Kawee Numpacharoen

Phatra Securities

Bangkok, 10310

Thailand

Mahidol University - Department of Mathematics

Bangkok, 10400

Thailand

  • Phatra Securities

  • Mahidol University - Department of Mathematics

SCHOLARLY PAPERS

5

DOWNLOADS

1,186

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (5)

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1.

A New Algorithm for Computing Implied Volatility

East-West Journal of Mathematics, Forthcoming
Number of pages: 13 Posted: 03 Jul 2011 Last Revised: 15 Aug 2012
Kawee Numpacharoen and Kornkanok Bunwong
Phatra Securities and Mahidol University - Department of Mathematics
Downloads 802 (60,722)

Abstract:

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implied volatility, option pricing, Black-Scholes formula, European options

2.

An Intuitively Valid Algorithm for Adjusting the Correlation Matrix in Risk Management and Option Pricing

Number of pages: 11 Posted: 06 Jan 2012 Last Revised: 15 Aug 2012
Kawee Numpacharoen and Kornkanok Bunwong
Phatra Securities and Mahidol University - Department of Mathematics
Downloads 384 (150,367)
Citation 2

Abstract:

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Adjusting correlation, stress testing, correlation matrix

3.

Weighted Average Correlation Matrices Method for Correlation Stress Testing and Sensitivity Analysis

Journal of Derivatives, Forthcoming
Posted: 07 Oct 2012 Last Revised: 21 Oct 2016
Kawee Numpacharoen
Phatra Securities

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adjusting correlation matrix, correlation stress testing, correlation sensitivity analysis, positive semi-definite, positive definite

4.

Generating Correlation Matrices Based on the Boundaries of Their Coefficients

PLOS ONE, 7(11): e48902.
Posted: 23 Aug 2012 Last Revised: 19 Nov 2012
Kawee Numpacharoen and Amporn Atsawarungruangkit
Phatra Securities and Rangsit University

Abstract:

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generating correlation matrices, boundaries of correlation coefficients, uniform random variable, multivariate simulation, positive semi-definite

5.

Boundaries of Correlation Adjustment with Applications to Financial Risk Management

Applied Mathematical Finance, Forthcoming
Posted: 24 Jan 2012 Last Revised: 21 Oct 2016
Kawee Numpacharoen and Kornkanok Bunwong
Phatra Securities and Mahidol University - Department of Mathematics

Abstract:

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adjusting correlation, stress testing, correlation matrix, boundaries, lower bound, upper bound, nearest correlation matrix