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~person:"Bueno-Guerrero, Alberto"
~person:"Siu, Tak Kuen"
~subject:"Stochastic process"
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Bueno-Guerrero, Alberto
Siu, Tak Kuen
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1
Hedging
options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
2
Pricing and
hedging
bond power exchange options in a stochastic string term-structure model
Blenman, Lloyd P.
;
Bueno-Guerrero, Alberto
;
Clark, Steven P.
- In:
Risks : open access journal
10
(
2022
)
10
,
pp. 1-17
-form expressions for pricing and
hedging
bond power exchange options are obtained and, as particular cases, the corresponding …
Persistent link: https://www.econbiz.de/10013555525
Saved in:
3
Hedging
options in a doubly Markov-modulated financial market via stochastic flows
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012183224
Saved in:
4
Sensitivity analysis and
hedging
in stochastic string models
Bueno-Guerrero, Alberto
;
Moreno, Manuel
;
Navas, Javier F.
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 151-167)
.
2018
Persistent link: https://www.econbiz.de/10012011646
Saved in:
5
Hedging
Asian bond options with Malliavin calculus under stochastic string models
Bueno-Guerrero, Alberto
;
Moreno, Manuel
;
Navas, Javier F.
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 169-180)
.
2018
Persistent link: https://www.econbiz.de/10012011647
Saved in:
6
Minimal variance
hedging
of natural gas derivatives in exponential Lévy models : theory and empirical performance
Ewald, Christian-Olivier
;
Nawar, Roy
;
Siu, Tak Kuen
- In:
Energy economics
36
(
2013
),
pp. 97-107
Persistent link: https://www.econbiz.de/10009724764
Saved in:
7
A PDE approach for risk measures for derivatives with regime switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
Annals of finance
4
(
2008
)
1
,
pp. 55-74
Persistent link: https://www.econbiz.de/10003589415
Saved in:
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