| 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.
Kwok | "Patent-investment
games under asymmetric information,"
European Journal of Operational Research, vol. 223 (2012),
P.441-451. |
| 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
Finance. |
| 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
Dynamic Control. |
| Y.T. Huang and Y.K. Kwok | "Analysis of optimal dynamic withdrawal policies in withdrawal guarantees products," submitted to Mathematical Fiance. |
