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Lo, C.F.
 SSRN Author Rank: 3,103 by Downloads
 

Chinese University of Hong Kong (CUHK)


 Department of Physics
 Shatin, N.T., Hong Kong
 China
 email address

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. Lo, C.F.'s Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
6,259		 Total
Citations
83
Authors Date Downloads
 (Rank) 		Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Constant Elasticity of Variance Option Pricing Model With Time-Dependent Parameters | Show Abstract | Download |
International Journal of Theoretical and Applied Finance, Vol. 3, No. 4, pp. 661-674, 2000
Accepted Paper Series
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Yuen , P. H.
affiliation not provided to SSRN
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
08 May 07
521
(24,169) 		7
2.  
A Simple Approach for Pricing Barrier Options with Time-Dependent Parameters | Show Abstract | Download |
Quantitative Finance, Vol. 3, No. 2, pp. 98-107, 2003
Accepted Paper Series
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Lee, H. C.
Department of Physics
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
07 May 07
417
(32,334) 		9
3.  
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Chung, T. K.
Hong Kong Monetary Authority - Research Department
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
21 Jan 08
363
(38,369) 		 
4.  
Currency Barrier Option Pricing With Mean Reversion | Show Abstract | Download |
Journal of Futures Markets, Vol. 26, No. 10, pp. 939-958, January 2006
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Posted:
26 Apr 07
357
(39,173) 		5
5.  
Benchmarking Model of Default Probabilities of Listed Companies | Show Abstract | Download |
Journal of Fixed Income, Vol. 15, No. 2, pp. 76-86, 2006
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Wong, T. C.
Hong Kong Monetary Authority - Research Department
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Huang, M. X.
Chinese University of Hong Kong - Department of Physics and Institute of Theoretical Physics
Posted:
30 Apr 07
298
(48,626) 		6
6.  
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
27 Aug 07
278
(52,639) 		3
7.  
Effect of Asset Value Correlation on Credit-Linked Note Values | Show Abstract | Download |
International Journal of Theoretical and Applied Finance (2002), Vol.5, No. 5, 455-478
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Posted:
08 May 07
259
(56,972) 		1
8.  
Valuing Foreign Currency Options with a Mean-Reverting Process: A Study of Hong Kong Dollar | Show Abstract | Download |
International Journal of Finance & Economic, Vol. 13, pp. 118-134, 2008
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Yeung, Vincent
Hong Kong Monetary Authority
Fung, Laurence
Hong Kong Monetary Authority
Posted:
21 Jan 08
Last Revised:
29 Mar 11
245
(60,534) 		 
9.  
Valuing Double Barrier Options With Time-Dependent Parameters by Fourier Series Expansion | Show Abstract | Download |
IAENG International Journal of Applied Mathematics, Vol. 36, No. 1, 2007
Accepted Paper Series
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
27 Aug 07
243
(61,034) 		1
10.  
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Chung, T. K.
Hong Kong Monetary Authority - Research Department
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Posted:
15 Feb 10
Last Revised:
03 May 13
240
(61,867) 		 
11.  
Valuation of Financial Derivatives with Time-Dependent Parameters: Lie-Algebraic Approach | Show Abstract | Download |
Quantitative Finance, Vol. 1, No. 1, pp. 73-78, 2001
Accepted Paper Series
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
07 May 07
219
(68,183) 		7
12.  
Pricing Barrier Options With Square Root Process | Show Abstract | Download |
International Journal of Theoretical and Applied Finance, Vol. 4, No. 5, pp. 805-818, 2001
Accepted Paper Series
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Yuen , P. H.
affiliation not provided to SSRN
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
08 May 07
207
(72,257) 		5
13.  
Does Using Time-Varying Target Leverage Ratios in Structural Credit Risk Models Improve Their Accuracy? | Show Abstract | Download |
Journal of Risk Model Validation, Volume 6/Number 3, page 27-49, 2012
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Wong, T. C.
Hong Kong Monetary Authority - Research Department
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Huang, M. X.
Chinese University of Hong Kong - Department of Physics and Institute of Theoretical Physics
Posted:
07 Mar 08
Last Revised:
05 Oct 12
177
(84,164) 		 
14.  
The Sum and Difference of Two Lognormal Random Variables | Show Abstract | Download |
Journal of Applied Mathematics, Volume 2012, Article ID 838397
Accepted Paper Series
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Posted:
23 May 12
Last Revised:
14 May 13
170
(87,906) 		1
15.  
Market Expectation of Appreciation of the Renminbi | Show Abstract | Download |
21st Australasian Finance and Banking Conference 2008 Paper
Working Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Chung, T. K.
Hong Kong Monetary Authority - Research Department
Posted:
20 Aug 08
Last Revised:
24 Dec 12
170
(87,474) 		 
16.  
Pricing Corporate Bonds With Dynamic Default Barriers | Show Abstract | Download |
Journal of Risk, Vol. 5. No. 3, pp. 17-37, 2003
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Tsang, S. W.
affiliation not provided to SSRN
Posted:
30 Apr 07
169
(87,906) 		15
17.  
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Huang, M. X.
Chinese University of Hong Kong - Department of Physics and Institute of Theoretical Physics
Lee, H. C.
Department of Physics
Posted:
28 Mar 08
157
(94,027) 		1
18.  
Pricing Vulnerable Black-Scholes Options With Dynamic Default Barriers | Show Abstract | Download |
Journal of Derivatives, Vol. 10. No. 4, pp. 62-69, 2003
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Lee, H. C.
Department of Physics
Posted:
09 May 07
150
(97,971) 		2
19.  
Valuation Model of Defaultable Bond Values in Emerging Markets | Show Abstract | Download |
Asia-Pacific Financial Markets, Vol. 9, No. 1, pp. 45-60, 2002
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Posted:
02 May 07
149
(98,568) 		3
20.  
Valuing Time-Dependent CEV Barrier Options | Show Abstract | Download |
Journal of Applied Mathematics and Decision Sciences, pp. 1-17, 2009
Accepted Paper Series
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Tang, Hoi-Man
Chinese University of Hong Kong (CUHK)
Ku, K. C.
Chinese University of Hong Kong (CUHK)
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
29 Mar 08
Last Revised:
10 Aug 09
148
(99,168) 		 
21.  
Ratings Versus Market-Based Measures of Default Risk of East Asian Banks | Show Abstract | Download |
20th Australasian Finance & Banking Conference 2007 Paper
Working Paper Series
Wong, T. C.
Hong Kong Monetary Authority - Research Department
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Posted:
21 Aug 07
142
(102,751) 		 
22.  
Lie Algebraic Approach for Pricing Moving Barrier Options with Time-Dependent Parameters | Show Abstract | Download |
Journal of Mathematical Analysis and Applications, Vol. 323, No. 2, pp. 1455-1464, 2006
Accepted Paper Series
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
27 Jul 07
126
(113,539) 		4
23.  
Pricing Vulnerable European Options With Stochastic Default Barriers | Show Abstract | Download |
IMA Journal of Management Mathematics, Vol. 18, No. 4, pp. 315-329, 2007
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Ku, K. C.
Chinese University of Hong Kong (CUHK)
Posted:
31 May 07
116
(121,311) 		 
24.  
Measuring Provisions for Collateralised Retail Lending | Show Abstract | Download |
Journal of Economics and Business, Vol. 58, pp. 343-361, 2006
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Wong, T. C.
Hong Kong Monetary Authority - Research Department
Man, P. K.
Chinese University of Hong Kong - Department of Physics
Posted:
01 May 07
116
(121,311) 		1
25.  
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Yuen , P. H.
affiliation not provided to SSRN
Posted:
21 Jul 08
Last Revised:
29 Mar 11
112
(125,475) 		4
26.  
Are Corporates' Target Leverage Ratios Time-Dependent? | Show Abstract | Download |
International Review of Financial Analysis, Vol. 15, pp. 220-236, 2006
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Huang, M. X.
Chinese University of Hong Kong - Department of Physics and Institute of Theoretical Physics
Posted:
25 Apr 07
110
(126,326) 		7
27.  
Pricing Multi-Asset Financial Derivatives With Time-Dependent Parameters - Lie Algebraic Approach | Show Abstract | Download |
International Journal of Mathematics and Mathematical Sciences, Vol. 32, No. 7, pp. 401-410, 2002
Accepted Paper Series
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
27 Aug 07
98
(137,138) 		 
28.  
Using First-Passage-Time Density to Assess Realignment Risk of a Target Zone | Show Abstract | Download |
20th Australasian Finance & Banking Conference 2007 Paper
Working Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Chung, T. K.
Hong Kong Monetary Authority - Research Department
Posted:
14 Aug 07
92
(143,088) 		 
29.  
A Simple Analytical Model for Dynamics of Time-Varying Target Leverage Ratios | Show Abstract | Download |
European Physical Journal B, Vol. 85, No 3, Article Number 102, 2012
Accepted Paper Series
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
03 Sep 09
Last Revised:
27 Mar 12
70
(169,414) 		1
30.  
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Lau, C.S.
Chinese University of Hong Kong (CUHK)
Posted:
31 Mar 12
58
(187,005) 		 
31.  
Lie-Algebraic Approach for Pricing Zero-Coupon Bonds in Single-Factor Interest Rate Models | Show Abstract | Download |
Journal of Applied Mathematics, Volume 2013, Article ID 276238
Accepted Paper Series
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Posted:
22 Apr 11
Last Revised:
14 May 13
48
(204,216) 		 
32.  
A Simple Derivation of Kirk's Approximation for Spread Options | Show Abstract | Download |
Applied Mathematics Letters 26 (2013) 904-907
Accepted Paper Series
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Posted:
03 Mar 13
Last Revised:
14 May 13
43
(213,819) 		 
33.  
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
07 Dec 12
Last Revised:
22 Apr 13
42
(215,829) 		 
34.  
A Note on Estimating Realignment Probabilities - A First-Passage-Time Approach | Show Abstract | Download |
Journal of International Money and Finance, Vol. 28, pp. 804-812, 2009
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Posted:
11 Jun 08
Last Revised:
18 May 09
39
(221,995) 		 
35.  
Discriminatory Power and Predictions of Defaults of Structural Credit Risk Models | Show Abstract | Download |
Journal of Risk Model Validation, Vol. 3, No. 4, 2009/2010
Accepted Paper Series
Wong, T. C.
Hong Kong Monetary Authority - Research Department
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Posted:
25 Sep 09
Last Revised:
11 Mar 10
36
(228,589) 		 
36.  
Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios | Show Abstract | Download |
Research Paper Number: 304, Quantitative Finance Research Centre, University of Technology, Sydney
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Huang, Ming Xi
University of Technology, Sydney (UTS) - School of Finance and Economics
Posted:
17 Oct 12
31
(240,683) 		 
37.  
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Posted:
19 Feb 13
16
(289,547) 		 
38.  
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Posted:
19 Feb 13
12
(303,762) 		 
39.  
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Posted:
08 May 13
8
(316,823) 		 
40.  
Lo, C.F.
Chinese University of Hong Kong (CUHK)
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Chu, S.W.
Chinese University of Hong Kong (CUHK)
Fong, Tom
Hong Kong Monetary Authority
Posted:
27 Nov 12
7
(319,747) 		 

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