by Au Wai Shan, Christine, Choi Wing Kam. / Thesis (M.B.A.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 86-90). / ABSTRACT --- p.ii / ACKNOWLEDGEMENT --- p.iv / TABLE OF CONTENTS --- p.v / LIST OF TABLES --- p.vii / CHAPTER / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- LITERATURE REVIEW --- p.3 / Chapter III. --- METHODOLOGY --- p.9 / Chapter 1 --- Source of Data and Company Information --- p.9 / Chapter 1.1 --- Data on Security Prices and Macroeconomic Variables --- p.9 / Chapter 1.2 --- Company Annual Reports --- p.9 / Chapter 1.3 --- "Journals, Newspapers and Related Magazines" --- p.10 / Chapter 2. --- Selection of Company --- p.10 / Chapter 3. --- "Whatts PanEL,Data?" --- p.10 / Chapter 3.1 --- Benefits of using Panel Data --- p.11 / Chapter 3.2 --- Limitations of using Panel Data --- p.12 / Chapter 4. --- Multiple regression analysts --- p.13 / Chapter 4.1 --- What is multiple regression model? --- p.13 / Chapter 4.2 --- Assumptions of multiple regression --- p.15 / Chapter 5. --- FtnanctaL RatIo Analysts --- p.16 / Chapter 6. --- Economic Factor Analysis --- p.19 / Chapter IV. --- FINDINGS --- p.20 / Chapter 1. --- ResuLts of MULttpte Regression (By Individual Company) of the Stock Price and MacRoeconomtc factors --- p.20 / Chapter 1.1 --- "R2, Coefficients of variables and F-statistic" --- p.20 / Chapter 1.2 --- Correlation Among the Macroeconomic Factors --- p.23 / Chapter 2. --- Results of MULTIpLe REgREssIons (By Sectors) of thE Stock Prtce and Financial Statement RatIos --- p.24 / Chapter 2.1 --- "R2, Coefficients of variables and F-statistic" --- p.24 / Chapter 2.2 --- Correlation among the Micro-economic Factors --- p.25 / Chapter V. --- DISCUSSIONS --- p.27 / Chapter 1. --- Summary of findings --- p.27 / Chapter 2. --- Discusston of the impact of economic factors on the stock price --- p.28 / Chapter 3. --- "Dtscusston the impacts of ftnancial, statement ratios on the stock price" --- p.29 / Chapter 4. --- LImItattons on our model --- p.31 / Chapter 4.1 --- Outlier Problems --- p.31 / Chapter 4.2 --- Average stock price in the month of announcing annual reports --- p.31 / Chapter 4.3 --- Using of annual data --- p.32 / Chapter VI. --- FURTHER DISCUSSION ON NOWADAYS PHENOMENA --- p.33 / Chapter 1. --- Greenspan's Theory --- p.33 / Chapter 2. --- ThE FEvER of Internet/ TEchnoLOgy/ConcEPt Stock --- p.34 / Chapter VII. --- RECOMMENDATIONS --- p.35 / Chapter 1. --- Other mEthodoLogIEs --- p.35 / Chapter 2. --- Other Ratios with same or similar meanings --- p.36 / Chapter 3. --- Other indices --- p.37 / Chapter 4. --- A new standard： sustatnaBILIty --- p.37 / Chapter VIII. --- CONCLUSION --- p.39 / APPENDIX --- p.40 / BIBLIOGRAPHY --- p.86

Wu Haijun. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 45-48). / Abstracts in English and Chinese. / Abstract --- p.ii / Acknowledgement --- p.iv / Chapter Chapter 1. --- Introduction --- p.1 / Chapter Chapter 2. --- Literature Review --- p.4 / Chapter 2.1. --- The Fisher Hypothesis --- p.4 / Chapter 2.2. --- International Fisher Equation --- p.11 / Chapter Chapter 3. --- Theoretical Basis on The Link Between Stock Return Differential and Inflation Rate Differential --- p.15 / Chapter Chapter 4. --- Data Description --- p.19 / Chapter Chapter 5. --- Results --- p.23 / Chapter 5.1. --- Does The Generalized Fisher Hypothesis Hold In The Long Horizons --- p.24 / Chapter 5.2. --- Does International Fisher Equation Hold --- p.29 / Chapter 5.3. --- Can International Elements Account For The Failure of Fisher Hypothesis --- p.36 / Chapter Chapter 6. --- Conclusion --- p.43 / Bibliography --- p.45 / Appendix A --- p.49 / Chapter A.1. --- The link between interest rate differential and inflation rate differential --- p.49 / Chapter A.2. --- Instrumental Variable Estimation --- p.53 / Appendix B --- p.59 / Chapter B.1. --- Hong Kong CPI(A) Source --- p.59 / Chapter B.2. --- Taiwan CPI Source --- p.61 / LIST OF TABLES / Table 4.1: Data Description --- p.21 / Table 4.2: Means and Standard Deviations of Inflation and Stock Returns --- p.22 / Table 5.1: Short-term (One Year) Test on Fisher Hypothesis on Stock Returns --- p.26 / Table 5.2: Long-term (Five Years) Test on Fisher Hypothesis on Stock Returns --- p.27 / Table 5.3: Long-term (Ten Years) Test on Fisher Hypothesis on Stock Returns --- p.30 / Table 5.4: Short-term (One Year) Test For International Fisher Equation on Stock Returns --- p.33 / Table 5.5: Long-term (Five Years) Test For International Fisher Equation on Stock Returns --- p.34 / Table 5.6: Long-term (Ten Years) Test For International Fisher Equation on Stock Returns --- p.35 / Table 5.7: Testing Effects of International Elements on The Fisher Hypothesis --- p.39 / Table 5.8: Regression Results For The Coefficients of Domestic Inflation With and Without International Elements --- p.40

Liu Guoxin. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (leaves 24-25). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.2 / Chapter 2 --- The Model --- p.4 / Chapter 3 --- "Estimation of μ1 ,μ2 ,α and β" --- p.7 / Chapter 4 --- Extension --- p.9 / Chapter 5 --- Monte Carlo Simulation --- p.11 / Chapter 5.1 --- "Case 1. a < 1, β < 1" --- p.12 / Chapter 5.2 --- "Case 2. a > 1, β < 1" --- p.12 / Chapter 5.3 --- "Case 3. a < 1,β > 1" --- p.13 / Chapter 5.4 --- "Case 4. a > 1, β> 1" --- p.13 / Chapter 6 --- Empirical Application --- p.15 / Chapter 6.1 --- Model Construction --- p.15 / Chapter 6.2 --- Estimation Results --- p.15 / Chapter 6.2.1 --- 1973Oil Crisis --- p.16 / Chapter 6.2.2 --- 1981 Oil Crisis --- p.18 / Chapter 6.2.3 --- 1991 Oil Crisis --- p.20 / Chapter 7 --- Conclusion --- p.23 / Chapter 8 --- Bibliography --- p.24

by Wong Chi Yan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (leaves 38-39). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Introduction --- p.1 / Chapter 1.2 --- Monte Carlo Method --- p.2 / Chapter 1.3 --- Outline of Thesis --- p.5 / Chapter 2 --- The Random Number Generators --- p.7 / Chapter 2.1 --- Built-in Random Number Generating Functions --- p.7 / Chapter 2.2 --- Linear Congruential Generators --- p.8 / Chapter 3 --- Memory Reduction Methods --- p.10 / Chapter 3.1 --- The Full-Storage Method --- p.10 / Chapter 3.2 --- The Forward-Path Method --- p.12 / Chapter 3.3 --- The Backward-Path Method --- p.14 / Chapter 4 --- The Least-Squares Method --- p.17 / Chapter 5 --- Numerical Examples --- p.28 / Chapter 6 --- Concluding Remarks --- p.34 / Appendix --- p.36 / Bibliography --- p.38

Zhao Jing. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (leaves 72-74). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- The Constant Elasticity of Variance Model --- p.6 / Chapter 2.1 --- The CEV Assumption --- p.7 / Chapter 2.2 --- Properties of the CEV Model --- p.9 / Chapter 2.3 --- Empirical Evidence and Theoretical Support --- p.11 / Chapter 3 --- Option Pricing under CEV --- p.14 / Chapter 3.1 --- The Valuation of European Options --- p.14 / Chapter 3.2 --- The Valuation of American Options --- p.17 / Chapter 3.3 --- "How ""far"" is Enough?" --- p.19 / Chapter 4 --- The Proposed Artificial Boundary Approach --- p.21 / Chapter 4.1 --- Standardized Form of the CEV Model --- p.21 / Chapter 4.2 --- Exact Artificial Boundary Conditions --- p.23 / Chapter 4.3 --- The Integral Kernels and Numerical Laplace Inversion --- p.31 / Chapter 5 --- Numerical Examples --- p.35 / Chapter 5.1 --- General Numerical Scheme --- p.35 / Chapter 6 --- Homotopy Analysis Method --- p.47 / Chapter 6.1 --- The Front-Fixing Transformation --- p.47 / Chapter 6.2 --- Homotopy Analysis Method --- p.49 / Chapter 6.2.1 --- Zero-order Deformation Equation --- p.50 / Chapter 6.2.2 --- High-order Deformation Equation --- p.54 / Chapter 6.2.3 --- Pade Technique --- p.57 / Chapter 6.3 --- Numerical Comparison --- p.58 / Chapter 7 --- Conclusion --- p.63 / Appendix --- p.65 / Chapter A --- The Valuation of Perpetual American Options --- p.65 / Chapter B --- "Derivation of G(Y,r) = Ls-1 ((Y/a)vKv(Y)/sKv(sa)" --- p.66 / Chapter C --- Numerical Laplace Inversion --- p.68 / Bibliography --- p.72

Mak Wing Hei. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2006. / Includes bibliographical references (leaves 50-52). / Abstracts in English and Chinese. / ABSTRACT --- p.1 / 摘要 --- p.2 / ACKNOWLEDGEMENTS --- p.3 / TABLE OF CONTENTS --- p.4 / Chapter CHAPTER 1 --- INTRODUCTION & LITERATURE REVIEW --- p.6 / Chapter CHAPTER 2 --- DATA DESCRIPTION --- p.12 / Chapter 2.1 - --- Coverage and Sources --- p.12 / Chapter 2.2 - --- Match Accounting Data with Stock Returns --- p.12 / Chapter 2.3 - --- Selection Rule --- p.13 / Chapter 2.4 - --- Choice of the Threshold Variables Z --- p.14 / Chapter CHAPTER 3 --- THE MODEL --- p.15 / Chapter 3.1 - --- Estimating excess returns & Betas --- p.15 / Chapter 3.2- --- Estimating Threshold Effects --- p.17 / Chapter 3.3 - --- Testing the Number of Threshold Variables --- p.19 / Chapter 3.4 - --- Estimating Threshold values --- p.21 / Chapter CHAPTER 4 --- PRELIMINARY OBSERVATIONS --- p.21 / Chapter 4.1 - --- Excess Returns --- p.21 / Chapter 4.2 - --- "Relationship between Beta, Market Size and Book-to-Market Equity" --- p.24 / Chapter CHAPTER 5 --- ESTIMATION RESULTS OF THE THRESHOLD MODEL --- p.35 / Chapter 5.1 - --- Number of Threshold Variables --- p.35 / Chapter 5.2- --- Threshold Value Estimates --- p.39 / Chapter 5.3- --- The “and´ح case and “or´حcase --- p.40 / Chapter 5.4 - --- Comparison with OLS --- p.45 / Chapter CHAPTER 6 --- CONCLUSION --- p.48 / REFERENCES --- p.50

常方差彈性(CEV) 模型能夠刻畫波動率微笑的優點使之成為期權定價中的實用工具，然而它在應用到美式衍生工具時面臨分析上及計算上的挑戰。現行的解析方法是對代表著期權價格函數和其最佳履約曲線的自由邊界問題進行拉普拉斯卡森變換(LCT) ，繼而獲得在此變換下的解析解，可是此解含有合流超線幾何函數，使得它的數值計算在某些參數下顯得不穩定及低效。本文運用漸近法徹底解決美式期權在常方差彈性模型下的定價問題，並用永久性和限時性的美式看跌期權作為例子闡述所提出的方法。 / The constant elasticity of variance (CEV) model is a practical approach to option pricing by fitting to the implied volatility skew. Its application to American-style derivatives, however, poses analytical and numerical challenges. By taking the Laplace Carson transform (LCT) to the free-boundary value problem characterizing the option value function and the early exercise boundary, the analytical result involves confluent hyper-geometric functions. Thus, the numerical computation could be unstable and inefficient for certain set of parameter values. We solve this problem by an asymptotic approach to the American option pricing problem under the CEV model. We demonstrate the use of the proposed approach using perpetual and finite-time American puts. / Detailed summary in vernacular field only. / Pun, Chi Seng. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 39-40). / Abstracts also in Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Problem Formulation --- p.4 / Chapter 2.1 --- The CEV model --- p.4 / Chapter 2.2 --- The free-boundary value problem --- p.5 / Chapter 2.2.1 --- Perpetual American put --- p.5 / Chapter 2.2.2 --- Finite-time American put --- p.6 / Chapter 3 --- Asymptotic expansion of American put --- p.8 / Chapter 3.1 --- Perpetual American put --- p.8 / Chapter 3.2 --- Finite-time American put --- p.16 / Chapter 4 --- Numerical examples --- p.24 / Chapter 4.1 --- Perpetual American put --- p.24 / Chapter 4.2 --- Finite-time American put --- p.26 / Chapter 5 --- Conclusion --- p.29 / Chapter A --- Proof of Lemma 3.1 --- p.30 / Chapter B --- Property of ak --- p.32 / Chapter C --- Explicit formulas for u₂(S) --- p.34 / Chapter D --- Closed-form solutions --- p.37 / Bibliography --- p.40

Ng Chi-Tim. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 110-114). / Abstracts in English and Chinese. / Chapter Chapter 1 --- Introduction --- p.4 / Chapter Chapter 2 --- Mathematical Background --- p.7 / Chapter 2.1 --- Fractional Stochastic Integral --- p.8 / Chapter 2.2 --- Wick's Calculus --- p.9 / Chapter 2.3 --- Malliavin Calculus --- p.19 / Chapter 2.4 --- Fractional Ito's Lemma --- p.27 / Chapter Chapter 3 --- The Fractional Black Scholes Model --- p.34 / Chapter 3.1 --- Fractional Geometric Brownian Motion --- p.35 / Chapter 3.2 --- Arbitrage Opportunities --- p.38 / Chapter 3.3 --- Fractional Black Scholes Equation --- p.40 / Chapter Chapter 4 --- Generalization --- p.43 / Chapter 4.1 --- Stochastic Gradients of Fractional Diffusion Processes --- p.44 / Chapter 4.2 --- An Example : Fractional Black Scholes Mdel with Varying Trend and Volatility --- p.46 / Chapter 4.3 --- Generalization of Fractional Black Scholes PDE --- p.48 / Chapter 4.4 --- Option Pricing Problem for Fractional Black Scholes Model with Varying Trend and Volatility --- p.55 / Chapter Chapter 5 --- Alternative Fractional Models --- p.59 / Chapter 5.1 --- Fractional Constant Elasticity Volatility (CEV) Models --- p.60 / Chapter 5.2 --- Pricing an European Call Option --- p.61 / Chapter Chapter 6 --- Problems in Fractional Models --- p.66 / Chapter Chapter 7 --- Arbitrage Opportunities --- p.68 / Chapter 7.1 --- Two Equivalent Expressions for Geometric Brownian Motions --- p.69 / Chapter 7.2 --- Self-financing Strategies --- p.70 / Chapter Chapter 8 --- Conclusions --- p.72 / Chapter Appendix A --- Fractional Stochastic Integral for Deterministic Integrand --- p.75 / Chapter A.1 --- Mapping from Inner-Product Space to a Set of Random Variables --- p.76 / Chapter A.2 --- Fractional Calculus --- p.77 / Chapter A.3 --- Spaces for Deterministic Functions --- p.79 / Chapter Appendix B --- Three Approaches of Stochastic Integration --- p.82 / Chapter B.1 --- S-Transformation Approach --- p.84 / Chapter B.2 --- Relationship between Three Types of Stochastic Integral --- p.89 / Reference --- p.90

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

by Lam Wing Shan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaf 41). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Background on Option Pricing --- p.3 / Chapter 2.1 --- Financial options --- p.3 / Chapter 2.1.1 --- Basic terms of options --- p.3 / Chapter 2.1.2 --- Trading strategies --- p.4 / Chapter 2.1.3 --- The Principle of no Arbitrage --- p.5 / Chapter 2.1.4 --- Rational boundaries on Option Prices --- p.5 / Chapter 2.1.5 --- American Options --- p.6 / Chapter 2.1.6 --- Put-Call Parity --- p.7 / Chapter 2.2 --- Black-Scholes equation --- p.8 / Chapter 2.2.1 --- Derivation of Black-Scholes equation --- p.8 / Chapter 2.2.2 --- Solution to the Black-Scholes equation --- p.10 / Chapter 3 --- Review on Monte Carlo Method --- p.15 / Chapter 3.1 --- Monte Carlo Simulation --- p.15 / Chapter 3.2 --- Pricing an option using Monte Carlo Method --- p.18 / Chapter 3.3 --- Antithetic Variates Method --- p.21 / Chapter 4 --- Cell Partition Method --- p.23 / Chapter 4.1 --- An Advantage of the Cell Partition Method --- p.23 / Chapter 4.2 --- The Algorithm --- p.24 / Chapter 5 --- Numerical Results --- p.35 / Chapter 6 --- Conclusion --- p.39 / Bibliography --- p.41