Publications
- C.H. Hui
"One-touch double barrier
binary option values"
Applied Financial Economics, 6:343-346 (1996)
- C.H. Hui
"Time-dependent barrier option
values"
Journal of Futures Markets, 17(6):667-688 (1997)
- C.H. Hui
"Modelling forward
credit risk --- an option approach"
Journal of Fixed Income, 9(3):54-61 (1999)
- C.H. Hui, C.F. Lo and P.H. Yuen
"Comment on
`Pricing double
barrier options using Laplace transforms' by Antoon Pelsser"
Finance and Stochastics, 4:105-107 (2000)
- C.H. Hui and C.F. Lo
"A note on
risky bond valuation"
International Journal of Theoretical and Applied Finance, 3(3):575-580
(2000)
Proceedings of 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"
International Journal of Theoretical and Applied Finance, 3(3):581-589
(2000)
Proceedings of Applications of Physics in Financial Analysis 1
(Dublin, 15/7/1999-17/7/1999)
- C.F. Lo, C.H. Hui and P.H. Yuen
"Constant
elasticity of variance option pricing model with time-dependent
parameters"
International Journal of Theoretical and Applied Finance, 3(4):661-674
(2000)
- C.F. Lo and C.H. Hui
"Valuation of
financial derivatives
with time-dependent parameters --- Lie algebraic approach"
Quantitative Finance, 1(1):73-78 (2001)
- C.F. Lo, H.C. Lee and C.H. Hui
"Pricing
Black-Scholes single-barrier options with time-dependent parameters"
Wilmott Magazine (August
2001)
- C.F. Lo, P.H. Yuen and C.H. Hui
"Pricing barrier
options with square root process"
International Journal of Theoretical and Applied Finance, 4(5):805-818
(2001)
- C.H. Hui and C.F. Lo
"Effect of asset value correlation on credit-linked note
values"
International Journal of Theoretical and Applied Finance, 5(5):455-478
(2002)
- C.H. Hui and C.F. Lo
"Valuation model of defaultable bond values in emerging
markets"
Asia-Pacific Financial Markets, 9(1):45-60 (2002)
- C.F. Lo and C.H. Hui
"Pricing
multi-asset financial derivatives with time-dependent parameters --- Lie
algebraic approach"
International Journal of Mathematics and Mathematical Sciences,
32(7):401-410 (2002)
- C.F. Lo, H.C. Lee and C.H. Hui
"A simple approach for pricing Black-Scholes barrier options with
time-dependent parameters"
Quantitative Finance, 3(2):98-107 (2003)
- C.H. Hui, C.F. Lo and M.X. Huang
"Estimation
of default probability by three-factor structural model"
Proceedings of 2003 IEEE International Conference on Computational
Intelligence for Financial Engineering (March 20-23, 2003, Hong Kong),
pp.9-15 (2003)
- C.H. Hui, C.F. Lo and S.W. Tsang
"Pricing corporate
bonds with dynamic default barriers"
Journal of Risk, 5(3):17-37 (Spring 2003);
reprinted in "Innovations in Risk Management: Seminal Papers from the
Journal of Risk", ed. by P. Jorion, Risk Books, London, pp.509-532 (2004)
- C.H. Hui, C.F. Lo and H.C. Lee
"Pricing
vulnerable Black-Scholes options with dynamic default barriers"
Journal of Derivatives, 10(4):62-69 (Summer 2003)
- C.F. Lo, H.M. Tang, K.C. Ku and C.H. Hui
"Valuation of CEV
barrier options with time-dependent model parameters"
Proceedings of the 2nd IASTED International Conference on Financial
Engineering and Applications (November 8-10, 2004, Cambridge, MA,
USA)
- C.H. Hui, T.C. Wong, C.F. Lo and M.X. Huang
"Benchmarking model of default probabilities of listed
companies"
Journal of Fixed Income, 15(2):76-86 (September 2005)
- C.H. Hui, C.F. Lo and M.X. Huang
"Are corporates' target ratios time-dependent?"
International Review of Financial Analysis, 15(3):220-236 (2006);
reprinted in the "Research Memoranda Section of Hong Kong Monetary Authority"
- C.H. Hui, C.F. Lo, P.K. Man and T.C. Wong
"Measuring provisions for collateralised retail lending"
Journal of Economics and Business, 58(4):343-361 (2006);
reprinted in the "Research Memoranda Section of Hong Kong Monetary
Authority"
- C.F. Lo and C.H. Hui
"Valuing double barrier
options with time-dependent paremters by Fourier series expansion"
Proceedings of the International MultiConference of Engineers and
Computer Scientists 2006 (June 20-22, 2006, Hong Kong), pp.414-418
(2006);
reprinted in the IAENG International Journal of Applied Mathematics,
36(1):1-5 (2007)
- C.H. Hui and C.F. Lo
"Currency barrier option pricing with mean reversion"
Journal of Futures Markets, 26(10):939-958 (2006)
- C.F. Lo and C.H. Hui
"Computing the first passage time density of a time-dependent
Ornstein-Uhlenbeck process to a moving boundary"
Applied Mathematics Letters, 19(12):1399-1405 (2006)
- C.F. Lo and C.H. Hui
"Lie algebraic approach for pricing moving barrier options with
time-dependent parameters"
Journal of Mathematical Analysis and Applications, 323(2):1455-1464 (2006)
- C.F. Lo, T.K. Chung and C.H. Hui
"Double barrier hitting time distribution of a mean-reverting lognormal
process and its application to pricing exotic options"
Proceedings of the World Congress on Engineering 2007 (July 2-4, 2007,
London, U.K.), pp.1000-1005 (2007)
- C.H. Hui, C.F. Lo and K.C.Ku
"Pricing vulnerable European options with stochastic default
barriers"
IMA Journal of Management Mathematics, 18(4):315-329 (2007)
- C.H. Hui, C.F. Lo, V. Yeung and L. Fung
"Valuing foreign currency options with a mean-reverting process: a study
of Hong Kong dollar"
International Journal of Finance and Economics, 13:118-134 (2008)
- C.H. Hui and C.F. Lo
"A note on estimating realignment probabilities --- a first-passage-time
approach"
Journal of International Money and Finance, 28:804-812 (2009)
- C.F. Lo, H.M. Tang, K.C. Ku and C.H. Hui
"Valuing time-dependent CEV barrier options"
Journal of Applied Mathematics and Decision Sciences, Vol.2009, Article
I.D. 359623 (2009)