Jiun Hong Chan

University of Melbourne - Centre for Actuarial Studies

PhD Student

Melbourne, 3010

Australia

SCHOLARLY PAPERS

6

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SSRN CITATIONS
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Top 23,777

in Total Papers Citations

6

CROSSREF CITATIONS

32

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 Origin Energy
Downloads 2,027 (8,366)

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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 1,549 (12,868)
Citation 5

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

3.
Downloads 1,496 ( 13,603)
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 1,496 (13,341)
Citation 4

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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
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Citation 1
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Heston stochastic volatility, first- and second-order Greeks, algorithmic differentiation, simulation schemes, numerical methods

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 718 (39,115)
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

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

Mathematical Finance, Vol. 23, Issue 3, pp. 459-495, 2013
Number of pages: 37 Posted: 09 Jun 2013
Jiun Hong Chan and Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies (deceased)
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price sensitivities, Monte Carlo Greeks, partial proxy simulation scheme, minimal partial proxy simulation scheme, pathwise method, trigger product, discontinuous pay‐off, digital option, target redemption note, 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 418 (78,973)
Citation 2

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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 308 (111,571)
Citation 6

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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