On pricing derivatives under nonlinear time series models

Tak Kuen Siu; Hailiang Yang

doi:10.1002/pamm.200700110

On pricing derivatives under nonlinear time series models

Research output: Contribution to journal › Conference paper › peer-review

Abstract

In this note, we summarize some of our recent works on pricing derivative securities under nonlinear time series models.

Original language	English
Pages (from-to)	1050501-1050502
Number of pages	2
Journal	Proceedings in applied mathematics and mechanics : special issue : Sixth International Congress on Industrial Applied Mathematics (ICIAM07) and GAMM Annual Meeting, Zürich 2007
Volume	7
Issue number	1
DOIs	https://doi.org/10.1002/pamm.200700110
Publication status	Published - 2007
Externally published	Yes
Event	International Congress on Industrial Applied Mathematics (6th : 2007) - Zurich, Switzerland Duration: 16 Jul 2007 → 20 Jul 2007

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title = "On pricing derivatives under nonlinear time series models",

abstract = "In this note, we summarize some of our recent works on pricing derivative securities under nonlinear time series models.",

author = "Siu, {Tak Kuen} and Hailiang Yang",

year = "2007",

doi = "10.1002/pamm.200700110",

language = "English",

volume = "7",

pages = "1050501--1050502",

journal = "Proceedings in applied mathematics and mechanics : special issue : Sixth International Congress on Industrial Applied Mathematics (ICIAM07) and GAMM Annual Meeting, Z{\"u}rich 2007",

issn = "1617-7061",

publisher = "Wiley-VCH, Wiley",

number = "1",

note = "International Congress on Industrial Applied Mathematics (6th : 2007) ; Conference date: 16-07-2007 Through 20-07-2007",

}

On pricing derivatives under nonlinear time series models. / Siu, Tak Kuen; Yang, Hailiang.

In: Proceedings in applied mathematics and mechanics : special issue : Sixth International Congress on Industrial Applied Mathematics (ICIAM07) and GAMM Annual Meeting, Zürich 2007, Vol. 7, No. 1, 2007, p. 1050501-1050502.

Research output: Contribution to journal › Conference paper › peer-review

TY - JOUR

T1 - On pricing derivatives under nonlinear time series models

AU - Siu, Tak Kuen

AU - Yang, Hailiang

PY - 2007

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AB - In this note, we summarize some of our recent works on pricing derivative securities under nonlinear time series models.

U2 - 10.1002/pamm.200700110

DO - 10.1002/pamm.200700110

M3 - Conference paper

VL - 7

SP - 1050501

EP - 1050502

JO - Proceedings in applied mathematics and mechanics : special issue : Sixth International Congress on Industrial Applied Mathematics (ICIAM07) and GAMM Annual Meeting, Zürich 2007

JF - Proceedings in applied mathematics and mechanics : special issue : Sixth International Congress on Industrial Applied Mathematics (ICIAM07) and GAMM Annual Meeting, Zürich 2007

SN - 1617-7061

IS - 1

T2 - International Congress on Industrial Applied Mathematics (6th : 2007)

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