Oh Kang Kwon

The University of Sydney - Discipline of Finance

Discipline of Finance

Codrington Building H69

The University of Sydney, NSW 2006

Australia

SCHOLARLY PAPERS

7

DOWNLOADS
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2,209

CITATIONS
Rank 39,954

SSRN RANKINGS

Top 39,954

in Total Papers Citations

12

Scholarly Papers (7)

1.

Monte Carlo Market Greeks in the Displaced Diffusion LIBOR Market Model

Number of pages: 15 Posted: 12 Jan 2010
Mark S. Joshi and Oh Kang Kwon
University of Melbourne - Centre for Actuarial Studies (deceased) and The University of Sydney - Discipline of Finance
Downloads 716 (34,362)
Citation 7

Abstract:

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LIBOR market model, calibration, Greeks, vegas

2.

Least Squares Monte Carlo Credit Value Adjustment with Small and Unidirectional Bias

Number of pages: 14 Posted: 18 Jan 2016 Last Revised: 08 Apr 2016
Mark S. Joshi and Oh Kang Kwon
University of Melbourne - Centre for Actuarial Studies (deceased) and The University of Sydney - Discipline of Finance
Downloads 661 (38,250)
Citation 2

Abstract:

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Credit value adjustment, least squares regression, Monte Carlo simulation

3.

A Class of Stochastic Volatility HJM Interest Rate Models

EFMA 2004 Basel Meetings Paper
Number of pages: 12 Posted: 09 May 2004
Carl Chiarella, David B. Colwell and Oh Kang Kwon
University of Technology, Sydney - UTS Business School, Finance Discipline Group, UNSW Australia Business School, School of Banking and Finance and The University of Sydney - Discipline of Finance
Downloads 540 (49,858)
Citation 2

Abstract:

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4.

Variance Minimizing Strategies for Stochastic Processes with Applications to Tracking Stock Indices

Number of pages: 16 Posted: 28 Feb 2016 Last Revised: 22 Aug 2016
UNSW Australia Business School, School of Banking and Finance, University of Technology, Sydney and The University of Sydney - Discipline of Finance
Downloads 109 (248,238)

Abstract:

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Variance optimal hedging, variance minimizing strategy, incomplete markets, index tracking, portfolio selection

5.

The Distribution of Cross Sectional Momentum Returns

Number of pages: 19 Posted: 15 Aug 2017
Oh Kang Kwon and Stephen E. Satchell
The University of Sydney - Discipline of Finance and University of Cambridge - Faculty of Economics and Politics
Downloads 90 (281,974)

Abstract:

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Cross sectional momentum, quantile portfolio, density, moments

6.

Algorithm for Projecting Onto Simplicial Cones and Application to Portfolio Optimization

Number of pages: 15 Posted: 05 Dec 2016 Last Revised: 10 Mar 2017
Oh Kang Kwon
The University of Sydney - Discipline of Finance
Downloads 56 (366,611)

Abstract:

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Global optimization, convex programming, quadratic programming

7.

Positive Definite and Unimodal Regions for Gram-Charlier Series

Number of pages: 10 Posted: 08 Mar 2017 Last Revised: 29 May 2019
Oh Kang Kwon
The University of Sydney - Discipline of Finance
Downloads 37 (433,987)

Abstract:

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Gram-Charlier series, Positive definite region, Unimodal region