2 citations · 2 across the 5 of their papers we have counts for
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q-fin.CP2016
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…
q-fin.TR2016★ 2 cited
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…