Alex S. L. Tse

University College London

Gower Street

London, WC1E 6BT

United Kingdom

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 47,204

SSRN RANKINGS

Top 47,204

in Total Papers Downloads

1,974

SSRN CITATIONS
Rank 34,767

SSRN RANKINGS

Top 34,767

in Total Papers Citations

23

CROSSREF CITATIONS

7

Scholarly Papers (9)

Liquidation, Bailout, and Bail-in: Insolvency Resolution Mechanisms and Bank Lending

Forthcoming in the Journal of Financial and Quantitative Analysis
Number of pages: 62 Posted: 22 Feb 2018 Last Revised: 26 May 2021
Bart M. Lambrecht and Alex S. L. Tse
University of Cambridge - Judge Business School and University College London
Downloads 455 (118,971)
Citation 2

Abstract:

Loading...

Liquidation, bailout, bail-in, asset sale, agency

Liquidation, Bailout, and Bail-In: Insolvency Resolution Mechanisms and Bank Lending

CEPR Discussion Paper No. DP13734
Number of pages: 64 Posted: 22 May 2019
Bart M. Lambrecht and Alex S. L. Tse
University of Cambridge - Judge Business School and University College London
Downloads 0
Citation 4
  • Add to Cart

Abstract:

Loading...

agency, asset sale, bail-in, bailout, Liquidation

2.

Randomized Strategies and Prospect Theory in a Dynamic Context

Number of pages: 29 Posted: 29 Nov 2014 Last Revised: 06 Jan 2017
Vicky Henderson, David Hobson and Alex S. L. Tse
University of Warwick, University of Warwick and University College London
Downloads 372 (151,448)
Citation 8

Abstract:

Loading...

Behavioral economics, prospect theory, probability weighting, randomized strategies

3.

Optimal Option Market Making and Volatility Arbitrage

Number of pages: 26 Posted: 08 Mar 2024
Vladimir Lucic and Alex S. L. Tse
Imperial College London and University College London
Downloads 352 (161,943)

Abstract:

Loading...

Market making, algorithmic trading, options, volatility arbitrage, Hamilton–Jacobi–Bellman equation

4.

Probability Weighting, Stop-Loss and the Disposition Effect

Number of pages: 58 Posted: 16 Aug 2016 Last Revised: 06 Mar 2017
Vicky Henderson, David Hobson and Alex S. L. Tse
University of Warwick, University of Warwick and University College London
Downloads 346 (163,967)
Citation 4

Abstract:

Loading...

Prospect theory, behavioral finance, disposition effect, investor trading behavior, probability weighting.

5.

Portfolio Selection, Periodic Evaluations and Risk Taking

Number of pages: 59 Posted: 04 Feb 2022 Last Revised: 21 Jun 2023
Alex S. L. Tse and Harry Zheng
University College London and Imperial College London - Mathematical Finance
Downloads 197 (287,154)
Citation 2

Abstract:

Loading...

Portfolio selection, S-shaped utility, periodic evaluation, agency, incentive

6.

Dynamic Modeling of Tail Risk: Applications to China, Hong Kong and Other Asian Markets

Asia-Pacific Financial Markets, Vol. 16, pp. 183-210, 2009
Number of pages: 40 Posted: 30 Jun 2009 Last Revised: 29 Jan 2010
Mike K. P. So and Alex S. L. Tse
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management and University College London
Downloads 96 (506,869)

Abstract:

Loading...

Dynamic correlation, Extreme dependence, Multivariate GARCH Model, Risk management, Tail dependence coefficient

7.

Speculative Trading, Prospect Theory and Transaction Costs

Number of pages: 29 Posted: 10 Dec 2019 Last Revised: 13 Oct 2021
Alex S. L. Tse and Harry Zheng
University College London and Imperial College London - Mathematical Finance
Downloads 69 (616,214)

Abstract:

Loading...

S-shaped utility, optimal stopping, transaction costs, entry-and-exit strategies

8.

FX Open Forward

Number of pages: 35 Posted: 31 Jan 2024
J Hok and Alex S. L. Tse
Investec Bank and University College London
Downloads 61 (656,518)

Abstract:

Loading...

FX Open Forward, American derivative, optimal stopping, free-boundary problem

9.

Portfolio Optimization under Transaction Costs with Recursive Preferences

Number of pages: 67 Posted: 29 Feb 2024
Martin Herdegen, David Hobson and Alex S. L. Tse
University of Warwick - Department of Statistics, University of Warwick and University College London
Downloads 26 (904,351)

Abstract:

Loading...

Merton problem, lifetime investment and consumption, transaction costs, Epstein-Zin stochastic differential utility