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Modelling VaR for foreign-asset portfolios in continuous time
Chen, Fen-ying
;
Liao, Szu-Lang
- In:
Economic modelling
26
(
2009
)
1
,
pp. 234-240
Persistent link: https://www.econbiz.de/10003817081
Saved in:
2
A comparative study of VaR estimation for structured products
Chen, Fen-ying
- In:
Economics research international
(
2010
),
pp. 1-16
Persistent link: https://www.econbiz.de/10009317082
Saved in:
3
Value-at-risk forecasts with conditional volatility for structured products
Chen, Fen-ying
- In:
The journal of risk model validation
5
(
2011
)
1
,
pp. 45-69
Persistent link: https://www.econbiz.de/10009356846
Saved in:
4
Modeling value-at-risk for international portfolios in different jump-diffusion processes
Chen, Fen-ying
- In:
The journal of risk model validation
7
(
2013
)
2
,
pp. 93-117
Persistent link: https://www.econbiz.de/10009780648
Saved in:
5
Valuation of non-negative equity guarantees, considering contagion risk for house prices under the HJM interest rate model
Chen, Fen-Ying
;
Yang, Sharon S.
;
Huang, Hong Chih
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1551-1565
Persistent link: https://www.econbiz.de/10012624157
Saved in:
6
Modeling pandemic mortality risk and its application to mortality-linked security pricing
Chen, Fen-Ying
;
Yang, Sharon S.
;
Huang, Hong Chih
- In:
Insurance / Mathematics & economics
106
(
2022
),
pp. 341-363
Persistent link: https://www.econbiz.de/10013380614
Saved in:
7
Pricing models of equity swaps
Wang, Ming-Chieh
;
Liao, Szu-Lang
- In:
The journal of futures markets
23
(
2002
)
8
,
pp. 751-772
Persistent link: https://www.econbiz.de/10001780620
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8
Pricing arithmetic average reset options with control variates
Liao, Szu-Lang
;
Wang, Chou-Wen
- In:
The journal of derivatives : the official publication …
10
(
2002
)
2
,
pp. 59-74
Persistent link: https://www.econbiz.de/10001745233
Saved in:
9
The valuation of reset options with multiple strike resets and reset dates
Liao, Szu-Lang
;
Wang, Chou-Wen
- In:
The journal of futures markets
23
(
2003
)
1
,
pp. 87-101
Persistent link: https://www.econbiz.de/10001745978
Saved in:
10
The valuation of hedging strategy of high yield notes
Liao, Szu-Lang
;
Wang, Chou-wen
- In:
Jingji-lunwen
31
(
2003
)
3
,
pp. 333-367
Persistent link: https://www.econbiz.de/10001921567
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