Chao Yang

Westpac Bank

Sydney

Australia

SCHOLARLY PAPERS

9

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TOTAL CITATIONS
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Top 39,300

in Total Papers Citations

29

Scholarly Papers (9)

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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 2,364 (13,526)

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binomial tree, trinomial tree, American put option, speed

2.

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 (deceased) and Westpac Bank
Downloads 1,424 (29,810)
Citation 8

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

3.

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 (deceased) and Westpac Bank
Downloads 1,383 (31,102)
Citation 1

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

4.

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 (deceased) and Westpac Bank
Downloads 1,295 (34,294)
Citation 5

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Fourier transform, control-variate, numerical integration

5.

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 (deceased) and Westpac Bank
Downloads 966 (52,243)
Citation 8

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

6.

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 (deceased) and Westpac Bank
Downloads 849 (62,399)
Citation 5

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

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 (deceased) and Westpac Bank
Downloads 616 (94,704)
Citation 2

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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 (deceased) and Westpac Bank
Downloads 409 (155,922)

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

9.

Cross-Currency Component Value-at-Risk Attribution

Number of pages: 3 Posted: 28 Mar 2022
Chao Yang
Westpac Bank
Downloads 91 (613,630)

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Component VaR, Historical Simulation