Ke Chen

University of Manchester - Manchester Business School

Booth Street West

Manchester, M15 6PB

United Kingdom

SCHOLARLY PAPERS

5

DOWNLOADS

843

SSRN CITATIONS

0

CROSSREF CITATIONS

7

Scholarly Papers (5)

1.

The Art of Volatility Modelling: A Case Study Based on DBS

Number of pages: 30 Posted: 24 Aug 2010
Ke Chen, XueFei He and Ser-Huang Poon
University of Manchester - Manchester Business School, University of Manchester - Manchester Business School and Alliance Manchester Business School, University of Manchester
Downloads 267 (136,544)
Citation 1

Abstract:

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GARCH, Stochastic Volatility, Realised Volatility, Volatility Surface, Variance Swaps

2.

Variance Swap Premium under Stochastic Volatility and Self-Exciting Jumps

Number of pages: 50 Posted: 13 Jan 2013
Ke Chen and Ser-Huang Poon
University of Manchester - Manchester Business School and Alliance Manchester Business School, University of Manchester
Downloads 215 (168,581)
Citation 10

Abstract:

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Hawkes process, Volatility Surface, Volatility Risk Premium, Jump Risk Premium, Skew Premium

3.

Consistent Pricing and Hedging Volatility Derivatives with Two Volatility Surfaces

Number of pages: 41 Posted: 23 Jan 2013 Last Revised: 08 Feb 2013
Ke Chen and Ser-Huang Poon
University of Manchester - Manchester Business School and Alliance Manchester Business School, University of Manchester
Downloads 152 (228,859)
Citation 2

Abstract:

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SPX Volatility Surface, VIX Volatility Surface, VIX Futures, VIX Options, Hedge Ratio

4.

The Reality of Stock Market Jumps Diversification (with Internet Appendix)

Number of pages: 49 Posted: 14 Feb 2017 Last Revised: 17 Nov 2017
University of Manchester - Manchester Business School, University of Essex - Essex Business School, Alliance Manchester Business School - University of Manchester and Alliance Manchester Business School, University of Manchester
Downloads 122 (271,959)

Abstract:

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Asset allocation, international portfolio diversification, home bias, systemic and idiosyncratic jumps, jump news

5.

Jump Mis-Specification and International Portfolio Selection

Number of pages: 31 Posted: 04 Apr 2014
University of Manchester - Manchester Business School, University of Essex - Essex Business School and Alliance Manchester Business School, University of Manchester
Downloads 87 (341,198)

Abstract:

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Systemic Jump, Idiosyncratic Jump, Jump-diffusion, International Portfolio Diversification, Markov Chain Monte Carlo