Xiao Fen Zheng

The Chinese University of Hong Kong

Shatin, N.T.

Hong Kong

China

SCHOLARLY PAPERS

2

DOWNLOADS

154

CITATIONS

0

Scholarly Papers (2)

1.

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 82 (298,943)

Abstract:

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

2.

Probabilistic Approach to Measuring Early-Warning Signals of Systemic Contagion Risk

International Journal of Financial Engineering, Vol. 5, No. 2 (2018) 1850010
Number of pages: 25 Posted: 01 Sep 2015 Last Revised: 19 Jul 2018
Cho-Hoi Hui, Chi-Fai Lo, Xiao Fen Zheng and Tom Fong
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong, The Chinese University of Hong Kong and Hong Kong Monetary Authority
Downloads 72 (322,275)

Abstract:

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systemic risk; probability density distributions; contagion