Yue Kuen Kwok's Books

Mathematical Models of Financial Derivatives

By: Yue-Kuen Kwok

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Mathematical Models of Financial Derivatives

By: Yue-Kuen Kwok

This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.

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Page Count

541

Publisher

Springer Science & Business Media

Published Date

ISBN 10

3540686886

ISBN 13

9783540686880

Applied Complex Variables for Scientists and Engineers

By: Yue Kuen Kwok

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Applied Complex Variables for Scientists and Engineers

By: Yue Kuen Kwok

This introduction to complex variable methods begins by carefully defining complex numbers and analytic functions, and proceeds to give accounts of complex integration, Taylor series, singularities, residues and mappings. Both algebraic and geometric tools are employed to provide the greatest understanding, with many diagrams illustrating the concepts introduced. The emphasis is laid on understanding the use of methods, rather than on rigorous proofs. Throughout the text, many of the important theoretical results in complex function theory are followed by relevant and vivid examples in physical sciences. This second edition now contains 350 stimulating exercises of high quality, with solutions given to many of them. Material has been updated and additional proofs on some of the important theorems in complex function theory are now included, e.g. the Weierstrass–Casorati theorem. The book is highly suitable for students wishing to learn the elements of complex analysis in an applied context.

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Page Count

451

Publisher

Cambridge University Press

Published Date

ISBN 10

113948883X

ISBN 13

9781139488839

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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