Yip Kin Fung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 101-104). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- The Distribution of Fluctuations in Financial Data --- p.5 / Chapter 2.1 --- Empirical Statistics --- p.5 / Chapter 2.2 --- Data analyzed --- p.8 / Chapter 2.3 --- Levy Distribution --- p.10 / Chapter 2.4 --- Returns Distribution and Scaling Properties --- p.12 / Chapter 2.5 --- Volatility Clustering --- p.19 / Chapter 2.6 --- Conclusion --- p.21 / Chapter 3 --- Models of Herd behaviour in Financial Markets --- p.22 / Chapter 3.1 --- Cont and Bouchaud's model --- p.22 / Chapter 3.2 --- The Model of Egiuluz and Zimmerman --- p.24 / Chapter 3.3 --- EZ Model with Size-Dependent Dissociation Rates --- p.28 / Chapter 3.4 --- Democratic and Dictatorship Self-Organized Model --- p.31 / Chapter 3.5 --- Effect of Size-Dependent Fragmentation and Coagulation Prob- abilities --- p.33 / Chapter 3.6 --- Extensions of EZ model --- p.35 / Chapter 3.7 --- Conclusion --- p.39 / Chapter 4 --- Review on the Minority Game(MG) --- p.42 / Chapter 4.1 --- The Model and Results --- p.42 / Chapter 4.2 --- Crowd-anticrowd Theory and Phase Transition --- p.46 / Chapter 4.3 --- Market Efficiency --- p.48 / Chapter 5 --- MG with biased strategy pool --- p.52 / Chapter 5.1 --- The Model --- p.53 / Chapter 5.2 --- Numerical Results and Discussion --- p.53 / Chapter 5.3 --- Theory: MG with Biased Strategy Pool --- p.61 / Chapter 5.4 --- Conclusion --- p.69 / Chapter 6 --- MG with Randomly Participating Agents --- p.71 / Chapter 6.1 --- The Model with One RPA --- p.71 / Chapter 6.2 --- Results for q = 0.5 --- p.72 / Chapter 6.3 --- Inefficiency and Success Rate --- p.76 / Chapter 6.4 --- Results for q ≠ 0.5 --- p.82 / Chapter 6.5 --- Many RPAs --- p.85 / Chapter 6.6 --- Conclusion --- p.86 / Chapter 7 --- A Model on Coupled Minority Games --- p.88 / Chapter 7.1 --- The Model --- p.89 / Chapter 7.2 --- Results and Discussion。 --- p.90 / Chapter 7.3 --- Conclusion --- p.95 / Chapter 8 --- Conclusion --- p.97 / Bibliography --- p.101 / Chapter A --- Solving Cluster Size distribution in EZ model --- p.105

巨災權益賣權(CatEPut option) 是種常見的與風險掛鉤的證券(risk-linked security) ，它經常被用來對沖巨災風險，在這篇文章中，我們在隨機利息率和隨機波動率的條件下對巨災權益實權進行定價。我們使用了高維傅利葉變換的方法來進行定價，并得到了巨災權益賈權價格的顯式表達，數據實驗的結果顯示，我們的定價公式和方法是高效和精確的。此外，我們還發現隨機利息率和隨機波動率對巨災權益賣權的價格有很大影響。 / The catastrophic equity put (CatEPut) options which serve as a kind of risklinked securities are quite popular in hedging catastrophic risk. In this thesis, the CatEPut options are priced with the stochastic interest rate and stochastic volatility (SISV). We use a two-dimensional Fourier transform over the log price and the catastrophic loss to derive the closed-form CatEPut option price. The numerical examples show that our pricing formula and method are efficient and accurate. We also find that the price of the CatEPut options are greatly in uenced by the stochastic volatility and stochastic interest rate. / Detailed summary in vernacular field only. / Li, Yiran. / "September 2012." / Thesis (M.Phil.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 54-55). / Abstracts also in Chinese. / Abstract --- p.i / Abstract in Chinese --- p.ii / Acknowledgements --- p.iii / Contents --- p.v / List of Tables --- p.vii / List of Figures --- p.viii / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- The model --- p.5 / Chapter 2.1. --- The model of CatEPut options under risk-neutral measure --- p.5 / Chapter 2.2. --- Change to the forward measure --- p.7 / Chapter 3. --- Pricing CatEPut using “conditioning on the catastrophic lossmethod --- p.10 / Chapter 4. --- Pricing CatEPut using Fourier transform --- p.15 / Chapter 5. --- Numerical experiments --- p.26 / Chapter 5.1 --- The FFT algorithm --- p.26 / Chapter 5.2 --- The impact of the stochastic interest rate and the stochastic volatility --- p.27 / Chapter 5.3 --- The advantage of the Fourier transform method --- p.36 / Chapter 6. --- Conclusions --- p.41 / Chapter A. --- Measure change to risk neutral measure Q --- p.43 / Chapter B. --- Proof of integrability --- p.48 / Bibliography --- p.53

Hu Bingbing. / "July 2004." / Thesis (Ph.D.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (p. 69-73). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Mode of access: World Wide Web. / Abstracts in English and Chinese.

Leung Shek Ling Olivia. / "August 2004." / Thesis (Ph.D.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (p. 62-64). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Mode of access: World Wide Web. / Abstracts in English and Chinese.

Huang Ming Xi = 三因結構模型之公司債劵定價及其應用 / 黃銘浠. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 99-102). / Text in English; abstracts in English and Chinese. / Huang Ming Xi = San yin jie gou mo xing zhi gong si zhai quan ding jia ji qi ying yong / Huang Mingxi. / Abstract --- p.i / Acknowledgements --- p.iii / Contents --- p.iv / List of Figures --- p.vii / List of Tables --- p.xiii / Chapter Chapter 1. --- Introduction --- p.1 / Chapter Chapter 2. --- Structural Models of Credit Pricing --- p.3 / Chapter 2.1 --- Introduction --- p.3 / Chapter 2.2 --- Merton's Model (1974) --- p.4 / Chapter 2.2.1 --- The Framework of the Traditional Contingent Claims Analysis (CCA) --- p.5 / Chapter 2.2.2 --- The Valuation of Corporate Bonds with B-S Option Pric- ing Theory --- p.9 / Chapter 2.2.3 --- The Limitations of Traditional Contingent Claim Ap- proach --- p.12 / Chapter 2.3 --- "Shimko, Tejima and Deventer (1993)" --- p.15 / Chapter 2.3.1 --- The Merton's Model in a Stochastic Interest Rate Frame- work --- p.15 / Chapter 2.4 --- Longstaff and Schwartz (1995) --- p.17 / Chapter 2.4.1 --- A Structure Model of Early Default Mechanism and De- viations from APR --- p.17 / Chapter 2.5 --- Briys and de Varenne (1997) --- p.21 / Chapter 2.5.1 --- A Structure Model of Stochastic Default Barrier --- p.21 / Chapter 2.5.2 --- The Valuation of Risky Zero-Coupon Bonds --- p.22 / Chapter 2.6 --- Stationary-leverage-ratio Models --- p.25 / Chapter 2.6.1 --- Tauren (1999) --- p.25 / Chapter 2.6.2 --- Collin-Dufresne and Goldstein (2001) --- p.27 / Chapter 2.7 --- Summary --- p.29 / Chapter Chapter 3. --- The Valuation Framework of the Three-factor Model --- p.32 / Chapter 3.1 --- Introduction --- p.33 / Chapter 3.2 --- The Framework of the Three-factor Model --- p.35 / Chapter 3.3 --- The Valuation of Risky Bonds --- p.39 / Chapter 3.3.1 --- Imposing an Early Default Mechanism --- p.42 / Chapter 3.3.2 --- Application: The Valuation of Probability of Default --- p.45 / Chapter Chapter 4. --- The Pricing Methodology of the Three-factor Model --- p.46 / Chapter 4.1 --- Simplification of the Problem --- p.47 / Chapter 4.2 --- Methodology of Upper-lower Bound Scheme --- p.48 / Chapter 4.2.1 --- Single-stage Approximation --- p.48 / Chapter 4.2.2 --- Illustrative Examples --- p.53 / Chapter 4.2.3 --- Multistage Approximation --- p.54 / Chapter 4.2.4 --- Summary --- p.58 / Chapter 4.2.5 --- Systematic Multistage Estimation of Bond Price --- p.61 / Chapter 4.3 --- Estimation of Default Probability --- p.63 / Chapter Chapter 5. --- Numerical Results and Discussion --- p.69 / Chapter 5.1 --- Initial Setting of Parameters --- p.69 / Chapter 5.2 --- Numerical Results and Discussion --- p.74 / Chapter Chapter 6. --- Conclusion --- p.89 / Appendix A. The Derivation of the Three-Factor Model --- p.91 / Bibliography --- p.99

Thesis (Ph.D.)--Massachusetts Institute of Technology, Dept. of Urban Studies and Planning, 1975. / Vita. / Bibliography: leaves 256-262. / Ph.D.

Guan, Peiqiu. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (p. 67-71). / Abstract also in Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.6 / Chapter 2.1 --- Characteristic Function --- p.6 / Chapter 2.1.1 --- Definition --- p.6 / Chapter 2.1.2 --- Inverse Fourier Transform --- p.8 / Chapter 2.1.3 --- Fast Fourier Transform (FFT) --- p.9 / Chapter 2.2 --- Levy Processes --- p.13 / Chapter 2.2.1 --- Definition --- p.13 / Chapter 2.2.2 --- Levy-Khinchine Formula --- p.15 / Chapter 2.2.3 --- Levy Processes in Finance --- p.17 / Chapter 2.3 --- Exotic Options --- p.17 / Chapter 2.3.1 --- Barrier Options --- p.18 / Chapter 2.3.2 --- Lookback Options --- p.19 / Chapter 2.3.3 --- Asian Options --- p.20 / Chapter 3 --- FFT Network Model --- p.23 / Chapter 3.1 --- Weaknesses of Traditional Tree Approaches --- p.24 / Chapter 3.2 --- FFT Network Model --- p.30 / Chapter 3.3 --- Basic Transition Probability Matrix --- p.31 / Chapter 3.4 --- Basic FFT Network Pricing Algorithm --- p.35 / Chapter 3.4.1 --- Plain Vanilla Options --- p.35 / Chapter 4 --- FFT Network for Exotic Options --- p.38 / Chapter 4.1 --- Barrier Option Pricing --- p.38 / Chapter 4.2 --- Forward Shooting Grid --- p.41 / Chapter 4.3 --- FSG in FFT Network --- p.43 / Chapter 4.4 --- Lookback and Knock-in Options --- p.45 / Chapter 4.4.1 --- American Lookback Option Pricing Algorithm --- p.48 / Chapter 4.4.2 --- Knock-in American Option Pricing Algorithm --- p.50 / Chapter 4.5 --- Asian Option Pricing --- p.51 / Chapter 4.5.1 --- Asian Option Pricing Algorithm --- p.54 / Chapter 5 --- Numerical Implementation --- p.57 / Chapter 5.1 --- Numerical Scheme --- p.57 / Chapter 5.2 --- Numerical Result --- p.60 / Chapter 6 --- Conclusion --- p.65 / Bibliography --- p.67

Fu, Hoi Man. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (leaves 31-34). / Abstract also in Chinese.

Su, Yiwen. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (p. 76-84). / Abstract also in Chinese. / Abstract --- p.i / Acknowledgement --- p.iii / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.9 / Chapter 2.1 --- Hedge Ratio Review --- p.9 / Chapter 2.2 --- Estimating the Hedge Ratio --- p.13 / Chapter 2.2.1 --- Static Hedge Ratio --- p.13 / Chapter 2.2.2 --- "Dynamic Hedge Ratio, Multivariate GARCH Frame-work and DCC Model" --- p.14 / Chapter 3 --- Futures Market Efficiency --- p.19 / Chapter 3.1 --- Market Efficiency and Cointegration Test --- p.20 / Chapter 4 --- Model Specifications and Hedging Strategy --- p.24 / Chapter 4.1 --- Model Specifications --- p.24 / Chapter 4.1.1 --- BGARCH-DCC Model --- p.25 / Chapter 4.1.2 --- Symmetric BGARCH-DCC Model --- p.28 / Chapter 4.1.3 --- Asymmetric BGARCH-DCC Model --- p.31 / Chapter 4.2 --- Hedge Ratio --- p.33 / Chapter 4.2.1 --- MV Hedge Ratio --- p.34 / Chapter 4.2.2 --- Zero-VaR Hedge Ratio --- p.35 / Chapter 4.3 --- Evaluation of Hedge Effectiveness --- p.38 / Chapter 5 --- Data Description and Empirical Results --- p.39 / Chapter 5.1 --- Preliminary Data Analysis --- p.39 / Chapter 5.2 --- Estimation Results --- p.42 / Chapter 5.3 --- Dynamic Hedging Performance --- p.53 / Chapter 6 --- Conclusion --- p.68 / Chapter A --- Equation Derivation --- p.72 / Bibliography --- p.76

Tang, Sze Ki = 計算美式賣權的最優提早履約邊界及期權金 / 鄧思麒. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 96-102). / Abstracts in English and Chinese. / Tang, Sze Ki = Ji suan Mei shi mai quan de zui you ti zao lu yue bian jie ji qi quan jin / Deng Siqi. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- The Black-Scholes Option Pricing Model --- p.1 / Chapter 1.1.1 --- Geometric Brownian Motion --- p.1 / Chapter 1.1.2 --- The Black-Scholes Equation --- p.3 / Chapter 1.1.3 --- The European Put Option --- p.5 / Chapter 1.1.4 --- The American Put Option --- p.7 / Chapter 1.1.5 --- Perpetual American Option --- p.9 / Chapter 1.2 --- Literature Review --- p.9 / Chapter 1.2.1 --- Direct Numerical Method --- p.10 / Chapter 1.2.2 --- Analytical Approximation --- p.11 / Chapter 1.2.3 --- Analytical Representation --- p.12 / Chapter 1.2.4 --- Mean-Reverting Lognormal Process --- p.13 / Chapter 1.2.5 --- Constant Elasticity of Variance Process --- p.15 / Chapter 1.2.6 --- Model Parameters with Time Dependence --- p.17 / Chapter 1.3 --- Overview --- p.18 / Chapter 2 --- Mean-Reverting Lognormal Model --- p.21 / Chapter 2.1 --- Moving Barrier Rebate Options under GBM --- p.21 / Chapter 2.2 --- Simulating American Puts under GBM --- p.25 / Chapter 2.3 --- Special Case: Time Independent Parameters --- p.26 / Chapter 2.3.1 --- Reduction to Ingersoll's Approximations --- p.26 / Chapter 2.3.2 --- Perpetual American Put Option --- p.28 / Chapter 2.4 --- Moving Barrier Rebate Options under MRL Process --- p.29 / Chapter 2.4.1 --- Reduction to Black-Scholes Model --- p.30 / Chapter 2.5 --- Simulating the American Put under MRL Process --- p.32 / Chapter 3 --- Constant Elasticity of Variance Model --- p.34 / Chapter 3.1 --- Transformations --- p.35 / Chapter 3.2 --- Homogeneous Solution on a Semi-Infinite Domain --- p.37 / Chapter 3.3 --- Particular Solution on a Semi-Infinite Domain --- p.38 / Chapter 3.4 --- Moving Barrier Options with Rebates --- p.39 / Chapter 3.5 --- Simulating the American Options --- p.40 / Chapter 3.6 --- Implication from the Special Case L = 0 --- p.41 / Chapter 4 --- Optimization for the Approximation --- p.43 / Chapter 4.1 --- Introduction --- p.43 / Chapter 4.2 --- The Optimization Scheme --- p.44 / Chapter 4.2.1 --- Illustrative Examples --- p.44 / Chapter 4.3 --- Discussion --- p.45 / Chapter 4.3.1 --- Upper Bound of the Exact Early Exercise Price --- p.45 / Chapter 4.3.2 --- Tightest Lower Bound of the American Put Option Price --- p.48 / Chapter 4.3.3 --- Ingersoll's Early Exercise Decision Rule --- p.51 / Chapter 4.3.4 --- Connection between Ingersoll's Rule and Samuelson's Smooth Paste Condition --- p.51 / Chapter 4.3.5 --- Computation Efficiency --- p.52 / Chapter 4.4 --- Robustness Analysis --- p.53 / Chapter 4.4.1 --- MRL Model --- p.53 / Chapter 4.4.2 --- CEV Model --- p.55 / Chapter 4.5 --- Conclusion --- p.57 / Chapter 5 --- Multi-stage Approximation Scheme --- p.59 / Chapter 5.1 --- Introduction --- p.59 / Chapter 5.2 --- Multistage Approximation Scheme for American Put Options --- p.60 / Chapter 5.3 --- Black-Scholes GBM Model --- p.61 / Chapter 5.3.1 --- "Stage 1: Time interval [0, t1]" --- p.61 / Chapter 5.3.2 --- "Stage 2: Time interval [t1, T]" --- p.62 / Chapter 5.4 --- Mean Reverting Lognormal Model --- p.63 / Chapter 5.4.1 --- "Stage 1: Time interval [0, t1]" --- p.63 / Chapter 5.4.2 --- "Stage 2: Time interval [t1, T]" --- p.64 / Chapter 5.5 --- Constant Elasticity of Variance Model --- p.66 / Chapter 5.5.1 --- "Stage 1: Time interval [0, t1]" --- p.66 / Chapter 5.5.2 --- "Stage 2: Time interval [t1, T]" --- p.67 / Chapter 5.6 --- Duration of Time Intervals --- p.69 / Chapter 5.7 --- Discussion --- p.72 / Chapter 5.7.1 --- Upper Bounds for the Optimal Early Exercise Prices --- p.73 / Chapter 5.7.2 --- Error Analysis --- p.74 / Chapter 5.8 --- Conclusion --- p.77 / Chapter 6 --- Numerical Analysis --- p.79 / Chapter 6.1 --- Sensitivity Analysis of American Put Options in MRL Model --- p.79 / Chapter 6.1.1 --- Volatility --- p.79 / Chapter 6.1.2 --- Risk-free Interest Rate and Dividend Yield --- p.80 / Chapter 6.1.3 --- Speed of Mean Reversion --- p.81 / Chapter 6.1.4 --- Mean Underlying Asset Price --- p.83 / Chapter 6.2 --- Sensitivity Analysis of American Put Options in CEV Model --- p.85 / Chapter 6.2.1 --- Elasticity Factor --- p.87 / Chapter 6.3 --- American Options with time-dependent Volatility --- p.87 / Chapter 6.3.1 --- MRL American Options --- p.89 / Chapter 6.3.2 --- CEV American Options --- p.90 / Chapter 6.3.3 --- Discussion --- p.91 / Chapter 7 --- Conclusion --- p.94 / Bibliography --- p.96 / Chapter A --- Derivation of The Duhamel Superposition Integral --- p.101 / Chapter A.1 --- Time Independent Inhomogeneous Boundary Value Problem --- p.101 / Chapter A.2 --- Time Dependent Inhomogeneous Boundary Value Problem --- p.102