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Mathematical models of financial derivatives : with 2 tables

Kwok, Yue-Kuen - 1998

Persistent link: https://www.econbiz.de/10000628948

Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes

Zheng, Wendong; Yuen, Chi Hung; Kwok, Yue-Kuen - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10011455019

Saddlepoint approximation methods for pricing derivatives on discrete realized variance

Zheng, Wendong; Kwok, Yue-Kuen - In: Applied mathematical finance 21 (2014) 1/2, pp. 1-31

Persistent link: https://www.econbiz.de/10010351861

Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps

Zeng, Pingping; Xu, Ziqing; Jiang, Pingping; Kwok, Yue-Kuen - In: Mathematical finance : an international journal of … 33 (2023) 3, pp. 842-890

Persistent link: https://www.econbiz.de/10014329916

Willow tree algorithms for pricing VIX derivatives under stochastic volatility models

Ma, Changfu; Xu, Wei; Kwok, Yue-Kuen - In: International journal of financial engineering 7 (2020) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10012602678

Equity-credit modeling under affine jump-diffusion models with jump-to-default

Chung, Tsz Kin; Kwok, Yue-Kuen - In: Journal of financial engineering 1 (2014) 2, pp. 1-25

Persistent link: https://www.econbiz.de/10010508080

Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps

Zhang, Weinan; Zeng, Pingping; Kwok, Yue-Kuen - In: Operations research letters 51 (2023) 6, pp. 687-694

Persistent link: https://www.econbiz.de/10014465892

Pricing models of volatility products and exotic variance derivatives

Kwok, Yue-Kuen; Zheng, Wendong - 2022 - First edition

1. Volatility Trading and Variance Derivatives. 1.1. Implied Volatility and Local Volatility. 1.2. Volatility Trading using Options. 1.3. Derivatives on Discrete Realized Variance. 1.4. Replication of Variance Swaps. 1.5. Practical Implementation of Replication: Finite Strikes and Discrete...

Persistent link: https://www.econbiz.de/10013460707