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Lookback options and dynamic fund protection under multiscale stochastic volatility

Wong, Hoi Ying; Chan, Chun Man - In: Insurance / Mathematics & economics 40 (2007) 3, pp. 357-385

Persistent link: https://www.econbiz.de/10003755752

Quanto pre-washing for jump diffusion models

Wong, Hoi Ying; Lau, Ka Yung - In: Recent advances in financial engineering : proceedings …, (pp. 219-230). 2009

Persistent link: https://www.econbiz.de/10003871197

Currency option pricing : mean reversion and multi-scale stochastic volatility

Wong, Hoi Ying; Zhao, Jing - In: The journal of futures markets 30 (2010) 10, pp. 938-956

Persistent link: https://www.econbiz.de/10008900932

Path-dependent currency options with mean reversion

Wong, Hoi Ying; Lau, Ka Yung - In: The journal of futures markets 28 (2008) 3, pp. 275-293

Persistent link: https://www.econbiz.de/10003699322

Valuing American options under the CEV model by Laplace-Carson transforms

Wong, Hoi Ying; Zhao, Jing - In: Operations research letters 38 (2010) 5, pp. 474-481

Persistent link: https://www.econbiz.de/10008658768

An FFT-network for Lévy option pricing

Wong, Hoi Ying; Guan, Peiqiu - In: Journal of banking & finance 35 (2011) 4, pp. 988-999

Persistent link: https://www.econbiz.de/10009244201

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

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

Commodity derivatives pricing with cointegration and stochastic covariances

Chiu, Mei Choi; Wong, Hoi Ying; Zhao, Jing - In: European journal of operational research : EJOR 246 (2015) 2, pp. 476-486

Persistent link: https://www.econbiz.de/10011338124

Robust investment-reinsurance optimization with multiscale stochastic volatility

Pun, Chi Seng; Wong, Hoi Ying - In: Insurance / Mathematics & economics 62 (2015), pp. 245-256

Persistent link: https://www.econbiz.de/10011312060