Oh Kang Kwon

The University of Sydney - Discipline of Finance

Discipline of Finance

Codrington Building H69

The University of Sydney, NSW 2006

Australia

  • The University of Sydney - Discipline of Finance

SCHOLARLY PAPERS

8

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Rank 35,154

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Top 35,154

in Total Papers Downloads

3,117

TOTAL CITATIONS

16

Scholarly Papers (8)

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1.

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 1,026 (47,886)
Citation 2

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Credit value adjustment, least squares regression, Monte Carlo simulation

2.

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 798 (67,638)
Citation 8

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LIBOR market model, calibration, Greeks, vegas

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 606 (96,500)
Citation 3

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4.

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 202 (323,858)
Citation 1

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Cross sectional momentum, quantile portfolio, density, moments

5.

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
David B. Colwell, Nadima El-Hassan and Oh Kang Kwon
UNSW Australia Business School, School of Banking and Finance, University of Technology, Sydney and The University of Sydney - Discipline of Finance
Downloads 163 (394,917)

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

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 138 (450,563)

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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 113 (526,802)
Citation 1

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Gram-Charlier series, Positive definite region, Unimodal region

8.

The Properties of Co-Quantiles and Their Applications to Momentum Spillovers

Number of pages: 17 Posted: 27 Dec 2019
Oh Kang Kwon and Stephen E. Satchell
The University of Sydney - Discipline of Finance and University of Cambridge - Faculty of Economics and Politics
Downloads 71 (707,611)
Citation 1

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co-quantiles, cross sectional momentum, momentum spillover