2 citations · 2 across the 5 of their papers we have counts for
5 papers
Interacting Default Intensity with Hidden Markov Process
Feng-Hui Yu, Wai-Ki Ching, Jia-Wen Gu +1
In this paper we consider a reduced-form intensity-based credit risk model with a hidden Markov state process. A filtering method is proposed for extracting the underlying state gi…
Trading Strategy with Stochastic Volatility in a Limit Order Book Market
Wai-Ki Ching, Jia-Wen Gu, Tak-Kuen Siu +1
In this paper, we employ the Heston stochastic volatility model to describe the stock's volatility and apply the model to derive and analyze the optimal trading strategies for deal…
On Infectious Model for Dependent Defaults
Jia-Wen Gu, Wai-Ki Ching, Tak-Kuen Siu +1
In this paper, we propose a two-sector Markovian infectious model, which is an extension of Greenwood's model. The central idea of this model is that the causality of defaults of t…
On Reduced Form Intensity-based Model with Trigger Events
Jia-Wen Gu, Wai-Ki Ching, Tak-Kuen Siu +1
Corporate defaults may be triggered by some major market news or events such as financial crises or collapses of major banks or financial institutions. With a view to develop a mor…
On Pricing Basket Credit Default Swaps
Jia-Wen Gu, Wai-Ki Ching, Tak-Kuen Siu +1
In this paper we propose a simple and efficient method to compute the ordered default time distributions in both the homogeneous case and the two-group heterogeneous case under the…