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Modelling VaR for foreign-asset portfolios in continuous time
Chen, Fen-Ying; Liao, Szu-Lang - In: Economic modelling 26 (2009) 1, pp. 234-240
Persistent link: https://www.econbiz.de/10008162475
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Modelling VaR for foreign-asset portfolios in continuous time
Chen, Fen-Ying; Liao, Szu-Lang - In: Economic modelling 26 (2009) 1, pp. 234-241
Persistent link: https://www.econbiz.de/10008879190
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Modelling VaR for foreign-asset portfolios in continuous time
Chen, Fen-Ying; Liao, Szu-Lang - In: Economic Modelling 26 (2009) 1, pp. 234-240
Persistent link: https://www.econbiz.de/10005171158
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Pricing generalized capped exchange options
Wang, Chou-Wen; Liao, Szu-Lang; Wu, Ting-Yi - In: Applied financial economics 18 (2008) 7/9, pp. 765-776
Persistent link: https://www.econbiz.de/10003739384
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Closed-form mortgage valuation using reduced-form model
Liao, Szu-Lang; Tsai, Ming-shann; Chiang, Shu-ling - In: Real estate economics : journal of the American Real … 36 (2008) 2, pp. 313-347
Persistent link: https://www.econbiz.de/10003764870
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Valuation and optimal strategies of convertible bonds
Liao, Szu-Lang; Huang, Hsing-Hua - In: The journal of futures markets 26 (2006) 9, pp. 895-922
Persistent link: https://www.econbiz.de/10003356485
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The valuation of special purpose vehicles by issuing structured credit-linked notes
Chang, Chia-Chien; Wang, Chou-Wen; Liao, Szu-Lang - In: Applied financial economics 19 (2009) 1/3, pp. 227-256
With the intersection of market and credit risk, the first contribution is to derive the analytic formulas of the Credit Linked Notes (CLNs) and the leveraged total return CLNs issued by an Special Purpose Vehicle (SPV) or the protection buyer. The second contribution is to prove that the values...
Persistent link: https://www.econbiz.de/10003825916
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Pricing and hedging of quanto range accrual notes under Gaussian HJM with cross-currency Levy processes
Liao, Szu-Lang; Hsu, Pao-Peng - In: The journal of futures markets 29 (2009) 10, pp. 973-998
Persistent link: https://www.econbiz.de/10003900954
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Economic determinants of default risks and their impacts on credit derivative pricing
Liao, Szu-Lang; Chang, Jui-jane - In: The journal of futures markets 30 (2010) 11, pp. 1058-1081
Persistent link: https://www.econbiz.de/10008900939
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The valuation of European options when asset returns are autocorrelated
Liao, Szu-Lang; Chen, Chao-chun - In: The journal of futures markets 26 (2006) 1, pp. 85-102
Persistent link: https://www.econbiz.de/10003303871