Chao Yang

University of Melbourne - Centre for Actuarial Studies

Melbourne, 3010

Australia

SCHOLARLY PAPERS

8

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CITATIONS
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in Total Papers Citations

23

Scholarly Papers (8)

1.

Trinomial or Binomial: Accelerating American Put Option Price on Trees

Number of pages: 18 Posted: 02 Sep 2008
University of Melbourne - Centre for Actuarial Studies, University of Melbourne - Centre for Actuarial Studies, University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 1,536 (6,907)
Citation 2

Abstract:

binomial tree, trinomial tree, American put option, speed

2.

Fast and Accurate Pricing and Hedging of Long-Dated CMS Spread Options

Number of pages: 26 Posted: 11 Dec 2009
Mark S. Joshi and Chao Yang
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 1,146 (12,437)
Citation 2

Abstract:

Spread option, Gaussian quadrature rule, Delta, Vega, Market skew sensitivity

3.

Algorithmic Hessians and the Fast Computation of Cross-Gamma Risk

Number of pages: 21 Posted: 19 Jun 2010 Last Revised: 02 Dec 2010
Mark S. Joshi and Chao Yang
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 1,017 (14,443)
Citation 5

Abstract:

automatic differentiation, Monte Carlo simulation, Greeks, Gamma, LIBOR market model, cancellable

4.

Efficient Greek Estimation in Generic Market Models

Number of pages: 27 Posted: 24 Jul 2009
Mark S. Joshi and Chao Yang
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 880 (19,513)
Citation 4

Abstract:

adjoint method, Delta, Vega, computational order, market model, Monte Carlo simulation

5.

Fast Delta Computations in the Swap-Rate Market Model

Number of pages: 14 Posted: 08 May 2009 Last Revised: 12 Nov 2010
Mark S. Joshi and Chao Yang
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 808 (21,996)
Citation 6

Abstract:

adjoint method, Delta, computational order, market model, Monte Carlo simulation

6.

Fourier Transforms, Option Pricing and Controls

Number of pages: 20 Posted: 10 Oct 2011
Mark S. Joshi and Chao Yang
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 702 (21,901)

Abstract:

Fourier transform, control-variate, numerical integration

7.

Fast Gamma Computations for CDO Tranches

Number of pages: 10 Posted: 09 Oct 2010
Mark S. Joshi and Chao Yang
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 507 (40,139)

Abstract:

portfolio credit derivatives, copula modelling, semi-analytic method, algorithmic differentiation

8.

Efficient Greek Estimation in Generic Swap-Rate Market Models

Algorithmic Finance, Vol. 1, No. 1, 2011
Number of pages: 18 Posted: 02 Mar 2011
Mark S. Joshi and Chao Yang
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 299 (74,839)
Citation 4

Abstract:

algorithmic finance, adjoint method, delta, vega, computational order, market model, Monte Carlo simulation