Shenzhen, Guangdong
China
http://jaehyukchoi.net/phbs_en
Peking University HSBC Business School
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implied volatility, arithmetic Brownian motion, ABM, Bachelier, rational approximation, closed form approximation
bitcoin, BitMEX, market efficiency, price discovery, spillover
Bachelier model, Black-Scholes model, Displaced diffusion model, Normal model
Multi-Asset Black-Scholes-Merton, Spread Option, Basket Option, Asian Option, Curse of Dimensionality
BitMEX, Cryptocurrency, Ethereum, Futures, Perpetual Swaps
Gaussian quadrature, normal model, SABR model, stochastic volatility
Gaussian term structure model, volatility surface calibration, fast swaption pricing, swaption analytics
Heston model, exact simulation, Poisson conditioning, gamma expansion, time discretization schemes
Stochastic Volatility, SABR Model, Bougerol's Identity, Johnson's SU Distribution
Bermudan option, Least square Monte Carlo, Longstaff-Schwartz algorithm, Look-ahead bias, Leave-one-out-cross-validation
Stochastic Volatility, SABR Model, CEV Model
Yield curve, estimation risk, density forecasting, machine learning
Political Network, Guanxi, Local Government Financing Vehicles, Municipal Corporate Bonds, Credit Risk
Stochastic Volatility, SABR Model, CEV Model, Gauss-Hermite Quadrature
Art Pricing, Information Quantity, Entropy, Singular Value Decomposition
risk parity, equal risk contribution, cyclical coordinate descent, Newton method
Generalized Hyperbolic Distribution, Inverse Gaussian Distribution, Normal Variance-Mean Mixture, Numerical Quadrature
Implied volatility, lower (upper) bounds, options, Black-Scholes model
Exact simulation, Karhunen-Loève expansions, Ornstein-Uhlenbeck process, Stochastic volatility
SABR model, Monte Carlo simulation, constant elasticity of variance process, shifted-Poisson-mixture gamma distribution
