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1

Optimal arbitrage strategies on stock index futures under position limits

Min Dai, Yifei Zhong, Yue Kuen Kwok

Journal:

Journal of Futures Markets

Year:

2011

Language:

english

File:

PDF, 166 KB

english, 2011

2

Pricing Algorithms for Options with Exotic Path-Dependence

Kwok, Yue Kuen, Lau, Ka Wo

Journal:

The Journal of Derivatives

Year:

2001

Language:

english

File:

PDF, 462 KB

english, 2001

3

American Options with Lookback Payoff

Dai, Min, Kwok, Yue Kuen

Journal:

SIAM Journal on Applied Mathematics

Year:

2005

Language:

english

File:

PDF, 390 KB

english, 2005

4

CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS

KWOK, YUE-KUEN, WONG, HOI-YING

Journal:

International Journal of Theoretical and Applied Finance

Year:

2000

Language:

english

File:

PDF, 279 KB

english, 2000

5

QUANTO LOOKBACK OPTIONS

Min Dai, Hoi Ying Wong, Yue Kuen Kwok

Journal:

Mathematical Finance

Year:

2004

Language:

english

File:

PDF, 185 KB

english, 2004

6

No-Arbitrage Approach to Pricing Credit Spread Derivatives

Chu, Chi Chiu, Kwok, Yue Kuen

Journal:

The Journal of Derivatives

Year:

2003

Language:

english

File:

PDF, 2.18 MB

english, 2003

7

Knock-in American options

Min Dai, Yue Kuen Kwok

Journal:

Journal of Futures Markets

Year:

2004

Language:

english

File:

PDF, 128 KB

english, 2004

8

Anatomy of option features in convertible bonds

Ka Wo Lau, Yue Kuen Kwok

Journal:

Journal of Futures Markets

Year:

2004

Language:

english

File:

PDF, 172 KB

english, 2004

9

CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS

Min Dai, Yue Kuen Kwok

Journal:

Mathematical Finance

Year:

2006

Language:

english

File:

PDF, 143 KB

english, 2006

10

GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES

Min Dai, Yue Kuen Kwok, Jianping Zong

Journal:

Mathematical Finance

Year:

2008

Language:

english

File:

PDF, 161 KB

english, 2008

11

On Some Aspects of the Transonic Controversy

Kwok, Yue-Kuen, Sirovich, Lawrence

Journal:

SIAM Journal on Applied Mathematics

Year:

1987

Language:

english

File:

PDF, 1.53 MB

english, 1987

12

American Options with Lookback Payoff

Min Dai and Yue Kuen Kwok

Journal:

SIAM Journal on Applied Mathematics

Year:

2005

Language:

english

File:

PDF, 530 KB

english, 2005

13

Multi‐asset barrier options and occupation time derivatives

Wong, Hoi Ying, Kwok, Yue‐Kuen

Journal:

Applied Mathematical Finance

Year:

2003

Language:

english

File:

PDF, 215 KB

english, 2003

14

Pricing Multi-Asset Options with an External Barrier

Kwok, Yue-Kuen, Wu, Lixin, Yu, Hong

Journal:

International Journal of Theoretical and Applied Finance

Year:

1998

Language:

english

File:

PDF, 448 KB

english, 1998

15

FAST HILBERT TRANSFORM ALGORITHMS FOR PRICING DISCRETE TIMER OPTIONS UNDER STOCHASTIC VOLATILITY MODELS

ZENG, PINGPING, KWOK, YUE KUEN, ZHENG, WENDONG

Journal:

International Journal of Theoretical and Applied Finance

Year:

2015

Language:

english

File:

PDF, 390 KB

english, 2015

16

REAL OPTION SIGNALING GAMES OF DEBT FINANCING USING EQUITY GUARANTEE SWAPS UNDER ASYMMETRIC INFORMATION

WANG, QIUQI, KWOK, YUE KUEN

Journal:

International Journal of Theoretical and Applied Finance

Year:

2020

File:

PDF, 1.94 MB

2020

17

Stability analysis of three-level difference schemes for initial-boundary problems for multidimensional convective–diffusion equations

Yue-Kuen Kwok, Kin-Kiu Tam

Journal:

International Journal for Numerical Methods in Biomedical Engineering

Year:

1993

Language:

english

File:

PDF, 472 KB

english, 1993

18

Pricing Algorithms of Multivariate Path Dependent Options

Yue Kuen Kwok, Hoi Ying Wong, Ka Wo Lau

Journal:

Journal of Complexity

Year:

2001

Language:

english

File:

PDF, 199 KB

english, 2001

19

Finite-time dividend–ruin models

Kwai Sun Leung, Yue Kuen Kwok, Seng Yuen Leung

Journal:

Insurance: Mathematics and Economics

Year:

2008

Language:

english

File:

PDF, 540 KB

english, 2008

20

Options with combined reset rights on strike and maturity

Min Dai, Yue Kuen Kwok

Journal:

Journal of Economic Dynamics and Control

Year:

2005

Language:

english

File:

PDF, 502 KB

english, 2005

21

Counterparty Risk for Credit Default Swaps: Markov Chain Interacting Intensities Model with Stochastic Intensity

Kwai Sun Leung, Yue Kuen Kwok

Journal:

Asia-Pacific Financial Markets

Year:

2009

Language:

english

File:

PDF, 229 KB

english, 2009

22

OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT

Min Dai, Yue Kuen Kwok, Lixin Wu

Journal:

Mathematical Finance

Year:

2004

Language:

english

File:

PDF, 146 KB

english, 2004

23

Numerical simulation of principal tidal constituents in the South China Sea, Gulf of Tonkin and Gulf of Thailand

Guohong Fang, Yue-Kuen Kwok, Kejun Yu, Yaohua Zhu

Journal:

Continental Shelf Research

Year:

1999

Language:

english

File:

PDF, 775 KB

english, 1999

24

Distribution of occupation times for constant elasticity of variance diffusion and the pricing of α -quantile options

Sun Leung, Kwai, Kwok, Yue Kuen

Journal:

Quantitative Finance

Year:

2007

Language:

english

File:

PDF, 180 KB

english, 2007

25

On Some Aspects of the Transonic Controversy

Yue-Kuen Kwok and Lawrence Sirovich

Journal:

SIAM Journal on Applied Mathematics

Year:

1987

Language:

english

File:

PDF, 1.70 MB

english, 1987

26

Employee stock option valuation with repricing features

Leung, Kwai Sun, Kwok, Yue Kuen

Journal:

Quantitative Finance

Year:

2008

Language:

english

File:

PDF, 350 KB

english, 2008

27

Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance

Zheng, Wendong, Kwok, Yue Kuen

Journal:

Applied Mathematical Finance

Year:

2014

Language:

english

File:

PDF, 395 KB

english, 2014

28

CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS

Zheng, Wendong, Kwok, Yue Kuen

Journal:

Mathematical Finance

Year:

2014

Language:

english

File:

PDF, 365 KB

english, 2014

29

Options with Multiple Reset Rights

Dai, Min, Kwok, Yue Kuen, Wu, Li Xin

Journal:

International Journal of Theoretical and Applied Finance

Year:

2003

Language:

english

File:

PDF, 348 KB

english, 2003

30

Jump Diffusion Models for Risky Debts: Quality Spread Differentials

Wong, Hoi Ying, Kwok, Yue Kuen

Journal:

International Journal of Theoretical and Applied Finance

Year:

2003

Language:

english

File:

PDF, 160 KB

english, 2003

31

Fourier analysis of iterative schemes for solving the biharmonic equation

Journal:

International Journal of Computer Mathematics

Year:

1995

Language:

english

File:

PDF, 329 KB

english, 1995

32

PRICING PARTICIPATING POLICIES WITH RATE GUARANTEES

CHU, CHI CHIU, KWOK, YUE KUEN

Journal:

International Journal of Theoretical and Applied Finance

Year:

2006

Language:

english

File:

PDF, 228 KB

english, 2006

33

VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS

CHU, CHI CHIU, KWOK, YUE KUEN

Journal:

International Journal of Theoretical and Applied Finance

Year:

2007

Language:

english

File:

PDF, 298 KB

english, 2007

34

VALUATION OF EMPLOYEE RELOAD OPTIONS USING UTILITY MAXIMIZATION APPROACH

LAU, KA WO, KWOK, YUE KUEN

Journal:

International Journal of Theoretical and Applied Finance

Year:

2005

Language:

english

File:

PDF, 242 KB

english, 2005

35

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

Chung, Tsz Kin, Kwok, Yue Kuen

Journal:

Journal of Financial Engineering

Year:

2014

Language:

english

File:

PDF, 242 KB

english, 2014

36

ASIAN OPTIONS WITH THE AMERICAN EARLY EXERCISE FEATURE

WU, LIXIN, KWOK, YUE KUEN, YU, HONG

Journal:

International Journal of Theoretical and Applied Finance

Year:

1999

Language:

english

File:

PDF, 332 KB

english, 1999

37

Game Options Analysis of the Information Role of Call Policies in Convertible Bonds

Leung, Chi Man, Chen, Nan, Kwok, Yue Kuen

Journal:

Applied Mathematical Finance

Year:

2015

Language:

english

File:

PDF, 1.35 MB

english, 2015

38

Pricing guaranteed minimum withdrawal benefits under stochastic interest rates

Peng, Jingjiang, Leung, Kwai Sun, Kwok, Yue Kuen

Journal:

Quantitative Finance

Year:

2012

Language:

english

File:

PDF, 336 KB

english, 2012

39

Valuing employee reload options under the time vesting requirement

Dai, Min, Kwok *, Yue Kuen

Journal:

Quantitative Finance

Year:

2005

Language:

english

File:

PDF, 328 KB

english, 2005

40

Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes

Zeng, Pingping, Kwok, Yue Kuen

Journal:

Quantitative Finance

Year:

2016

Language:

english

File:

PDF, 666 KB

english, 2016

41

Application of MACSYMA to solutions of ordinary differential equations

Kwok, Yue‐Kuen

Journal:

International Journal of Mathematical Education

Year:

1991

Language:

english

File:

PDF, 632 KB

english, 1991

42

Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals

Huang, Yao Tung, Zeng, Pingping, Kwok, Yue Kuen

Journal:

SIAM Journal on Financial Mathematics

Year:

2017

Language:

english

File:

PDF, 590 KB

english, 2017

43

[SpringerBriefs in Quantitative Finance] Saddlepoint Approximation Methods in Financial Engineering ||

Kwok, Yue Kuen, Zheng, Wendong

Year:

2018

Language:

english

File:

PDF, 1.96 MB

english, 2018

44

Signaling Game Models of Equity Financing Under Information Asymmetry and Finite Project Life

Wang, Qiuqi, Kwok, Yue Kuen

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 707 KB

english, 2018

45

Accuracy and stability analysis of numerical schemes for the shallow water model

Journal:

Numerical Methods for Partial Differential Equations

Year:

1996

Language:

english

File:

PDF, 647 KB

english, 1996

46

Convergence analysis of a staggered pressure correction scheme for viscous incompressible flows

Yongdong Zhang, Yue-Kuen Kwok

Journal:

Numerical Methods for Partial Differential Equations

Year:

1997

Language:

english

File:

PDF, 205 KB

english, 1997

47

Location and structure of the nearest singularity of a perturbation series

Journal:

International Journal for Numerical Methods in Biomedical Engineering

Year:

1991

Language:

english

File:

PDF, 506 KB

english, 1991

48

Padé and upwinding finite difference schemes for the quantum mechanical equation of motion

Yue-Kuen Kwok, Daniel Barthez

Journal:

International Journal for Numerical Methods in Biomedical Engineering

Year:

1991

Language:

english

File:

PDF, 331 KB

english, 1991

49

Accuracy and Reliability Considerations of Option Pricing Algorithms

Yue-Kuen Kwok, Ka-Wo Lau

Journal:

Journal of Futures Markets

Year:

2001

Language:

english

File:

PDF, 297 KB

english, 2001

50

Target redemption notes

Chi Chiu Chu, Yue Kuen Kwok

Journal:

Journal of Futures Markets

Year:

2007

Language:

english

File:

PDF, 238 KB

english, 2007

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