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Chan, Jiun Hong's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
3,769 |
Total
Citations
19 |
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1.
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Chan, Jiun Hong
University of Melbourne - Centre for Actuarial Studies Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies Tang, Robert
University of Melbourne - Centre for Actuarial Studies Yang, Chao
University of Melbourne - Centre for Actuarial Studies
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1,317
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2
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binomial tree, trinomial tree, American put option, speed
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2.
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Chan, Jiun Hong
University of Melbourne - Centre for Actuarial Studies Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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29 May 10
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Last Revised:
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16 Sep 10
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932
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4
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Heston stochastic volatility, variance process, integrated variace process, long stepping simulation schemes, sampling gamma random variables
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3.
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Chan, Jiun Hong
University of Melbourne - Centre for Actuarial Studies Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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02 Dec 10
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Last Revised:
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27 Dec 10
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557
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Heston, Stochastic Volatility, Hessian Greeks, Monte Carlo Simulation, Algorithmic Differentiation
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4.
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Chan, Jiun Hong
University of Melbourne - Centre for Actuarial Studies Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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11 Jan 10
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Last Revised:
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28 Nov 10
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517
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7
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Price Sensitivities, Monte-Carlo Greeks, Partial Proxy Simulation Scheme, Minimal Partial Proxy Simulation Scheme, Pathwise Partial Proxy Method, Pathwise Minimal Partial Proxy Method, Discontinuous Pay-offs, Digital Options, Target Redemption Notes, LIBOR Market Model
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5.
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Chan, Jiun Hong
University of Melbourne - Centre for Actuarial Studies Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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18 May 09
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Last Revised:
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11 Oct 11
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336
(42,202)
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Monte-Carlo Sensitivities, Greeks, Likelihood Ratio, Importance Sampling, Partial Proxy Simulation Scheme, Trigger Product, Discontinuous Pay-off, Digital Option, Auto-cap, Target Redemption Note
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6.
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Chan, Jiun Hong
University of Melbourne - Centre for Actuarial Studies Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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27 Feb 12
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Last Revised:
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07 Jan 13
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110
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price sensitivities, Monte-Carlo Greeks, partial proxy simulation scheme, minimal partial proxy simulation scheme, optimal partial proxy simulation scheme, discontinuous pay-offs, digital options, target redemption notes, LIBOR market model
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Records 1 -
6
of 6 matches
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1
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