Night trading provides an ideal laboratory to assess the behavior of stock markets when institutional liquidity providers are less active. The evidence indicates that extreme positive (winner) and negative (loser) stock price movements during night sessions are followed by reversals the next...

Motivated from the charting analysis in the financial industry, Chen and He (2003) are the first to use self-organizing maps to search for and identify price patterns. Such a model is referred to as the trajectory-domain model (TDM). Chen and Tsao (2003) apply the TDMs to three American stock...

This study is on valuing Asian strike options and presents efficient and accurate quadratic approximation methods that work extremely well, both with regard to the volatility of a wide range of underlying assets, and longer average time windows. We demonstrate that most of the well-known...

Value-at-Risk (VaR) has become one of the standard measures for assessing risk not only in the financial industry but also for asset allocations of individual investors. The traditional mean-variance framework for portfolio selection should, however, be revised when the investor's concern is the...

The 2008 financial crisis forced investors to be more concerned with the risk management of financial instruments, especially derivatives. The main objective of this paper is to study the effect of issuer credit risk on the pricing of options. In particular, we focus on Asian options, which are...