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An assessment of model risk in pricing wind derivatives
Gracianti, Giovani; Rui, Zhou; Li, Johnny Siu-Hang; Wu, … - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 3, pp. 479-502
Persistent link: https://www.econbiz.de/10014436785
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Pricing options on stocks denominated in different currencies : theory and illustrations
Ng, Andrew C. Y.; Li, Johnny Siu-hang; Chan, Wai-Sum - In: The North American journal of economics and finance : a … 26 (2013), pp. 339-354
Persistent link: https://www.econbiz.de/10010365762
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Modeling investment guarantees in Japan : a risk-neutral GARCH approach
Ng, Andrew Cheuk-yin; Li, Johnny Siu-hang; Chan, Wai-Sum - In: International review of financial analysis 20 (2011) 1, pp. 20-26
Persistent link: https://www.econbiz.de/10009295928
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The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds
Liu, Yanxin; Li, Johnny Siu-Hang - In: Insurance / Mathematics & economics 64 (2015), pp. 135-150
Persistent link: https://www.econbiz.de/10011397966
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Managing financial risk in Chinese stock markets : option pricing and modeling under a multivariate threshold autoregression
Li, Johnny Siu-Hang; Ng, Andrew C.Y.; Chan, Wai-Sum - In: International review of economics & finance : IREF 40 (2015), pp. 217-230
Persistent link: https://www.econbiz.de/10011573584
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Pricing and hedging variable annuity guarantees with multiasset stochastic investment models
Cheuk-yin Ng, Andrew; Siu-hang Li, Johnny - In: North American actuarial journal 17 (2013) 1, pp. 41-62
Persistent link: https://www.econbiz.de/10010259822
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Option pricing under GARCH models with Hansen's skewed-t distributed innovations
Liu, Yanxin; Siu-Hang Li, Johnny; Ng, Andrew Cheuk-Yin - In: The North American journal of economics and finance : a … 31 (2015), pp. 108-125
Persistent link: https://www.econbiz.de/10011511067