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Zheng, Wendong's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
580 |
Total
Citations
5 |
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1.
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Zheng, Wendong
Hong Kong University of Science & Technology (HKUST) - Department of Mathematics Kwok, Yue Kuen
Hong Kong University of Science & Technology - Department of Mathematics
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18 Jun 09
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07 May 10
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422
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Convexity adjustment, static replication, constant maturity
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Zheng, Wendong
Hong Kong University of Science & Technology (HKUST) - Department of Mathematics Kwok, Yue Kuen
Hong Kong University of Science & Technology - Department of Mathematics
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13 Feb 11
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Last Revised:
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30 Apr 12
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98
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Exotic Variance Swaps, Stochastic Volatility Models, Fourier Transform, Discrete Sampling
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Zheng, Wendong
Hong Kong University of Science & Technology (HKUST) - Department of Mathematics Kwok, Yue Kuen
Hong Kong University of Science & Technology - Department of Mathematics
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40
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Fourier transform algorithm, volatility derivatives, additive processes
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4.
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Zheng, Wendong
Hong Kong University of Science & Technology (HKUST) - Department of Mathematics Kwok, Yue Kuen
Hong Kong University of Science & Technology - Department of Mathematics
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01 Jan 13
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Last Revised:
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20 Feb 13
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saddlepoint approximation, volatility derivatives, Levy models, stochastic volatility models
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Records 1 -
4
of 4 matches
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