Chao Yang

Origin Energy

Quantitative Analyst

Sydney

Australia

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 5,326

SSRN RANKINGS

Top 5,326

in Total Papers Downloads

7,992

SSRN CITATIONS
Rank 28,791

SSRN RANKINGS

Top 28,791

in Total Papers Citations

2

CROSSREF CITATIONS

21

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 (deceased), University of Melbourne - Centre for Actuarial Studies and Origin Energy
Downloads 1,972 (7,571)

Abstract:

Loading...

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 (deceased) and Origin Energy
Downloads 1,256 (15,663)
Citation 1

Abstract:

Loading...

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 (deceased) and Origin Energy
Downloads 1,165 (17,541)
Citation 6

Abstract:

Loading...

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

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 Origin Energy
Downloads 970 (23,053)
Citation 2

Abstract:

Loading...

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 Origin Energy
Downloads 904 (25,532)
Citation 8

Abstract:

Loading...

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 Origin Energy
Downloads 833 (28,642)
Citation 5

Abstract:

Loading...

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 Origin Energy
Downloads 558 (49,112)
Citation 2

Abstract:

Loading...

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 Origin Energy
Downloads 334 (91,142)

Abstract:

Loading...

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