Yue-Kuen KWOK

Y.K. Kwok	1998	Mathematical Models of Financial Derivatives, 386 pages, published by Springer. Preface Table of content
Y.K. Kwok	1998	Derivatives markets in Hong Kong, 168 pages (in Chinese), published by Ming Pao Publishers. Preface Table of content
Y.K. Kwok	2002	Applied Complex Variables for Scientists and Engineers, 404 pages, published by Cambridge University Press. Preface Table of content

Summer 2007

MAFS521	Mathematical Models of Investment	Course Outline	(To the top)
Lecture Note	Topic One
	Topic Two
	Topic Three
	Topic Four
	Topic Five

CDO papers	JP Morgan - CDO Handbook
	Nomura - CDOs -Squared Demystified
	Benoit Metayer - CDO², Correlation, Overlap and Subordination
	Standard & Poors - Synthetic CDO Squared Transactions
Reading assignment on CDO-squared

Spring 2007

Fall 2006
FINA 690K	Structured Products and Exotic Options	Course Outline	(To the top)
Topic One:	Callable bonds and structured notes
	1.1 Callable bonds
	1.2 Structured notes
	1.3 Equity-linked products - Asian examples
Topic Two:	Convertible bonds
	2.1 Convertible bonds as an asset class	2.1 Convertible bonds as an asset class (ppt format)
	2.2 Analytics of convertible and structured convertibles	2.2 Analytics of convertible and structured convertibles (ppt format)
Topic Three:	Asset backed securities
	3.1 Total return swap	3.1 Exotic swaps (ppt format)
	3.2 Mortgage backed securities	3.2 Mortgage backed securities (ppt format)
Topic Four:	Asset backed securities
	Portfolio credit derivatives - correlation product

HW1	Solution to HW1	due on Sept. 30, Saturday
HW2	Solution to HW2	due on Oct. 21, Saturday

First reading assignment - convertible bonds		due on Sept. 30, Saturday
Second reading assignment - CDO		due on Oct. 28, Saturday

Fall 2005

Dynamic Credit Models and Portfolio Risk Analysis
Topic 1	Dynamic risk models
Topic 2	Default correlation
Topic 3	Modeling default of single name
Topic 4	Portfolio credit derivatives

Fall 2005
Investment Science and Portfolio Analysis		Course Outline	(To the top)
Topic 1	Optimal investment strategy - log utility criterion
Topic 2	Utility functions
Topic 3	Decision making under uncertainty
Topic 4	Portfolio theory
Topic 5	Capital asset pricing model and factor models
Topic 6	Investment, consumption and endowment
Topic 7	Real option of investment decisions

Spring 2005
MATH 685R	Credit risk: Models, pricing and implementation	Course Outline	(To the top)
Topic One:	Nature of credit risk and credit derivatives
	Default risk and spread risk
	Product nature of credit derivatives
	Bond price based and hedge based pricing of credit derivatives
Topic Two:	Structural models
	Merton's firm value model
	Extensions of the structural approach to the pricing of risky debts
	Counterparty risks of swaps
	Industrial implementation: KMV model
	Debt negotiation models and optimal capital structure
	Default correlations using structural approach
Topic Three:	Mathematical preliminaries for the construction of intensity processes
	Pricing of defaultable claims using the intensity approach
	Default correlation - binomial models
	Copula approach for modeling default dependency

MATH 246	Probability and Random Processes	Course Outline	(To the top)

Topic One:	Basic concepts of probability theory
	LECT1A
	LECT1B
	LECT1C
	Worked Examples
	Review
Topic Two:	Single random variables
	LECT2A
	LECT2B
	LECT2C
	LECT2D
	Worked Examples
	Review
Topic Three:	Multiple random variables
	LECT3A
	LECT3B
	LECT3C
	Worked Examples
	Review
Topic Four:	Random processes
	LECT4A
	LECT4B
	LECT4C
	Worked Examples
	Review

1.	Basic interest rate and currency swap products
2.	Exotic swap products
3.	Derivatives with exotic embedded options
4.	Equity-linked notes
5.	Convertible bonds
6.	Structured convertibles
7.	Investors of convertibles: Hedging and arbitrage
8.	Forward Shooting

Credit risk of swaps

Email: maykwok@ust.hk

Fax number: (852) 2358 1643

Tel. number: (852) 2358 7418