Kornkanok Bunwong

Mahidol University - Department of Mathematics

Bangkok, 10400

Thailand

SCHOLARLY PAPERS

3

DOWNLOADS
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Top 35,576

in Total Papers Downloads

932

CITATIONS

0

Scholarly Papers (3)

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 642 (27,981)

Abstract:

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 207 (102,145)

Abstract:

Adjusting correlation, stress testing, correlation matrix

3.

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:

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