Chao Yang

Origin Energy

Quantitative Analyst

Sydney

Australia

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 4,507

SSRN RANKINGS

Top 4,507

in Total Papers Downloads

7,503

CITATIONS
Rank 15,413

SSRN RANKINGS

Top 15,413

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 Origin Energy
Downloads 1,536 (6,737)
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 Origin Energy
Downloads 1,146 (12,992)
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 Origin Energy
Downloads 1,017 (14,840)
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 Origin Energy
Downloads 880 (20,657)
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 Origin Energy
Downloads 808 (23,263)
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 Origin Energy
Downloads 702 (21,907)

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 Origin Energy
Downloads 507 (41,679)

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 Origin Energy
Downloads 299 (77,196)
Citation 4

Abstract:

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