Ser-Huang Poon

18 published titles

Asset pricing in discrete time : a complete markets approach

1 edition

A practical guide for forecasting financial market volatility

1 edition

A source of long memory in volatility

(Contributor)

1 edition

General equilibrium and risk neutral framework for option pricing with a mixture of distributions

(Contributor)

1 edition

A general equilibrium and preference free model for pricing options under transformed gamma distribution

(Contributor)

1 edition

Financial modeling under non-Gaussian distributions

(Contributor)

1 edition

Modelling international stock market contagion using copula and risk appetite

(Contributor)

2 editions

GDP linked bonds : contract design and pricing

(Contributor)

1 edition

Tranching and rating

(Contributor)

2 editions

Swap market model : theory and empirical evidence

(Contributor)

2 editions

Short rate models : Hull-White or Black-Karasinski? : implementation note and model comparison for ALM

(Contributor)

2 editions

Hedging the black swan : conditional heteroskedasticity and tail dependence in S&P500 and VIX

(Contributor)

2 editions

Actuarial transform pricing

(Contributor)

2 editions

Market liquidity and institutional trading during the 2007-8 financial crisis

1 edition

High frequency trading and mini flash crashes

(Contributor)

1 edition

Variance swap premium under stochastic volatility and self-exciting jumps

(Contributor)

1 edition

Managing portfolio risk using multivariate extreme value methods

(Contributor)

1 edition

Multi-level Monte Carlo simulations with importance sampling

(Contributor)

1 edition