Publications

Filter by type:

Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows

Felix Lokin, Fenghui Yu

Optimal Pairs Trading Strategies: a Stochastic Mean-Variance Approach

Feng-Hui Yu, Wai-Ki Ching, Chu-Fang Wu, Jia-Wen Gu

PDF Journal Link

Optimal Convergence Trading Strategies with Cutting Loss Exit

Feng-Hui Yu

Optimal Pairs Trading with Dynamic Mean-Variance Objective

Dong-Mei Zhu, Jia-Wen Gu, Feng-Hui Yu, Tak-Kuen Siu, Wai-Ki Ching

PDF Journal Link

How correlation risk in basket credit derivatives might be priced and managed?

Dong-Mei Zhu, Jia-Wen Gu, Feng-Hui Yu, Wai-Ki Ching, Tak-Kuen Siu

PDF Journal Link

Pricing Participating Policies Under Hidden Markov Models via Neural Networks

Tak-Kuen Siu, Feng-Hui Yu, Qing-Qing Yang, Jia-Wen Gu, Wai-Ki Ching

Modeling Credit Risk with Hidden Markov Default Intensity

Feng-Hui Yu, Jie-Jun Lu, Jia-Wen Gu, Wai-Ki Ching

PDF Journal Link

Multi-Period Optimal Mean-reverting Spread Trading Strategies with Hidden Markovian Regime Switching

Feng-Hui Yu, Wai-Ki Ching

On Pricing, Hedging and Trading in Financial Management

Feng-Hui Yu

Interacting default intensity with a hidden Markov process

Feng-Hui Yu, Wai-Ki Ching, Jia-Wen Gu, Tak-Kuen Siu

PDF Journal Link