Jiun Hong Chan

University of Melbourne - Centre for Actuarial Studies

PhD Student

Melbourne, 3010

Australia

  • University of Melbourne - Centre for Actuarial Studies

SCHOLARLY PAPERS

6

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TOTAL CITATIONS
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20

Scholarly Papers (6)

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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 Westpac Bank
Downloads 2,354 (13,423)

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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 1,837 (20,009)
Citation 5

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

3.

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 1,816 (20,360)
Citation 4

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

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 785 (68,316)
Citation 3

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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

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 470 (130,542)
Citation 1

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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

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 380 (166,962)
Citation 7

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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