Chia Chun Lo

University of Macau - Department of Finance and Business Economics

Macau

SCHOLARLY PAPERS

5

DOWNLOADS

340

CITATIONS

0

Scholarly Papers (5)

1.

A Portfolio Insurance Strategy for Commodity Futures

International Journal of Financial Engineering and Risk Management Special Issue on: "Commodities Financial Management" Updated paper version to appear in Jan 2013
Number of pages: 20 Posted: 08 Nov 2012 Last Revised: 16 Jan 2013
Chia Chun Lo and Konstantinos Skindilias
University of Macau - Department of Finance and Business Economics and University of Greenwich, CMS
Downloads 124 (147,315)

Abstract:

portfolio insurance, CPPI, commodity futures

2.

Local Volatility Calibration during Turbulent Periods

Review of Quantitative Finance and Accounting, Forthcoming
Number of pages: 20 Posted: 08 Nov 2012 Last Revised: 30 Jan 2014
Konstantinos Skindilias and Chia Chun Lo
University of Greenwich, CMS and University of Macau - Department of Finance and Business Economics
Downloads 73 (244,975)

Abstract:

Markov chain approximation, local volatility, jump-diffusions, cubic splines, option pricing

3.

Forecasting Latent Volatility Through a Markov Chain Approximation Filter

Number of pages: 26 Posted: 20 Dec 2014 Last Revised: 13 Mar 2015
University of Macau - Department of Finance and Business Economics, University of Greenwich, CMS and University of East London
Downloads 29 (315,923)

Abstract:

Filtering variance; Forecasting probability; Continuous time Markov chains

4.

Does the Short Rate Revert to its Mean in the Risk-Neutral World?

Number of pages: 29 Posted: 07 Jun 2014
Chia Chun Lo and Konstantinos Skindilias
University of Macau - Department of Finance and Business Economics and University of Greenwich, CMS
Downloads 21 (383,104)

Abstract:

Short rate models, Nonlinear mean-reversion, Markov Chain approximation, Nonlinear filter, Quantitative easing

5.

Derivatives Pricing and Model Calibration Using Continuous Time Markov Chain Approximation Model

Number of pages: 43 Posted: 28 Aug 2012
Chia Chun Lo and Konstantinos Skindilias
University of Macau - Department of Finance and Business Economics and University of Greenwich, CMS
Downloads 10 (415,923)

Abstract:

continuous time Markov chain, diffusion approximation, local consistency, option pricing