Chiu Mei Choi

Mei Choi Chiu

Information about the author Mei Choi Chiu will soon be added to the site.
Found 5 papers in total
Managing Mortality Risk With Longevity Bonds When Mortality Rates Are Cointegrated
Managing Mortality Risk With Longevity Bonds When Mortality Rates Are Cointegrated
2017
This article investigates the dynamic mean‐variance hedging problem of an...
Commodity derivatives pricing with cointegration and stochastic covariances
Commodity derivatives pricing with cointegration and stochastic covariances
2015
Empirically, cointegration and stochastic covariances, including stochastic...
Mean‐variance principle of managing cointegrated risky assets and random liabilities
Mean‐variance principle of managing cointegrated risky assets and random liabilities
2013
Using the diffusion limit of the discrete‐time error correction model of...
Mean–variance asset–liability management: Cointegrated assets and insurance liability
Mean–variance asset–liability management: Cointegrated assets and insurance liability
2012
The cointegration of major financial markets around the globe is well evidenced with...
Asymptotic expansion for pricing options for a mean‐reverting asset with multiscale stochastic volatility
Asymptotic expansion for pricing options for a mean‐reverting asset with multiscale stochastic volatility
2011
The valuation of options for an asset which follows a mean‐reverting...
Papers per page: