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An Efficient Fourier Expansion Method for the Calculation of Value-at-Risk: Contributions of Extra-ordinary Risks Journal article
INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 2016,Volume: 3,Issue: 1
Authors:  U, Sio Chong;  So, Jacky;  Ding, Deng;  Liu, Lihong
Favorite | View/Download:10/0 | TC[WOS]:0 TC[Scopus]:0 | Submit date:2019/07/22
Value-at-risk  Log-stable Paretain Distribution  Fourier Expansion  
Efficient Option Pricing Methods Based on Fourier Series Expansions Journal article
Journal of Mathematical Research & Exposition, 2011,Volume: 31,Issue: 1,Page: 12-22
Authors:  Deng DING;  Sio Chong U
Favorite | View/Download:4/0 | TC[WOS]:0 TC[Scopus]:0 | Submit date:2019/07/09
Option Pricing  L´evy Process  Fourier Transform  Fourier Expansions  
An accurate and stable FFT-based method for pricing options under exp-Lévy processes Conference paper
AIP Conference Proceedings, Hong Kong, PEOPLES R CHINA;Macau, PEOPLES R CHINA, NOV 30-DEC 03, 2009;DEC 02-03, 2009
Authors:  Deng Ding;  Sio Chong U
Favorite | View/Download:11/0 | TC[WOS]:0 TC[Scopus]:0 | Submit date:2019/05/22
Fast Fourier Transform  Lévy Processes  Matlab Programs  Option Pricing