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 22,428

SSRN RANKINGS

Top 22,428

in Total Papers Downloads

2,286

SSRN CITATIONS
Rank 40,662

SSRN RANKINGS

Top 40,662

in Total Papers Citations

3

CROSSREF CITATIONS

12

Scholarly Papers (8)

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 719 (37,257)
Citation 8

Abstract:

Loading...

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 684 (39,942)
Citation 2

Abstract:

Loading...

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 542 (54,007)
Citation 3

Abstract:

Loading...

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 112 (261,946)

Abstract:

Loading...

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 100 (283,401)
Citation 1

Abstract:

Loading...

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 76 (335,725)

Abstract:

Loading...

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 42 (444,463)
Citation 1

Abstract:

Loading...

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 11 (614,941)

Abstract:

Loading...

co-quantiles, cross sectional momentum, momentum spillover