3 papers
stat.AP2011
Density-based Monte Carlo filter and its applications in estimation of unobservable variables and pharmacokinetic parameters
Guanghui Huang, Jianping Wan, Hui Chen
Nonlinear stochastic differential equation models with unobservable variables are now widely used in the analysis of PK/PD data. The unobservable variables are often estimated with…
q-fin.RM2011
An Active Margin System and its Application in Chinese Margin Lending Market
Guanghui Huang, Jianping Wan, Cheng Chen
In order to protect brokers from customer defaults in a volatile market, an active margin system is proposed for the transactions of margin lending in China. The probability of neg…
q-fin.PR2009
Probabilities of Positive Returns and Values of Call Options
Guanghui Huang, Jianping Wan
The true probability of a European call option to achieve positive return is investigated under the Black-Scholes model. It is found that the probability is determined by those mar…