On pricing derivatives under nonlinear time series models

Tak Kuen Siu, Hailiang Yang

Research output: Contribution to journalConference paperpeer-review

Abstract

In this note, we summarize some of our recent works on pricing derivative securities under nonlinear time series models.
Original languageEnglish
Pages (from-to)1050501-1050502
Number of pages2
JournalProceedings in applied mathematics and mechanics : special issue : Sixth International Congress on Industrial Applied Mathematics (ICIAM07) and GAMM Annual Meeting, Zürich 2007
Volume7
Issue number1
DOIs
Publication statusPublished - 2007
Externally publishedYes
EventInternational Congress on Industrial Applied Mathematics (6th : 2007) - Zurich, Switzerland
Duration: 16 Jul 200720 Jul 2007

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