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

8

DOWNLOADS
Rank 33,008

SSRN RANKINGS

Top 33,008

in Total Papers Downloads

2,907

SSRN CITATIONS

5

CROSSREF CITATIONS

11

Scholarly Papers (8)

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 952 (46,504)
Citation 2

Abstract:

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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 787 (60,378)
Citation 8

Abstract:

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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 590 (87,287)
Citation 3

Abstract:

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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 160 (345,708)
Citation 1

Abstract:

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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
UNSW Australia Business School, School of Banking and Finance, University of Technology, Sydney and The University of Sydney - Discipline of Finance
Downloads 155 (353,304)

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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 119 (436,926)

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 89 (530,693)
Citation 1

Abstract:

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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 55 (688,178)
Citation 1

Abstract:

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co-quantiles, cross sectional momentum, momentum spillover