TAKING STOCK department of finance alumni newsletter JUNE 2007 INSIDE • Department and program

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• Academia
• Finance
• Marti G. Subrahmanyam
• University of Melbourne
• Menachem Brenner
• Education
• Knowledge
• Academics
• Year of birth missing
• Equity securities

CENTRE OF ASIAN BUSINESS AND ECONOMICS CABE Visiting Fellowship Program AIMS AND BACKGROUND The Faculty of Business and Economics of the University of Melbourne, through the Centre for Asian

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• Academic administration
• Fellow

VEGA CONTROL NICK DENSON AND MARK JOSHI Abstract. The calculation of prices and sensitivities of exotic interest rate derivatives in the LIBOR market model is often very time consuming. One approach that has been previou

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• Financial economics
• Mathematical sciences
• Mathematical finance
• Markov model
• Statistics

>>> 1 Professor Gerard Roland 2

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HKU Newsletterindd

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• Yale University
• Hong Kong
• University of Hong Kong
• Hong Kong University of Science and Technology

Location Map Room 104, Levell, Block B, Cyberport 4, 100 Cyberport Road, Hong Kong 2

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• Cyberport
• Architecture
• Hong Kong
• Classroom
• Rooms

FAST AND ACCURATE PRICING AND HEDGING OF LONG-DATED CMS SPREAD OPTIONS MARK JOSHI AND CHAO YANG A BSTRACT. We present a fast method to price and hedge CMS spread options in the displaced-diffusion co-initial swap market

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• Mathematical finance
• Contract law
• Annuity
• Life annuity
• LIBOR market model
• Yield curve
• Option
• Derivative
• Swap
• Financial economics
• Investment
• Finance

FOURIER TRANSFORMS, OPTION PRICING AND CONTROLS MARK JOSHI AND CHAO YANG Abstract. We incorporate a simple and effective control-variate into Fourier inversion formulas for vanilla option prices. The control-variate used

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• Options
• Finance
• Stochastic processes
• Fourier analysis
• Heston model
• Black–Scholes
• Fourier transform
• Implied volatility
• Stochastic volatility
• Mathematical finance
• Mathematical analysis
• Financial economics

Modelling and Replicating Hedge Fund Returns Wang Chun Wei ∗ March 1, 2010

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• Financial services
• Mathematical finance
• Institutional investors
• Collective investment schemes
• Alternative beta
• Hedge fund
• Beta
• Kalman filter
• Market neutral
• Financial economics
• Investment
• Finance

On Track For Success ” 2

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