Jiun Hong Chan

University of Melbourne - Centre for Actuarial Studies

PhD Student

Melbourne, 3010

Australia

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 12,111

SSRN RANKINGS

Top 12,111

in Total Papers Downloads

7,390

SSRN CITATIONS
Rank 33,116

SSRN RANKINGS

Top 33,116

in Total Papers Citations

8

CROSSREF CITATIONS

23

Scholarly Papers (6)

1.

Trinomial or Binomial: Accelerating American Put Option Price on Trees

Number of pages: 18 Posted: 02 Sep 2008
Jiun Hong Chan, Mark S. Joshi, Robert Tang and Chao Yang
University of Melbourne - Centre for Actuarial Studies, University of Melbourne - Centre for Actuarial Studies (deceased), University of Melbourne - Centre for Actuarial Studies and ASX
Downloads 2,275 (12,265)

Abstract:

Loading...

binomial tree, trinomial tree, American put option, speed

2.

Fast and Accurate Long Stepping Simulation of the Heston Stochastic Volatility Model

Number of pages: 30 Posted: 29 May 2010 Last Revised: 16 Sep 2010
Jiun Hong Chan and Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies (deceased)
Downloads 1,775 (18,165)
Citation 5

Abstract:

Loading...

Heston stochastic volatility, variance process, integrated variace process, long stepping simulation schemes, sampling gamma random variables

3.
Downloads 1,753 (18,501)
Citation 4

First and Second Order Greeks in the Heston Model

Number of pages: 33 Posted: 02 Dec 2010 Last Revised: 05 Sep 2014
Jiun Hong Chan, Mark S. Joshi and Dan Zhu
University of Melbourne - Centre for Actuarial Studies, University of Melbourne - Centre for Actuarial Studies (deceased) and Monash University - Department of Econometrics & Business Statistics
Downloads 1,753 (18,175)
Citation 4

Abstract:

Loading...

Heston, Stochastic Volatility, Hessian Greeks, Monte Carlo Simulation, Algorithmic Differentiation

First- and Second-Order Greeks in the Heston Model

Journal of Risk, Vol. 17, No. 4, 2015
Number of pages: 52 Posted: 24 Jun 2016
Jiun Hong Chan, Mark S. Joshi and Dan Zhu
University of Melbourne - Centre for Actuarial Studies, University of Melbourne - Centre for Actuarial Studies (deceased) and Monash University - Department of Econometrics & Business Statistics
Downloads 0
Citation 1
  • Add to Cart

Abstract:

Loading...

Heston stochastic volatility, first- and second-order Greeks, algorithmic differentiation, simulation schemes, numerical methods

4.

Fast Monte-Carlo Greeks for Financial Products with Discontinuous Pay-Offs

Number of pages: 41 Posted: 11 Jan 2010 Last Revised: 28 Nov 2010
Jiun Hong Chan and Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies (deceased)
Downloads 769 (60,802)
Citation 3

Abstract:

Loading...

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

5.

Minimal Partial Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks

Number of pages: 23 Posted: 18 May 2009 Last Revised: 11 Oct 2011
Jiun Hong Chan and Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies (deceased)
Downloads 456 (116,971)
Citation 1

Abstract:

Loading...

Monte-Carlo Sensitivities, Greeks, Likelihood Ratio, Importance Sampling, Partial Proxy Simulation Scheme, Trigger Product, Discontinuous Pay-off, Digital Option, Auto-cap, Target Redemption Note

6.

Optimal Limit Methods for Computing Sensitivities of Discontinuous Integrals Including Triggerable Derivative Securities

Number of pages: 95 Posted: 27 Feb 2012 Last Revised: 13 Aug 2014
Jiun Hong Chan and Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies (deceased)
Downloads 362 (152,372)
Citation 7

Abstract:

Loading...

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