Shirley J. Huang

Singapore Management University - Lee Kong Chian School of Business

469 Bukit Timah Road

Singapore 912409

Singapore

SCHOLARLY PAPERS

3

DOWNLOADS

239

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.
Downloads 183 (226,367)
Citation 1

On Stiffness in Affine Asset Pricing Models

Number of pages: 24 Posted: 28 Feb 2005
Shirley J. Huang and Jun Yu
Singapore Management University - Lee Kong Chian School of Business and Singapore Management University - School of Economics
Downloads 183 (226,411)
Citation 1

Abstract:

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Affine asset pricing, Characteristic function, Numerical efficiency, Ricatti equations, Explicit and implicit methods, Ordinary differential equations, A-stability

On Stiffness in Affine Asset Pricing Models

Journal of Computational Finance, Forthcoming
Posted: 06 Feb 2007
Shirley J. Huang and Jun Yu
Singapore Management University - Lee Kong Chian School of Business and Singapore Management University - School of Economics

Abstract:

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Affine asset pricing, Characteristic function, Numerical efficiency, Ricatti equations, Explicit and implicit methods, Ordinary differential equations, A-stability

2.

Option Bounds for Short Variance Swaps and the Variance Risk Premium Adjusting for Skewness

Number of pages: 30 Posted: 12 Dec 2012
Steven J. Jordan and Shirley J. Huang
Econometric Solutions and Singapore Management University - Lee Kong Chian School of Business
Downloads 56 (494,118)

Abstract:

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options, bounds, parametric, skewness, moments, expected, payoffs, variance, swaps, default, risk, premium

3.

Performance Control and Risk Calibration in the Black-Litterman Model

Journal of Portfolio Management, Vol. 43, No 3, 2017. https://doi.org/10.3905/jpm.2017.43.3.126
Posted: 20 Jun 2019 Last Revised: 01 Mar 2022
Chyng Wen Tee, Shirley J. Huang and Kian Guan Lim
Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - Lee Kong Chian School of Business and Singapore Management University

Abstract:

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Black-Litterman, asset pricing, asset management, asset allocation