Zobrazeno 1 - 10
of 35
pro vyhledávání: '"Chyng Wen Tee"'
Autor:
Poh Ling, Neo1 plneo@suss.edu.sg, Chyng Wen, Tee2 cwtee@smu.edu.sg
Publikováno v:
Journal of Portfolio Management. Nov2023, Vol. 50 Issue 1, p106-119. 14p.
Autor:
Poh Ling Neo, Chyng Wen Tee
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::58d1bbc38f5e93f77eea59798d8e6d31
https://doi.org/10.2139/ssrn.4378071
https://doi.org/10.2139/ssrn.4378071
Autor:
Poh Ling Neo, Chyng Wen Tee
Publikováno v:
The Journal of Portfolio Management. 48:133-146
The authors show that the slope of the volatility decile portfolio’s return profile contains valuable information that can be used to time volatility under different market conditions in the United States. During good (bad) market conditions, the h
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b98b888147777d10879d003cc5db811d
https://doi.org/10.3905/jpm.2021.1.293
https://doi.org/10.3905/jpm.2021.1.293
Autor:
Poh Ling Neo, Chyng Wen Tee
Publikováno v:
The Journal of Derivatives. 27:81-107
The authors formulate a risk-based swaption portfolio management framework for a profit-and-loss (P&L) explanation. They analyze the implication of using the right volatility backbone in the pricing model from a hedging perspective and demonstrate th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d7774b2603047c77917e8de1d61e5d6d
https://doi.org/10.3905/jod.2019.1.083
https://doi.org/10.3905/jod.2019.1.083
Publikováno v:
SSRN Electronic Journal.
To cope with the negative oil futures price caused by the COVID-19 recession, global commodity futures exchanges temporarily switched the option model from Black--Scholes to Bachelier in 2020. This study reviews the literature on Bachelier's pioneeri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4def803738788aa8251c8ca3ed6ee96d
https://doi.org/10.2139/ssrn.3828310
https://doi.org/10.2139/ssrn.3828310
Publikováno v:
SSRN Electronic Journal.
Studies on commonality in returns, order flows and liquidity find that the first principal component is closely aligned with the market factor. With the increasing presence of high-frequency trading, commonality in returns, order flows, and liquidity
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::350698e4e6093f29a8a762927724d3ff
https://doi.org/10.2139/ssrn.3536015
https://doi.org/10.2139/ssrn.3536015
Autor:
Chyng Wen Tee, Christopher Ting
Publikováno v:
Journal of Futures Markets. 37:452-472
We propose a model-independent method to account for the early exercise premiums in American options on non-dividend paying stocks. We find that our estimates of early exercise premium are generally larger than the estimates by existing methods. Give
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4d0b2d1e48f1ac95eebef8c8cae8f803
https://doi.org/10.1002/fut.21802
https://doi.org/10.1002/fut.21802
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c3349202ab63c2738fd7a5f06cbc26f2
https://doi.org/10.2139/ssrn.3402783
https://doi.org/10.2139/ssrn.3402783
Autor:
Poh Ling Neo, Chyng Wen Tee
Publikováno v:
SSRN Electronic Journal.
We show that the slope of the volatility decile portfolio's return profile contains valuable information that can be used to time volatility under different market conditions. During good (bad) market condition, the high- (low-) volatility portfolio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f6db1fcad97f2e26c01b156e4f7ed4c7
https://doi.org/10.2139/ssrn.3441508
https://doi.org/10.2139/ssrn.3441508
Publikováno v:
Lecture Notes in Computer Science ISBN: 9783030227401
ICCS (2)
ICCS (2)
Biclustering of observations and the variables is of interest in many scientific disciplines; In a single set of data matrix it is handled through the singular value decomposition. Here we deal with two sets of variables: Response and predictor sets.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0e585074545a2b92c3ce0566d88c8aaf
https://doi.org/10.1007/978-3-030-22741-8_38
https://doi.org/10.1007/978-3-030-22741-8_38
