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Closed form pricing formulas for discretely sampled generalized variance swaps

Zheng, Wendong; Kwok, Yue-Kuen - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 855-881

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Saddlepoint approximation methods for pricing derivatives on discrete realized variance

Zheng, Wendong; Kwok, Yue-Kuen - In: Applied mathematical finance 21 (2014) 1/2, pp. 1-31

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Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes

Zheng, Wendong; Yuen, Chi Hung; Kwok, Yue-Kuen - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-29

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Pricing exotic discrete variance swaps under the 3/2-stochastic volatility models

Yuen, Chi Hung; Zheng, Wendong; Kwok, Yue-Kuen - In: Applied mathematical finance 22 (2015) 5/6, pp. 421-449

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Equity-credit modeling under affine jump-diffusion models with jump-to-default

Chung, Tsz Kin; Kwok, Yue-Kuen - In: Journal of financial engineering 1 (2014) 2, pp. 1-25

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Fast Hilbert transform algorithms for pricing discrete timer options under stochastic volatility models

Zeng, Pingping; Kwok, Yue-Kuen; Zheng, Wendong - In: International journal of theoretical and applied finance 18 (2015) 7, pp. 1-26

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Willow tree algorithms for pricing VIX derivatives under stochastic volatility models

Ma, Changfu; Xu, Wei; Kwok, Yue-Kuen - In: International journal of financial engineering 7 (2020) 1, pp. 1-28

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Pricing models of volatility products and exotic variance derivatives

Kwok, Yue-Kuen; Zheng, Wendong - 2022 - First edition

1. Volatility Trading and Variance Derivatives. 1.1. Implied Volatility and Local Volatility. 1.2. Volatility Trading using Options. 1.3. Derivatives on Discrete Realized Variance. 1.4. Replication of Variance Swaps. 1.5. Practical Implementation of Replication: Finite Strikes and Discrete...

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Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps

Zeng, Pingping; Xu, Ziqing; Jiang, Pingping; Kwok, Yue-Kuen - In: Mathematical finance : an international journal of … 33 (2023) 3, pp. 842-890

Persistent link: https://www.econbiz.de/10014329916

Simulation schemes for the Heston model with Poisson conditioning

Choi, Jaehyuk; Kwok, Yue-Kuen - In: European journal of operational research : EJOR 314 (2024) 1, pp. 363-376

Persistent link: https://www.econbiz.de/10014456865