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by Ho Sui-Man. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1987. / Bibliography: leaf 162.

by Lee Yat Fai, Frederick, Pang Fai. / Thesis (M.B.A.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaf 34). / Chapter 1. --- Introduction --- p.1 / Chapter 1.1 --- Background --- p.2 / Chapter 2. --- Methodology --- p.4 / Chapter 2.1 --- Approach --- p.5 / Chapter 2.2 --- Model Automation Tools --- p.7 / Chapter 2.2.1 --- Data --- p.7 / Chapter 2.2.2 --- Trend Identification by Regression --- p.8 / Chapter 2.2.3 --- Programming variables --- p.13 / Chapter 2.2.4 --- Execution --- p.13 / Chapter 3. --- Literature Review --- p.16 / Chapter 4. --- Trading Models --- p.19 / Chapter 4.1 --- 2Premises --- p.19 / Chapter 4.2 --- Trading rules --- p.20 / Chapter 4.3 --- THE IMPLEMENTATION OF THE TRADING MODEL AND ITS TESTING --- p.20 / Chapter 4.4 --- The Test --- p.23 / Chapter 4.5 --- Some Arbitrary Inputs and Limitations --- p.24 / Chapter 4.6 --- Preliminary Testing and the Grand Trend --- p.25 / Chapter 5. --- RESULT & ANALYSIS --- p.26 / Chapter 5.1 --- Deals made along Trends Identified --- p.27 / Chapter 5.2 --- Pseudo Trends Identified during Corrections of Trends --- p.30 / Chapter 5.3 --- Deals made during Corrections of Trends --- p.30 / Chapter 6. --- CONCLUSIONS --- p.33 / Chapter 6.1 --- Further Studies Recommended --- p.33 / Bibliography --- p.34 / Appendices / Chapter a. --- Table1 --- p.35 / Chapter b. --- Table2 --- p.36

Thesis. 1980. Ph.D.--Massachusetts Institute of Technology. Dept. of Economics. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND DEWEY. / Includes bibliographies. / Ph.D.

This thesis considers the effect of stochastic skew in the interest rate cap and currency option markets, where we observe obvious stochastic variation of skew of implied volatility curve over time. To develop option pricing models consistent with empirical evidence, we adopt the Wishart process to model both stochastic volatility and stochastic skew of the asset return and to price options in both markets. As an affine model, the model is analytically tractable. Some distributional properties of the models are studied. The key feature of our model is that, when compared with the multi-factor Heston model, which generates stochastic skew through its volatility processes, the Wishart process contains not only volatility processes, but also volatility-unrelated processes which provide extra freedom to model the variation of skew that is not captured by the volatility processes. Numerical experiments demonstrate that the Wishart model has greater flexibility to model stochastic skew than the multi-factor Heston model in both the interest rate cap market and currency option market. Finally, results of calibration to market data and model estimation demonstrate the superiority of the Wishart model to the multi-factor Heston model in the interest rate cap market. / Ng, Hon Yip. / Advisers: Kwai-Sun Leung; Duan Li. / Source: Dissertation Abstracts International, Volume: 73-09(E), Section: A. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2011. / Includes bibliographical references (leaves 89-98). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstract also in Chinese.

This dissertation examines the role of the fundamental economic variables (price levels, interest rates, and income levels) in the determination of foreign exchange rates during the period 1973-1978. Purchasing power parity, the International Fisher Effect, and the relationship of exchange rates with income levels through the marginal propensity to import were integrated, as suggested by the literature, and a fairly reasonable specification of a model for exchange rate determination was measured. The results of speculation tests indicate destabilizing results for some currencies and stabilizing results for the others; the coefficient of expectation tests, however, lend support to the destabilizing hypothesis. The conclusion of the research, therefore, is that the exchange rates of the major industrial countries which are of prime importance to the international financier and investor, and to the student of international finance and trade, are primarily determined, not by the fundamental economic variables, but by speculative forces which are believed to be of a destabilizing nature.

by Leung Kwong Tak. / Bibligraphy: leaves 185-192 / Thesis (M.Phil.) -- Chinese University of Hong Kong, 1982