Yi Ling Low

The University of Melbourne

Ph.D Candidate

185 Pelham Street

Carlton, Victoria 3053

Australia

http://www.finance.unimelb.edu.au/who/PhDWeb.cfm?PhDNo=37

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

Long and Short-Term Dynamics of the S&P500 Option-Implied Distribution

Posted: 20 May 2013
Yi Ling Low
The University of Melbourne

Abstract:

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Risk Neutral Distribution, Option Pricing, Long Memory

2.

Estimating the Value-at-Risk: A Comparative Study of the Extreme Value Theory and Transformed Kernel Density Approach

Posted: 22 Feb 2012 Last Revised: 05 Jun 2013
Yi Ling Low and Jonathan Dark
The University of Melbourne and University of Melbourne

Abstract:

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Extreme Value Theory, Transformed Kernel Density