Conference Presentations
- C.H. Hui and C.F. Lo
"A note on risky bond valuation"
Applications of Physics in
Financial Analysis 1 (Dublin, 15/7/1999-17/7/1999)
- C.F. Lo, C.H. Hui and P.H. Yuen
"Option risk measurement with time-dependent model parameters"
Applications of Physics in
Financial Analysis 1 (Dublin, 15/7/1999-17/7/1999)
- C.F. Lo and C.H. Hui
"Lie-algebraic approach for pricing financial derivatives"
The First World
Congress of
the Bachelier Finance Society (Paris, 28/6/2000-1/7/2000)
- C.F. Lo, C.H. Hui and P.H. Yuen
"Pricing barrier options with square root process"
The First World
Congress of
the Bachelier Finance Society (Paris, 28/6/2000-1/7/2000)
- C.F. Lo, C.H. Hui and H.C. Lee
"Pricing vulnerable Black-Scholes options with drifted default barriers"
Annual
Research Conference in Financial Risk (Budapest, 12/7/2001-14/7/2001)
The International Association of Financial Engineers and the Hungarian
Association of Risk Managers
- C.F. Lo, H.C. Lee and C.H. Hui
"Pricing Black-Scholes barrier options with time-dependent parameters"
Annual
Research Conference in Financial Risk (Budapest, 12/7/2001-14/7/2001)
The International Association of Financial Engineers and the Hungarian
Association of Risk Managers
- C.F. Lo, C.H. Hui and H.C. Lee
"A simple approach for pricing barrier options with time-dependent
parameters"
Maths Week 2001: Risk Magazine's 3rd Annual Conference on Innovative
Research in
Derivatives Modelling and Analysis (London,
26/11/2001-30/11/2001)
- C.F. Lo, C.H. Hui and H.C. Lee
"Valuation of corporate bonds with stochastic default barrier"
The Second
World Congress of the Bachelier Finance Society (Crete,
12/6/2002-15/6/2002)
- C.F. Lo, C.H. Hui and M.X. Huang
"Estimation of default probability by three-factor structural model"
2003 IEEE International Conference on Computational Intelligence for
Financial Engineering (Hong Kong, 20/3/2003-23/3/2003)
- M.X. Huang, C.F. Lo and C.H. Hui
"Estimation of default probability by structural model with
time-dependent target leverage ratios"
Quantitative Methods in Finance 2003 Conference
(Sidney, 10/12/2003-13/12/2003)
- C.F. Lo, H.M. Tang, K.C. Ku and C.H. Hui
"Valuation of single-barrier CEV options with time-dependent model
parameters"
The 16th Australian Finance & Banking Conference (Sidney,
17/12/2003-19/12/2003)
- C.F. Lo, C.H. Hui and M.X. Huang
"Estimation of default probability by structural model with
time-dependent target leverage ratios"
The 16th Australian Finance & Banking Conference (Sidney,
17/12/200-19/12/2003)
- C.F. Lo, C.H. Hui and K.C. Ku
"Pricing vulnerable European options with stochastic default barrier"
The Third
World Congress of the Bachelier Finance Society (Chicago, USA,
21/7/2004-24/7/2004)
- H.M. Tang, C.F. Lo and C.H. Hui
"Pricing CEV moving barrier options with time-dependent parameters ---
Lie algebraic approach"
The Third
World Congress of the Bachelier Finance Society (Chicago, USA,
21/7/2004-24/7/2004)
- M.X. Huang, C.H. Hui and C.F. Lo
"Modelling term structures of default probability by structural model
with time-dependent target leverage ratios"
The
Third World Congress of the Bachelier Finance Society (Chicago, USA,
21/7/2004-24/7/2004)
- P.K. Man, C.H. Hui, C.F. Lo and T.C. Wong
"Measuring provisions for collateralized retail lending"
The Third
World Congress of the Bachelier Finance Society (Chicago, USA,
21/7/2004-24/7/2004)
- C.F. Lo, H.M.Tang, K.C. Ku and C.H. Hui
"Valuation of CEV barrier options with time-dependent model parameters"
The Second IASTED International Conference on Financial
Engineering and Applications (Cambridge, Massachusettes, USA,
8/11/2004-10/11/2004)
- M.X. Huang, C.H. Hui, C.F. Lo and H.C. Lee
"Predictions of Default Probabilities by Models with Dynamic Leverage
Ratios"
Quantitative Methods in Finance 2004 Conference
(Sidney, 15/12/2004-18/12/2004)
- C.F. Lo, C.H. Hui, T.C. Wong and P.K. Man
"Modelling provisions for collateralised retial lending"
The 12th
Conference on the Theories and Practices of Securities and Financial
Markets (Kaohsiung, Taiwan, 17-18/12/2004)
- C.F. Lo, H.M. Tang, K.C. Ku and C.H. Hui
"CEV barrier options with time-dependent parameters"
The 12th
Conference on the Theories and Practices of Securities and Financial
Markets (Kaohsiung, Taiwan, 17-18/12/2004)
- C.F. Lo and C.H. Hui
"Valuing double barrier options with time-dependent paremters by
Fourier series expansion"
The
IMECS 2006: The 2006 IAENG International Workshop on Financial Engineering
(Hong Kong, 20-22/6/2006)
- C.H. Hui, C.F. Lo, V. Yeung and V. Fung
"Valuing foreign exchange rate options with a mean-reverting process"
Conference on International Financial
Markets and the Macroeconomy (Hong Kong, 13-14/7/2006)
- C.F. Lo and C.H. Hui
"First passage time problem of a time-dependent Ornstein-Uhlenbeck process
to a moving boundary"
SIAM Conference
on Analysis of Partial Differential Equations (Boston,
10-12/7/2006)
- T.K.Chung, C.F. Lo and C.H. Hui
"Double barrier hitting time distributions of a mean-reverting lognormal
process and its applications to pricing exotic options"
VIII Workshop on Quantitative Finance (Venice,
25-26/1/2007)
- C.F. Lo, T.K. Chung and C.H. Hui
"Valuing double-barrier options of a mean-reverting lognormal underlying
with time-dependent parameters"
First IMA Conference on Computational Finance (London,
23/3/2007)
- C.F. Lo and C.H. Hui
"Fourier series approach for valuing double-barrier options with
time-dependent parameters"
World Congress on Computational Finance --- The First Decade
(London, 26/3/2007)
- C.F. Lo, T.K. Chung and C.H. Hui
"Double barrier hitting time distributions of a mean-reverting lognormal
process and its application to pricing exotic options"
The WCE 2007: The 2007 International Conference of Financial
Engineering (London, 2-4/7/2007)
- T.K. Chung, C.F. Lo and C.H. Hui
"Using first-passage-time density to assess realignment risk of a target
zone"
The Quantitative Methods in Finance 2007 Conference
(Sidney, 12-15/12/2007)
- T.C. Wong, C.H. Hui and C.F. Lo
"Ratings versus market-based measures of default risk of East Asian
banks"
The 20th Australian Finance & Banking Conference (Sidney,
12-14/12/2007)
- C.H. Hui, C.F. Lo and T.K. Chung
"Using first-passage-time density to assess realignment risk of a target
zone"
The 20th Australian Finance & Banking Conference (Sidney,
12-14/12/2007)
- C.H. Hui, C.F. Lo and T.K. Chung
"Market expectation of appreciation of the Renminbi"
The 21st Australian Finance & Banking Conference (Sidney,
16-18/12/2008)
- S.K. Tang, C.F. Lo and C.H. Hui
"Time-dependent American put with mean-reversion"
The X Workshop on Quantitative Finance (Milan,
29-30/12/2009)
- C.F. Lo and C.H. Hui
"A note on the dynamics of target leverage ratios"
The WCE 2009: The 2009 International Conference of Financial
Engineering (London, 1-3/7/2009)
- C.F. Lo, C.S. Lau and C.H. Hui
"Valuation of fixed rate mortgages by the moving boundary approach"
The WCE 2009: The 2009 International Conference of Financial
Engineering (London, 1-3/7/2009)