Boda Kang

University of York - Department of Mathematics

Lecturer in Mathematical Finance

Heslington

York, YO10 5DD

United Kingdom

http://maths.york.ac.uk/www/bk637

SCHOLARLY PAPERS

8

DOWNLOADS
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Top 36,288

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934

CITATIONS
Rank 45,234

SSRN RANKINGS

Top 45,234

in Total Papers Citations

3

Scholarly Papers (8)

The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines

University of Technology Sydney Research Paper No. 219
Number of pages: 43 Posted: 12 May 2008
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of York - Department of Mathematics, Georgia Institute of Technology - Mathematics and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 238 (103,934)
Citation 1

Abstract:

American options, stochastic volatility, jump-diffusion processes, Volterra integral equations, free boundary problem, method of lines

The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines

International Journal of Theoretical and Applied Finance, Vol. 12, No. 3, pp. 393-425, 2009
Posted: 02 Dec 2009
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of York - Department of Mathematics, Georgia Institute of Technology - Mathematics and University of Technology Sydney (UTS) - School of Finance and Economics

Abstract:

American options, stochastic volatility, jump-diffusion processes, Volterra integral equations, free boundary problem, method of lines

2.

The Evaluation of American Compound Option Prices under Stochastic Volatility Using the Sparse Grid Approach

Quantitative Finance Research Centre Research Paper No. 245
Number of pages: 19 Posted: 03 Mar 2009
Carl Chiarella and Boda Kang
University of Technology, Sydney - UTS Business School, Finance Discipline Group and University of York - Department of Mathematics
Downloads 180 (131,845)
Citation 2

Abstract:

American compound option, stochastic volatility, free boundary problem, sparse grid, combination technique, Monte Carlo simulation, method of lines

3.

Investigating Time-Efficient Methods to Price Compound Options in the Heston Model

Number of pages: 29 Posted: 26 Feb 2013
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology, Sydney and University of York - Department of Mathematics
Downloads 128 (161,279)

Abstract:

4.

Humps in the Volatility Structure of the Crude Oil Futures Market: New Evidence

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 38 Posted: 09 Oct 2012
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of York - Department of Mathematics, University of Technology Sydney - Business School and University of New South Wales, Sydney
Downloads 97 (203,007)

Abstract:

Commodity derivatives, Crude oil derivatives, Unspanned stochastic volatility, Hump-shaped volatility, Pricing, Hedging

5.

Particle Filters for Markov Switching Stochastic Volatility Models

Research Paper Number: 299, Quantitative Finance Research Centre, University of Technology, Sydney
Number of pages: 21 Posted: 23 Oct 2012
Yun Bao, Carl Chiarella and Boda Kang
affiliation not provided to SSRN, University of Technology, Sydney - UTS Business School, Finance Discipline Group and University of York - Department of Mathematics
Downloads 86 (220,173)

Abstract:

particle filters, Markov switching stochastic volatility models, sequential Monte Carlo simulation

6.

The Return-Volatility Relation in Commodity Futures Markets

UNSW Business School Research Paper No. 2015 BFIN 05
Number of pages: 30 Posted: 13 Jun 2015
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of York - Department of Mathematics, University of Technology Sydney - Business School and University of New South Wales, Sydney
Downloads 56 (203,007)

Abstract:

Return-volatility relation; Commodity futures returns; Gold futures volatility

7.

Optimal Surrender of Guaranteed Minimum Maturity Benefits Under Stochastic Volatility and Interest Rates

Number of pages: 25 Posted: 05 Jun 2016
Boda Kang and Jonathan Ziveyi
University of York - Department of Mathematics and UNSW Australia
Downloads 0 (360,040)

Abstract:

Variable annuities, optimal surrender, GMMB, stochastic volatility, stochastic interest rates, Fourier Cosine expansion, method of lines

8.

The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching

Research Paper Number: 288, Quantitative Finance Research Centre, University of Technology, Sydney
Posted: 27 Oct 2012
Carl Chiarella, Les Clewlow and Boda Kang
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Lacima and University of York - Department of Mathematics

Abstract:

gas sales agreement, swing contract, take-or-pay, make-up, carry forward, forward price curve, regime switching volatility, recombing pentanomial tree