Chi-Fai Lo

The Chinese University of Hong Kong

Department of Physics

Shatin, N.T., Hong Kong

China

SCHOLARLY PAPERS

51

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CITATIONS
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89

Scholarly Papers (51)

1.

Constant Elasticity of Variance Option Pricing Model With Time-Dependent Parameters

International Journal of Theoretical and Applied Finance, Vol. 3, No. 4, pp. 661-674, 2000
Number of pages: 14 Posted: 08 May 2007
Chi-Fai Lo, P. H. Yuen and Cho-Hoi Hui
The Chinese University of Hong Kong, affiliation not provided to SSRN and Hong Kong Monetary Authority - Research Department
Downloads 574 (33,943)
Citation 9

Abstract:

Options, constant elasticity of variance, Lie Algebra

2.

A Simple Approach for Pricing Barrier Options with Time-Dependent Parameters

Quantitative Finance, Vol. 3, No. 2, pp. 98-107, 2003
Number of pages: 10 Posted: 07 May 2007
Chi-Fai Lo, H. C. Lee and Cho-Hoi Hui
The Chinese University of Hong Kong, Department of Physics and Hong Kong Monetary Authority - Research Department
Downloads 476 (43,790)
Citation 11

Abstract:

barrier options, moving boundary, time-dependent parameters

3.

A Simple Derivation of Kirk's Approximation for Spread Options

Applied Mathematics Letters 26 (2013) 904-907
Number of pages: 5 Posted: 03 Mar 2013 Last Revised: 14 May 2013
Chi-Fai Lo
The Chinese University of Hong Kong
Downloads 436 (30,784)
Citation 1

Abstract:

Lognormal random variables, Black-Scholes equation, Spread options, Kirk's approximation, WKB approximation

4.

The Sum and Difference of Two Lognormal Random Variables

Journal of Applied Mathematics, Volume 2012, Article ID 838397
Number of pages: 13 Posted: 23 May 2012 Last Revised: 14 May 2013
Chi-Fai Lo
The Chinese University of Hong Kong
Downloads 402 (35,913)

Abstract:

Lognormal random variables, probability distribution functions, backward Kolmogorov equation, Lie-Trotter splitting approximation

5.

Double Barrier Hitting Time Distribution of a Mean-Reverting Lognormal Process and its Application to Pricing Exotic Options

Number of pages: 6 Posted: 21 Jan 2008
Chi-Fai Lo, T. K. Chung and Cho-Hoi Hui
The Chinese University of Hong Kong, Tokyo Metropolitan University and Hong Kong Monetary Authority - Research Department
Downloads 392 (55,747)

Abstract:

First hitting time, mean-reverting lognormal process, barrier options, method of images

6.

Currency Barrier Option Pricing With Mean Reversion

Journal of Futures Markets, Vol. 26, No. 10, pp. 939-958, January 2006
Number of pages: 20 Posted: 26 Apr 2007
Cho-Hoi Hui and Chi-Fai Lo
Hong Kong Monetary Authority - Research Department and The Chinese University of Hong Kong
Downloads 388 (58,595)
Citation 5

Abstract:

barrier options, currency options, mean-reverting process

7.

Benchmarking Model of Default Probabilities of Listed Companies

Journal of Fixed Income, Vol. 15, No. 2, pp. 76-86, 2006
Number of pages: 11 Posted: 30 Apr 2007
Hong Kong Monetary Authority - Research Department, Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and Chinese University of Hong Kong - Department of Physics and Institute of Theoretical Physics
Downloads 340 (66,464)
Citation 6

Abstract:

Basel II, Default probabilities, Benchmarking models

8.

Computing the First Passage Time Density of a Time-Dependent Urnstein-Uhlenbeck Process to a Moving Boundary

Applied Mathematics Letters, Vol. 19, pp. 1399-1405, 2006
Number of pages: 7 Posted: 27 Aug 2007
Chi-Fai Lo and Cho-Hoi Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 305 (78,383)
Citation 3

Abstract:

Ornstein-Uhlenbeck process, Fokker-Planck equation, First passage time density, Method of images, Moving boundary

9.

Effect of Asset Value Correlation on Credit-Linked Note Values

International Journal of Theoretical and Applied Finance (2002), Vol.5, No. 5, 455-478
Number of pages: 24 Posted: 08 May 2007
Cho-Hoi Hui and Chi-Fai Lo
Hong Kong Monetary Authority - Research Department and The Chinese University of Hong Kong
Downloads 292 (79,204)
Citation 1

Abstract:

credit risk, risky bonds, contingent claim analysis

10.

Using Interest Rate Derivative Prices to Estimate LIBOR-OIS Spread Dynamics and Systemic Funding Liquidity Shock Probabilities

Asia-Pacific Financial Markets, Vol 20(2): 131–146, (2013),
Number of pages: 18 Posted: 15 Feb 2010 Last Revised: 03 May 2013
Cho-Hoi Hui, T. K. Chung and Chi-Fai Lo
Hong Kong Monetary Authority - Research Department, Tokyo Metropolitan University and The Chinese University of Hong Kong
Downloads 275 (88,073)

Abstract:

Sub-Prime Crisis, Funding Liquidity Shocks, LIBOR-OIS Spread, First-Passage-Time Probability

11.

Valuing Foreign Currency Options with a Mean-Reverting Process: A Study of Hong Kong Dollar

International Journal of Finance & Economic, Vol. 13, pp. 118-134, 2008
Number of pages: 17 Posted: 21 Jan 2008 Last Revised: 29 Mar 2011
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 273 (93,017)

Abstract:

Target foreign exchange rates, currency options, mean-reverting process

12.

Valuing Double Barrier Options With Time-Dependent Parameters by Fourier Series Expansion

IAENG International Journal of Applied Mathematics, Vol. 36, No. 1, 2007
Number of pages: 5 Posted: 27 Aug 2007
Chi-Fai Lo and Cho-Hoi Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 267 (87,707)
Citation 1

Abstract:

Double-barrier Options, Fourier Series, Moving Boundaries, Time-dependent Parameters

13.

Valuation of Financial Derivatives with Time-Dependent Parameters: Lie-Algebraic Approach

Quantitative Finance, Vol. 1, No. 1, pp. 73-78, 2001
Number of pages: 6 Posted: 07 May 2007
Chi-Fai Lo and Cho-Hoi Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 251 (93,017)
Citation 7

Abstract:

Lie algebra, option pricing, corporate bond pricing

14.

Pricing Barrier Options With Square Root Process

International Journal of Theoretical and Applied Finance, Vol. 4, No. 5, pp. 805-818, 2001
Number of pages: 14 Posted: 08 May 2007
Chi-Fai Lo, P. H. Yuen and Cho-Hoi Hui
The Chinese University of Hong Kong, affiliation not provided to SSRN and Hong Kong Monetary Authority - Research Department
Downloads 216 (113,662)
Citation 5

Abstract:

Barrier options, constant elasticity of variance

15.

Does Using Time-Varying Target Leverage Ratios in Structural Credit Risk Models Improve Their Accuracy?

Journal of Risk Model Validation, Volume 6/Number 3, page 27-49, 2012
Number of pages: 24 Posted: 07 Mar 2008 Last Revised: 05 Oct 2012
Hong Kong Monetary Authority - Research Department, Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and Chinese University of Hong Kong - Department of Physics and Institute of Theoretical Physics
Downloads 191 (125,644)

Abstract:

Leverage, Default probabilities, Credit risk

16.

Pricing Corporate Bonds With Dynamic Default Barriers

Journal of Risk, Vol. 5. No. 3, pp. 17-37, 2003
Number of pages: 25 Posted: 30 Apr 2007
Cho-Hoi Hui, Chi-Fai Lo and S. W. Tsang
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and affiliation not provided to SSRN
Downloads 190 (121,692)
Citation 15

Abstract:

Bond pricing model, Merton model, Default barriers

17.

Predictions of Default Probabilities by Models with Dynamic Leverage Ratios

Number of pages: 30 Posted: 28 Mar 2008
Cho-Hoi Hui, Chi-Fai Lo, M. X. Huang and H. C. Lee
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong, Chinese University of Hong Kong - Department of Physics and Institute of Theoretical Physics and Department of Physics
Downloads 183 (131,036)
Citation 1

Abstract:

Credit Risk Models, Credit Ratings, Default Probability

18.

Market Expectation of Appreciation of the Renminbi

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 24 Posted: 20 Aug 2008 Last Revised: 24 Dec 2012
Cho-Hoi Hui, Chi-Fai Lo and T. K. Chung
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and Tokyo Metropolitan University
Downloads 180 (140,508)

Abstract:

renminbi exchange rate, first-passage-time distributions, currency options

19.

Pricing Vulnerable Black-Scholes Options With Dynamic Default Barriers

Journal of Derivatives, Vol. 10. No. 4, pp. 62-69, 2003
Number of pages: 8 Posted: 09 May 2007
Cho-Hoi Hui, Chi-Fai Lo and H. C. Lee
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and Department of Physics
Downloads 174 (137,704)
Citation 1

Abstract:

Option pricing, Credit risk, Derivatives

20.

Valuation Model of Defaultable Bond Values in Emerging Markets

Asia-Pacific Financial Markets, Vol. 9, No. 1, pp. 45-60, 2002
Number of pages: 16 Posted: 02 May 2007
Cho-Hoi Hui and Chi-Fai Lo
Hong Kong Monetary Authority - Research Department and The Chinese University of Hong Kong
Downloads 166 (145,542)
Citation 3

Abstract:

risky bonds, credit risk, emerging markets, stress tests

21.

Ratings Versus Market-Based Measures of Default Risk of East Asian Banks

20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 39 Posted: 21 Aug 2007
T. C. Wong, Cho-Hoi Hui and Chi-Fai Lo
Hong Kong Monetary Authority - Research Department, Hong Kong Monetary Authority - Research Department and The Chinese University of Hong Kong
Downloads 161 (147,121)

Abstract:

Asian financial crisis, credit rating agencies, credit risk models

22.

Comment on 'Pricing Double Barrier Options Using Laplace Transforms' by Antoon Pelsser

Finance Stochastics, Vol. 4, pp. 105-107, 2000
Number of pages: 6 Posted: 21 Jul 2008 Last Revised: 29 Mar 2011
Cho-Hoi Hui, Chi-Fai Lo and P. H. Yuen
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and affiliation not provided to SSRN
Downloads 160 (155,897)
Citation 4

Abstract:

Barrier options, Black and Scholes model, partial differential equations

23.

Valuing Time-Dependent CEV Barrier Options

Journal of Applied Mathematics and Decision Sciences, pp. 1-17, 2009
Number of pages: 20 Posted: 29 Mar 2008 Last Revised: 10 Aug 2009
Chi-Fai Lo, Hoi-Man Tang, K. C. Ku and Cho-Hoi Hui
The Chinese University of Hong Kong, The Chinese University of Hong Kong (CUHK), The Chinese University of Hong Kong (CUHK) and Hong Kong Monetary Authority - Research Department
Downloads 154 (154,243)

Abstract:

CEV option, similarity transformation, Bessel equation, moving barrier

24.

Lie Algebraic Approach for Pricing Moving Barrier Options with Time-Dependent Parameters

Journal of Mathematical Analysis and Applications, Vol. 323, No. 2, pp. 1455-1464, 2006
Number of pages: 10 Posted: 27 Jul 2007
Chi-Fai Lo and Cho-Hoi Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 139 (168,548)
Citation 7

Abstract:

Options, Constant elasticity of variance, Partial differential equation, Lie algebra

25.

Pricing Vulnerable European Options With Stochastic Default Barriers

IMA Journal of Management Mathematics, Vol. 18, No. 4, pp. 315-329, 2007
Number of pages: 15 Posted: 31 May 2007
Cho-Hoi Hui, Chi-Fai Lo and K. C. Ku
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK)
Downloads 135 (173,388)

Abstract:

option pricing, credit risk, derivatives

26.

Measuring Provisions for Collateralised Retail Lending

Journal of Economics and Business, Vol. 58, pp. 343-361, 2006
Number of pages: 19 Posted: 01 May 2007
Cho-Hoi Hui, Chi-Fai Lo, T. C. Wong and P. K. Man
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong, Hong Kong Monetary Authority - Research Department and Chinese University of Hong Kong - Department of Physics
Downloads 121 (187,297)
Citation 1

Abstract:

credit risk, retail lending, Basel II

Pricing Corporate Bonds with Interest Rates Following Double Square-Root Process

International Journal of Financial Engineering, Vol. 3, No. 3, (2016), 1650015 (31 pages)
Number of pages: 31 Posted: 07 Dec 2012 Last Revised: 19 Nov 2016
Chi-Fai Lo and Cho-Hoi Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 95 (234,173)

Abstract:

Finance, Corporate bond pricing, Stochastic interest rate

Pricing Corporate Bonds with Interest Rates Following Double Square-Root Process

HKIMR Working Paper No.11/2016
Number of pages: 41 Posted: 20 Jun 2016
Chi-Fai Lo and Cho-Hoi Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 24 (441,730)

Abstract:

Corporate bond pricing model; Stochastic interest rate; Leverage ratio

28.

Are Corporates' Target Leverage Ratios Time-Dependent?

International Review of Financial Analysis, Vol. 15, pp. 220-236, 2006
Number of pages: 17 Posted: 25 Apr 2007
Cho-Hoi Hui, Chi-Fai Lo and M. X. Huang
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and Chinese University of Hong Kong - Department of Physics and Institute of Theoretical Physics
Downloads 115 (198,132)
Citation 6

Abstract:

Credit Risk Models, Credit Ratings, Default Probability

29.

Pricing Multi-Asset Financial Derivatives With Time-Dependent Parameters - Lie Algebraic Approach

International Journal of Mathematics and Mathematical Sciences, Vol. 32, No. 7, pp. 401-410, 2002
Number of pages: 13 Posted: 27 Aug 2007
Chi-Fai Lo and Cho-Hoi Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 101 (217,179)

Abstract:

Option pricing, Lie algebraic approach, Time-dependent parameters

30.

Using First-Passage-Time Density to Assess Realignment Risk of a Target Zone

20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 24 Posted: 14 Aug 2007
Cho-Hoi Hui, Chi-Fai Lo and T. K. Chung
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and Tokyo Metropolitan University
Downloads 99 (215,673)

Abstract:

realignment risk, ERM crisis, first-passage-time probability

31.

Option-Implied Correlation between iTraxx Europe Financials and Non-Financials Indexes: A Measure of Spillover Effect in European Debt Crisis

Journal of Banking and Finance, Vol. 37, pp. 3694-3703, 2013
Number of pages: 10 Posted: 31 Mar 2012 Last Revised: 02 Jul 2013
Cho-Hoi Hui, Chi-Fai Lo and C.S. Lau
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and The Chinese University of Hong Kong
Downloads 92 (218,577)

Abstract:

credit default swaps, European debt crisis, option-implied correlation

Exchange Rate Dynamics and US Dollar-Denominated Sovereign Bond Prices in Emerging Markets

Institute of Global Finance Working Paper Vol. 3, No. 1, Paper 3
Number of pages: 39 Posted: 23 Dec 2016
Cho-Hoi Hui, Chi-Fai Lo and Po-Hon Chau
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK)
Downloads 54 (324,393)

Abstract:

Sovereign risk, Bond pricing model, Exchange rates, Emerging markets

Exchange Rate Dynamics and US Dollar-Denominated Sovereign Bond Prices in Emerging Markets

HKIMR Working Paper No.07/2016
Number of pages: 44 Posted: 11 May 2016
Cho-Hoi Hui, Chi-Fai Lo and Po-Hon Chau
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK)
Downloads 31 (406,246)

Abstract:

Sovereign risk; Bond pricing model; Exchange rates; Emerging markets

33.

A Simple Analytical Model for Dynamics of Time-Varying Target Leverage Ratios

European Physical Journal B, Vol. 85, No 3, Article Number 102, 2012
Number of pages: 7 Posted: 03 Sep 2009 Last Revised: 27 Mar 2012
Chi-Fai Lo and Cho-Hoi Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 78 (237,388)

Abstract:

Target leverage ratios, Fokker-Planck equation, Mean-reverting dynamics

34.

WKB Approximation for the Sum of Two Correlated Lognormal Random Variables

Applied Mathematical Sciences, vol.7, no.128, pp.6355-6367 (2013)
Number of pages: 13 Posted: 19 Feb 2013 Last Revised: 12 Nov 2013
Chi-Fai Lo
The Chinese University of Hong Kong
Downloads 73 (246,037)

Abstract:

Lognormal random variables, probability distribution functions, backward Kolmogorov equation, Lie-Trotter splitting approximation, WKB approximation

35.

Lie-Algebraic Approach for Pricing Zero-Coupon Bonds in Single-Factor Interest Rate Models

Journal of Applied Mathematics, Volume 2013, Article ID 276238
Number of pages: 9 Posted: 22 Apr 2011 Last Revised: 14 May 2013
Chi-Fai Lo
The Chinese University of Hong Kong
Downloads 71 (263,113)

Abstract:

Bond pricing equation, Zero-coupon bond, Interest rate model, Lie algebra

36.

A Simple Generalisation of Kirk's Approximation for Multi-Asset Spread Options by the Lie-Trotter Operator Splitting Method

Journal of Mathematical Finance, Vol.4, pp.178-187 (2014)
Number of pages: 10 Posted: 11 Aug 2013 Last Revised: 08 May 2014
Chi-Fai Lo
The Chinese University of Hong Kong
Downloads 65 (230,901)
Citation 1

Abstract:

Lognormal random variables, Black-Scholes equation, Spread options, Kirk's approximation, Lie-Trotter operator splitting method

Dynamics of Market Anomalies and Measurement Errors of Risk-Free Interest Rates

Number of pages: 34 Posted: 20 Mar 2017 Last Revised: 07 Jun 2017
Cho-Hoi Hui, Chi-Fai Lo and Chin-To Fung
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK)
Downloads 33 (397,567)

Abstract:

covered interest rate parity, swap spreads, Treasuries, term-structure models; safe assets

Dynamics of Market Anomalies and Measurement Errors of Risk-Free Interest Rates

HKIMR Working Paper No. 11/2017
Number of pages: 31 Posted: 06 Jun 2017
Cho-Hoi Hui, Chi-Fai Lo and Chin-To Fung
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK)
Downloads 28 (420,363)

Abstract:

covered interest rate parity, swap spreads, treasuries, term-structure models, safe assets

38.

Discriminatory Power and Predictions of Defaults of Structural Credit Risk Models

Journal of Risk Model Validation, Vol. 3, No. 4, 2009/2010
Number of pages: 23 Posted: 25 Sep 2009 Last Revised: 11 Mar 2010
T. C. Wong, Cho-Hoi Hui and Chi-Fai Lo
Hong Kong Monetary Authority - Research Department, Hong Kong Monetary Authority - Research Department and The Chinese University of Hong Kong
Downloads 53 (322,398)

Abstract:

Default probabilities, Credit risk models

39.

A Simple Closed-Form Approximation for Constant Elasticity of Variance Spread Options

Number of pages: 19 Posted: 15 Aug 2013
Chi-Fai Lo and Xiao Fen Zheng
The Chinese University of Hong Kong and The Chinese University of Hong Kong
Downloads 46 (282,229)

Abstract:

Constant elasticity of variance model, Spread options, Lie-Trotter operator splitting method, WKB method, Kirk's approximation

Can Exchange Rate Dynamics in Krugman's Target-Zone Model Be Directly Tested?

Number of pages: 44 Posted: 28 Nov 2016
Cho-Hoi Hui, Chi-Fai Lo and Po-Hon Chau
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK)
Downloads 24 (441,730)

Abstract:

Can Exchange Rate Dynamics in Krugman's Target-Zone Model Be Directly Tested?

HKIMR Working Paper No. 03/2017
Number of pages: 38 Posted: 01 Mar 2017
Cho-Hoi Hui, Chi-Fai Lo and Po-Hon Chau
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK)
Downloads 21 (458,931)

Abstract:

Exchange Rate Dynamics, Target Zones, Interventions, Stochastic Processes

41.

A Note on Estimating Realignment Probabilities - A First-Passage-Time Approach

Journal of International Money and Finance, Vol. 28, pp. 804-812, 2009
Number of pages: 10 Posted: 11 Jun 2008 Last Revised: 18 May 2009
Cho-Hoi Hui and Chi-Fai Lo
Hong Kong Monetary Authority - Research Department and The Chinese University of Hong Kong
Downloads 44 (334,171)
Citation 1

Abstract:

realignment risk, mean-reversion, first-passage-time probability

42.

Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios

Research Paper Number: 304, Quantitative Finance Research Centre, University of Technology, Sydney
Number of pages: 73 Posted: 17 Oct 2012
Carl Chiarella, Chi-Fai Lo and Ming Xi Huang
University of Technology, Sydney - UTS Business School, Finance Discipline Group, The Chinese University of Hong Kong and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 42 (343,103)

Abstract:

credit risk, default correlations, default probabilities, first passage time

43.

Pricing Dual Spread Options by the Lie-Trotter Operator Splitting Method

IAENG International Journal of Applied Mathematics, Forthcoming
Number of pages: 5 Posted: 08 May 2013 Last Revised: 29 Nov 2014
Chi-Fai Lo
The Chinese University of Hong Kong
Downloads 38 (343,103)

Abstract:

Spread options, Kirk's approximation, Lie-Trotter opertor splitting method

44.

Pricing Spread Options by the Operator Splitting Method

Wilmott Magazine, Volume 2015, Issue 79, Pages 64-67 (September 2015)
Number of pages: 4 Posted: 27 Apr 2014 Last Revised: 09 Oct 2015
Chi-Fai Lo
The Chinese University of Hong Kong
Downloads 32 (263,113)

Abstract:

Black-Scholes equation, Spread options, Kirk's approximation, Lie-Trotter splitting approximation, Strang splitting approximation

45.

The Sum and Difference of Two Constant Elasticity of Variance Stochastic Variables

Applied Mathematics, vol.4, no.11, pp.1503-1511 (2013)
Number of pages: 9 Posted: 19 Feb 2013 Last Revised: 12 Nov 2013
Chi-Fai Lo
The Chinese University of Hong Kong
Downloads 30 (352,730)

Abstract:

Constant elasticity of variance stochastic variables, probability distribution functions, backward Kolmogorov equation, Lie-Trotter splitting approximation

46.

A Quasi-Bounded Target Zone Model – Theory and Application to Hong Kong Dollar

International Review of Economics & Finance, Vol. 37, 2015, 1-17
Number of pages: 17 Posted: 27 Nov 2012 Last Revised: 29 Jun 2015
Chi-Fai Lo, Cho-Hoi Hui, Tom Fong and S.W. Chu
The Chinese University of Hong Kong, Hong Kong Monetary Authority - Research Department, Hong Kong Monetary Authority and The Chinese University of Hong Kong (CUHK)
Downloads 22 (373,270)

Abstract:

stochastics process, target zone, bounded process

47.

Swiss Franc’s One-Sided Target Zone During 2011-2015

International Review of Economics & Finance, Vol. 44, 54-67, 2016
Number of pages: 14 Posted: 21 Jul 2015 Last Revised: 05 Apr 2016
Cho-Hoi Hui, Chi-Fai Lo and Tom Fong
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and Hong Kong Monetary Authority
Downloads 13 (340,104)

Abstract:

Exchange Rate Target Zone, Swiss Franc, Quasi-Bounded Process

48.

Measuring Contagion-Induced Funding Liquidity Risk in Sovereign Debt Markets

HKIMR Working Paper No.18/2015
Number of pages: 42 Posted: 01 Sep 2015
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong, The Chinese University of Hong Kong and Hong Kong Monetary Authority
Downloads 8 (352,730)

Abstract:

European Sovereign Debt Crisis, Liquidity Risk, Contagion

49.

Exchange Rate Dynamics Under a Currency Board When Policy Rates are Zero

HKIMR Working Paper No. 21/2017
Number of pages: 28 Posted: 20 Sep 2017
Cho-Hoi Hui, Ka-Fai Li and Chi-Fai Lo
Hong Kong Monetary Authority - Research Department, Hong Kong Monetary Authority and The Chinese University of Hong Kong
Downloads 0 (541,415)

Abstract:

Target zone model, currency board, Hong Kong dollar

50.

Lie-Algebraic Approach for the Leaky Competing Accumulator Model of Decision Making

Number of pages: 18 Posted: 18 Jul 2017
Chi-Fai Lo
The Chinese University of Hong Kong
Downloads 0 (506,168)

Abstract:

Decision Making, Leaky Competing Accumulator Model, Stochastic Differential Equation, Backward Kolmogov Equation, Fokker-Planck Equation

51.

The Pricing of Basket-Spread Options

Quantitative Finance, Volume 14, Issue 11, pp.1971-1982, 2014
Number of pages: 24 Posted: 14 Mar 2015 Last Revised: 02 Feb 2016
C.S. Lau and Chi-Fai Lo
The Chinese University of Hong Kong and The Chinese University of Hong Kong
Downloads 0 (352,730)

Abstract:

Multi-variate contingent, Derivatives pricing, Black-Scholes model, Portfolio hedging, Closed-form approximation, Parametric correction