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Dynamic safety first expected utility model

Chiu, Mei Choi; Wong, Hoi Ying; Zhao, Jing - In: European journal of operational research : EJOR 271 (2018) 1, pp. 141-154

Persistent link: https://www.econbiz.de/10011882786

Simulation techniques in financial risk management

Chan, Ngai Hang; Wong, Hoi Ying; Wong, Hoi Ying - 2006

Persistent link: https://www.econbiz.de/10003148595

Structural models of corporate bond pricing with maximum likelihood estimation

Li, Ka Leung; Wong, Hoi Ying - In: Journal of empirical finance 15 (2008) 4, pp. 751-777

Persistent link: https://www.econbiz.de/10003759769

Variance swap with mean reversion, multifactor stochastic volatility and jumps

Pun, Chi Seng; Chung, Shing Fung; Wong, Hoi Ying - In: European journal of operational research : EJOR 245 (2015) 2, pp. 571-580

Persistent link: https://www.econbiz.de/10011308968

Time-consistent mean-variance hedging of an illiquid asset with a cointegrated liquid asset

Chen, Kexin; Wong, Hoi Ying - In: Finance research letters 29 (2019), pp. 184-192

Persistent link: https://www.econbiz.de/10012418589

Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility

Yan, Tingjin; Han, Bingyan; Pun, Chi Seng; Wong, Hoi Ying - In: Mathematics and financial economics 14 (2020) 4, pp. 699-724

Persistent link: https://www.econbiz.de/10012321867

Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility

Yan, Tingjin; Wong, Hoi Ying - In: Insurance / Mathematics & economics 90 (2020), pp. 105-119

Persistent link: https://www.econbiz.de/10012169507

Simulation Techniques in Financial Risk Management

Chan, Ngai Hang - 2015 - 2nd ed.

Praise for the First Edition "…a nice, self-contained introduction to simulation and computational techniques in finance…" - Mathematical Reviews Simulation Techniques in Financial Risk Management, Second Edition takes a unique approach to the field of simulations by focusing on techniques...

Persistent link: https://www.econbiz.de/10012686803

Simulation techniques in financial risk management : [with website]

Chan, Ngai Hang; Wong, Hoi Ying - 2015 - 2. ed.

Praise for the First Edition“…a nice, self-contained introduction to simulation and computational techniques in finance…”– Mathematical ReviewsSimulation Techniques in Financial Risk Management, Second Editiontakes a unique approach to the field of simulations by focusing on techniques...

Persistent link: https://www.econbiz.de/10011283286

Open-Loop Equilibrium Strategy for Mean-Variance Portfolio Problem Under Stochastic Volatility

Yan, Tingjin - 2019

We formulate the open-loop control framework for time-consistent mean-variance (TCMV) portfolio problems in incomplete markets with stochastic volatility (SV). We offer the existence and uniqueness results of the TCMV equilibrium controls for general SV models and derive explicit closed-form...

Persistent link: https://www.econbiz.de/10012898197