Chih-Ying Hsiao

University of Technology, Sydney

Research Associate

15 Broadway, Ultimo

PO Box 123

Sydney, NSW 2007

Australia

SCHOLARLY PAPERS

2

DOWNLOADS

88

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Optimal Investment Strategies under Stochastic Volatility - Estimation and Applications

Quantitative Finance Research Centre Research Paper No. 276
Number of pages: 24 Posted: 22 Oct 2010
Carl Chiarella and Chih-Ying Hsiao
University of Technology, Sydney - UTS Business School, Finance Discipline Group and University of Technology, Sydney
Downloads 88 (289,942)

Abstract:

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asset allocation, stochastic volatility, partial information problem, extended Kalman filter, the Heston model, CEV process

2.

Stochastic Correlation and Risk Premia in Term Structure Models

Journal of Empirical Finance, Vol. 37, 2016
Posted: 29 Sep 2016
Carl Chiarella, Chih-Ying Hsiao and Thuy Duong To
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology, Sydney and University of New South Wales, Sydney

Abstract:

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term structure, stochastic correlation, risk premium, wishart, extended affine, multidimensional CIR

Other Papers (1)

Total Downloads: 3
1.

A Survey of Non-Linear Methods for No-Arbitrage Bond Pricing

Quantitative Finance Research Centre Research Paper No. 277
Number of pages: 27 Posted: 29 Jun 2010
Carl Chiarella, Chih-Ying Hsiao and Ming Xi Huang
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology, Sydney and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 3

Abstract:

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