|J.J. Peng, K.S. Leung and Y.K. Kwok||"Pricing
guaranteed minimal withdrawal benefits under stochastic interest rate,"
Quantitative Finance, vol. 12(6) (2012), p.933-941.|
|Y.K. Kwok, K.S.
Leung and H.Y. Wong||"Efficient
option pricing under the Fast Fourier Transform," Handbook of Computational Finance, Springer, p.579-604.|
|C.M. Leung and Y.K.
games under asymmetric information,"
European Journal of Operational Research, vol. 223 (2012),
|C.M. Leung and Y.K. Kwok||"Numerical
algorithms for R&D stochastic control models," to appear in
Journal of Computational Finance.|
|W.D. Zheng and Y.K. Kwok||"Closed
form pricing formulas for discretely sampled generalized
variance swaps," to appear in Mathematical Finance.|
|T.K. Chung and Y.K. Kwok||"Equity-credit
modeling under affine jump-diffusion-models with jump-to-default,"
to appear in Handbook on Computational Economics and Finance, Oxford University Press.|
W.D. Zheng and Y.K. Kwok||"Fourier
transform algorithms for pricing and hedging discretely sampled
exotic variance products and volatility derivatives under additive
processes," to appear in Journal of Computational Finance.|
W.D. Zheng and Y.K. Kwok||"Saddlepoint
approximation methods for pricing derivatives on discretely sampled
realized variance," to appear in Applied Mathematical
|C.M. Leung and Y.K. Kwok||"Real
options game models of R&D competition between asymmetric firms
with spillovers," submitted to Journal of Economic and
|Y.T. Huang and Y.K. Kwok||"Analysis of optimal dynamic withdrawal policies in withdrawal guarantees products," submitted to Mathematical Fiance.|