mathematics and Economics,
vol. 42, p.154-162. |
To the Top |
| M. Dai and Y.K. Kwok |
2008 |
"Optimal
multiple stopping models of reload options and shout options,"
Journal of Economic Dynamics and Control, vol. 32, p.2269-2290. |
|
| K.S. Leung and Y.K. Kwok |
2008 |
"Employee
stock option valuation with repricing features,"
Quantitative Finance, vol. 8(6), p.561-569. |
|
| M. Dai, Y.K. Kwok and
Jianping Zong |
2008 |
"Guaranteed
minimum withdrawal benefit in variable annuities,"
Mathematical Finance, vol. 18(4), p.595-611. |
|
| K.S. Leung and Y.K. Kwok |
2009 |
"Counterparty
risk for credit default swaps: Markov chain interacting intensities
model with stochastic intensity," Asia-Pacific Financial Markets,
vol. 16, p.169-181. |
To the Top |
| Y.K. Kwok |
2010 |
"Lattice
tree methods for strongly path dependent options,"
Encyclopedia of Quantitative Finance, Cont, R. (editor), John Wiley
and Sons Ltd, Chichester, United Kingdom, p.1022-1027. |
To the Top |
| M. Dai, Y.F. Zhong
and Y.K. Kwok |
2011 |
"Optimal
arbitrage strategies on stock index futures under position
limits," Journal of Futures Markets, vol. 31,
p.394-406. |
To the Top |
| W.D. Zheng and Y.K. Kwok |
2011 |
"Convexity
meets replication: hedging of swap derivatives and annuity
options,"
Journal of Futures Markets, vol. 31, p.659-678. |
|
| C.M. Leung and Y.K.
Kwok |
2011 |
"Real
options games analysis of sleeping patents,"
Decisions in Economics and Finance, vol. 34(1), p.41-65. |
|