Wendong Zheng's Books

Pricing Models of Volatility Products and Exotic Variance Derivatives

By: Yue Kuen Kwok,Wendong Zheng

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Pricing Models of Volatility Products and Exotic Variance Derivatives

By: Yue Kuen Kwok,Wendong Zheng

Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on to discuss the robust replication strategy of variance swaps using portfolio of options, which is one of the major milestones in pricing theory of variance derivatives. The replication procedure provides the theoretical foundation of the construction of VIX. This book provides sound arguments for formulating the pricing models of variance derivatives and establishes formal proofs of various technical results. Illustrative numerical examples are included to show accuracy and effectiveness of analytic and approximation methods. Features Useful for practitioners and quants in the financial industry who need to make choices between various pricing models of variance derivatives Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products Can be used as a university textbook in a topic course on pricing variance derivatives

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Page Count

283

Publisher

CRC Press

Published Date

ISBN 10

1000584259

ISBN 13

9781000584257

Saddlepoint Approximation Methods in Financial Engineering

By: Yue Kuen Kwok,Wendong Zheng

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Saddlepoint Approximation Methods in Financial Engineering

By: Yue Kuen Kwok,Wendong Zheng

This book summarizes recent advances in applying saddlepoint approximation methods to financial engineering. It addresses pricing exotic financial derivatives and calculating risk contributions to Value-at-Risk and Expected Shortfall in credit portfolios under various default correlation models. These standard problems involve the computation of tail probabilities and tail expectations of the corresponding underlying state variables. The text offers in a single source most of the saddlepoint approximation results in financial engineering, with different sets of ready-to-use approximation formulas. Much of this material may otherwise only be found in original research publications. The exposition and style are made rigorous by providing formal proofs of most of the results. Starting with a presentation of the derivation of a variety of saddlepoint approximation formulas in different contexts, this book will help new researchers to learn the fine technicalities of the topic. It will also be valuable to quantitative analysts in financial institutions who strive for effective valuation of prices of exotic financial derivatives and risk positions of portfolios of risky instruments.

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Page Count

134

Publisher

Springer

Published Date

ISBN 10

3319741012

ISBN 13

9783319741017

Measurement Technology for Micro-Nanometer Devices

By: Wendong Zhang,Xiujian Chou,Tielin Shi,Zongmin Ma,Haifei Bao,Jingdong Chen,Liguo Chen,Dachao Li,Chenyang Xue

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Measurement Technology for Micro-Nanometer Devices

By: Wendong Zhang,Xiujian Chou,Tielin Shi,Zongmin Ma,Haifei Bao,Jingdong Chen,Liguo Chen,Dachao Li,Chenyang Xue

A fully comprehensive examination of state-of-the-art technologies for measurement at the small scale • Highlights the advanced research work from industry and academia in micro-nano devices test technology • Written at both introductory and advanced levels, provides the fundamentals and theories • Focuses on the measurement techniques for characterizing MEMS/NEMS devices

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Page Count

341

Publisher

John Wiley & Sons

Published Date

ISBN 10

1118717961

ISBN 13

9781118717967

Finding Firmer Ground:

The Role of Agricultural Cooperation in US-China Relations

By: Dr. Minghao Li/Dr. Wendong Zhang

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Finding Firmer Ground:

The Role of Agricultural Cooperation in US-China Relations

By: Dr. Minghao Li/Dr. Wendong Zhang

This impressive study and analysis by Dr. Minghao Li and Dr. Wendong Zhang, entitled "Finding Firmer Ground" adds a significant analytical element to the effort to enhance the Sino - American relationship through increased “Agricultural Cooperation” here in the Heartland of America, the part of the United States that has such a long and illustrious history of leadership in building connections between the Chinese and American peoples.

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Publisher

Bouden House

Published Date

ISBN 10

1006387595

ISBN 13

9781006387593

Study on the Enterprise Growth Under the Transformation Economy Environment

By: Wendong Shi

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Study on the Enterprise Growth Under the Transformation Economy Environment

By: Wendong Shi

Since the end of the 1970s and the beginning of 1980s, with the political and economic system changes in the world, some enterprises being operated on the basis of market mechanism have emerged in the economy which once implemented the planning resource allocation (such as former Soviet Union, countries in eastern Europe and Mainland China, countries in Southeast Asia such as Vietnam). As the operation mode which complies with the market mechanism is adopted early in terms of the property right and operation mechanism, these enterprises grow rapidly under the loose regulation of the government and in the rapid development of the domestic market. However, with the competition intensified and the internationalization degree increased in the domestic market of the transitional economy, a large number of enterprises have suffered declined business, insolvency, bankruptcy or even winding-up since the 1990s. Some enterprises which grow rapidly in the 1980s are deep in the business operation crisis or even go bankrupt in the middle and later stage of 1990s. This is best demonstrated by the companies which are listed at Shenzhen Stock Exchange, Mainland China in the early stage. According to the report in International Finance News, March 6, 2002, 9 local listed companies in Shenzhen suffered losses in 2000, accounting for 9.38% of the total loss-incurring listed companies in the country in that year. Afterwards, the number of loss-incurring enterprises in 2001 increases to 12, accounting for 11.88% of the total listed companies in the country. In addition, according to the statistics of Shenzhen Stock Exchange, of the 9 loss-incurring local listed companies in Shenzhen in 2000, 6 of them undergo the system reform and are listed before 1993, and of the 12 loss-incurring local listed companies in Shenzhen in 2001, 7 of them undergo the system reform and are listed before 1993. In 2002, of the 67 A-share listed companies in Shenzhen, there are 8 ST companies, accounting for

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Page Count

139

Publisher

Diplomica Verlag

Published Date

ISBN 10

3836680629

ISBN 13

9783836680622

Pricing Models of Volatility Products and Exotic Variance Derivatives

By: Yue Kuen Kwok,Wendong Zheng

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Pricing Models of Volatility Products and Exotic Variance Derivatives

By: Yue Kuen Kwok,Wendong Zheng

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Page Count

402

Publisher

CRC Press

Published Date

ISBN 10

1000584275

ISBN 13

9781000584271

Saddlepoint Approximation Methods in Financial Engineering

By: Yue Kuen Kwok,Wendong Zheng

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Saddlepoint Approximation Methods in Financial Engineering

By: Yue Kuen Kwok,Wendong Zheng

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Solve jigsaw puzzle

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Page Count

134

Publisher

Springer

Published Date

ISBN 10

3319741012

ISBN 13

9783319741017

Book's by Wendong Zheng

Pricing Models of Volatility Products and Exotic Variance Derivatives

Pricing Models of Volatility Products and Exotic Variance Derivatives

Saddlepoint Approximation Methods in Financial Engineering

Saddlepoint Approximation Methods in Financial Engineering

Measurement Technology for Micro-Nanometer Devices

Measurement Technology for Micro-Nanometer Devices

Finding Firmer Ground:

Finding Firmer Ground:

Study on the Enterprise Growth Under the Transformation Economy Environment

Study on the Enterprise Growth Under the Transformation Economy Environment

Pricing Models of Volatility Products and Exotic Variance Derivatives

Pricing Models of Volatility Products and Exotic Variance Derivatives

Saddlepoint Approximation Methods in Financial Engineering

Saddlepoint Approximation Methods in Financial Engineering

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