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Lo, Chi-Fai


 SSRN Author Rank: 3,120 by Downloads
 

The Chinese University of Hong Kong


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

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. Lo, Chi-Fai's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
7,421
Total
Citations
93
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, Chi-Fai
The Chinese University of Hong Kong
Yuen, P. H.
affiliation not provided to SSRN
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
08 May 07
557
(27,432)
9

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, Chi-Fai
The Chinese University of Hong Kong
Lee, H. C.
Department of Physics
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
07 May 07
452
(36,092)
11

3.  
Lo, Chi-Fai
The Chinese University of Hong Kong
Chung, T. K.
Hong Kong Monetary Authority - Research Department
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
21 Jan 08
383
(44,369)
 

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, Chi-Fai
The Chinese University of Hong Kong
Posted:
26 Apr 07
379
(44,931)
5

5.  
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, Chi-Fai
The Chinese University of Hong Kong
Posted:
23 May 12
Last Revised:
14 May 13
346
(50,179)
 

6.  
A Simple Derivation of Kirk's Approximation for Spread Options | Show Abstract | Download |
Applied Mathematics Letters 26 (2013) 904-907
Accepted Paper Series
Lo, Chi-Fai
The Chinese University of Hong Kong
Posted:
03 Mar 13
Last Revised:
14 May 13
338
(51,557)
2

7.  
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, Chi-Fai
The Chinese University of Hong Kong
Huang, M. X.
Chinese University of Hong Kong - Department of Physics and Institute of Theoretical Physics
Posted:
30 Apr 07
322
(54,674)
6

8.  
Lo, Chi-Fai
The Chinese University of Hong Kong
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
27 Aug 07
301
(59,170)
3

9.  
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, Chi-Fai
The Chinese University of Hong Kong
Posted:
08 May 07
285
(62,903)
1

10.  
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Chung, T. K.
Hong Kong Monetary Authority - Research Department
Lo, Chi-Fai
The Chinese University of Hong Kong
Posted:
15 Feb 10
Last Revised:
03 May 13
269
(67,136)
 

11.  
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, Chi-Fai
The Chinese University of Hong Kong
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
27 Aug 07
254
(71,253)
1

12.  
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, Chi-Fai
The Chinese University of Hong Kong
Yeung, Vincent
Hong Kong Monetary Authority
Fung, Laurence
Hong Kong Monetary Authority
Posted:
21 Jan 08
Last Revised:
29 Mar 11
251
(72,233)
 

13.  
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, Chi-Fai
The Chinese University of Hong Kong
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
07 May 07
242
(75,065)
7

14.  
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, Chi-Fai
The Chinese University of Hong Kong
Yuen, P. H.
affiliation not provided to SSRN
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
08 May 07
213
(85,769)
5

15.  
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, Chi-Fai
The Chinese University of Hong Kong
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
189
(96,456)
 

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, Chi-Fai
The Chinese University of Hong Kong
Tsang, S. W.
affiliation not provided to SSRN
Posted:
30 Apr 07
182
(99,843)
15

17.  
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, Chi-Fai
The Chinese University of Hong Kong
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
177
(102,496)
1

18.  
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, Chi-Fai
The Chinese University of Hong Kong
Chung, T. K.
Hong Kong Monetary Authority - Research Department
Posted:
20 Aug 08
Last Revised:
24 Dec 12
176
(103,077)
 

19.  
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, Chi-Fai
The Chinese University of Hong Kong
Lee, H. C.
Department of Physics
Posted:
09 May 07
163
(110,589)
2

20.  
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, Chi-Fai
The Chinese University of Hong Kong
Posted:
02 May 07
161
(111,855)
3

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, Chi-Fai
The Chinese University of Hong Kong
Posted:
21 Aug 07
152
(117,659)
 

22.  
Valuing Time-Dependent CEV Barrier Options | Show Abstract | Download |
Journal of Applied Mathematics and Decision Sciences, pp. 1-17, 2009
Accepted Paper Series
Lo, Chi-Fai
The Chinese University of Hong Kong
Tang, Hoi-Man
The Chinese University of Hong Kong (CUHK)
Ku, K. C.
The Chinese University of Hong Kong (CUHK)
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
29 Mar 08
Last Revised:
10 Aug 09
151
(118,307)
 

23.  
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, Chi-Fai
The Chinese University of Hong Kong
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
27 Jul 07
135
(130,078)
7

24.  
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, Chi-Fai
The Chinese University of Hong Kong
Ku, K. C.
The Chinese University of Hong Kong (CUHK)
Posted:
31 May 07
129
(134,969)
 

25.  
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, Chi-Fai
The Chinese University of Hong Kong
Yuen, P. H.
affiliation not provided to SSRN
Posted:
21 Jul 08
Last Revised:
29 Mar 11
123
(140,057)
4

26.  
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, Chi-Fai
The Chinese University of Hong Kong
Wong, T. C.
Hong Kong Monetary Authority - Research Department
Man, P. K.
Chinese University of Hong Kong - Department of Physics
Posted:
01 May 07
120
(142,748)
1

27.  
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, Chi-Fai
The Chinese University of Hong Kong
Huang, M. X.
Chinese University of Hong Kong - Department of Physics and Institute of Theoretical Physics
Posted:
25 Apr 07
115
(147,409)
7

28.  
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, Chi-Fai
The Chinese University of Hong Kong
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
27 Aug 07
101
(161,879)
 

29.  
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, Chi-Fai
The Chinese University of Hong Kong
Chung, T. K.
Hong Kong Monetary Authority - Research Department
Posted:
14 Aug 07
98
(165,277)
 

30.  
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, Chi-Fai
The Chinese University of Hong Kong
Lau, C.S.
The Chinese University of Hong Kong (CUHK)
Posted:
31 Mar 12
Last Revised:
02 Jul 13
84
(182,713)
 

31.  
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, Chi-Fai
The Chinese University of Hong Kong
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
03 Sep 09
Last Revised:
27 Mar 12
75
(195,655)
1

32.  
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, Chi-Fai
The Chinese University of Hong Kong
Posted:
22 Apr 11
Last Revised:
14 May 13
69
(205,276)
 

33.  
Lo, Chi-Fai
The Chinese University of Hong Kong
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
07 Dec 12
Last Revised:
30 Jul 13
65
(211,937)
 

34.  
WKB Approximation for the Sum of Two Correlated Lognormal Random Variables | Show Abstract | Download |
Applied Mathematical Sciences, vol.7, no.128, pp.6355-6367 (2013)
Accepted Paper Series
Lo, Chi-Fai
The Chinese University of Hong Kong
Posted:
19 Feb 13
Last Revised:
12 Nov 13
55
(230,581)
 

35.  
Lo, Chi-Fai
The Chinese University of Hong Kong
Posted:
11 Aug 13
Last Revised:
08 May 14
51
(238,863)
1

36.  
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, Chi-Fai
The Chinese University of Hong Kong
Posted:
11 Jun 08
Last Revised:
18 May 09
43
(256,714)
1

37.  
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, Chi-Fai
The Chinese University of Hong Kong
Huang, Ming Xi
University of Technology Sydney (UTS) - School of Finance and Economics
Posted:
17 Oct 12
41
(261,507)
 

38.  
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, Chi-Fai
The Chinese University of Hong Kong
Posted:
25 Sep 09
Last Revised:
11 Mar 10
38
(269,104)
 

39.  
Lo, Chi-Fai
The Chinese University of Hong Kong
Zheng, Xiao Fen
The Chinese University of Hong Kong
Posted:
15 Aug 13
37
(271,800)
 

40.  
Pricing Dual Spread Options by the Lie-Trotter Operator Splitting Method | Show Abstract | Download |
IAENG International Journal of Applied Mathematics, Forthcoming
Accepted Paper Series
Lo, Chi-Fai
The Chinese University of Hong Kong
Posted:
08 May 13
Last Revised:
29 Nov 14
37
(271,800)
 

41.  
Lo, Chi-Fai
The Chinese University of Hong Kong
Posted:
27 Apr 14
Last Revised:
05 Sep 14
25
(309,922)
 

42.  
The Sum and Difference of Two Constant Elasticity of Variance Stochastic Variables | Show Abstract | Download |
Applied Mathematics, vol.4, no.11, pp.1503-1511 (2013)
Accepted Paper Series
Lo, Chi-Fai
The Chinese University of Hong Kong
Posted:
19 Feb 13
Last Revised:
12 Nov 13
24
(313,915)
 

43.  
A Quasi-Bounded Target Zone Model – Theory and Application to Hong Kong Dollar | Show Abstract | Download |
International Review of Economics & Finance, Forthcoming
Accepted Paper Series
Lo, Chi-Fai
The Chinese University of Hong Kong
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Chu, S.W.
The Chinese University of Hong Kong (CUHK)
Fong, Tom
Hong Kong Monetary Authority
Posted:
27 Nov 12
Last Revised:
02 Dec 14
13
(360,810)
 


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