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Boda Kang
Boda Kang
Senior Analyst - Pricing and Modelling, AMP
Verified email at amp.com.au
Title
Cited by
Cited by
Year
Time consistent dynamic risk measures
K Boda, JA Filar
Mathematical Methods of Operations Research 63 (1), 169-186, 2006
3342006
Stochastic target hitting time and the problem of early retirement
K Boda, JA Filar, Y Lin, L Spanjers
IEEE Transactions on Automatic Control 49 (3), 409-419, 2004
2302004
The evaluation of American option prices under stochastic volatility and jump-diffusion dynamics using the method of lines
C Chiarella, B Kang, GH Meyer, A Ziogas
International Journal of Theoretical and Applied Finance 12 (03), 393-425, 2009
1002009
The Evaluation Of Barrier Option Prices Under Stochastic Volatility
C Chiarella, B Kang, GH Meyer
Research Paper Series, 2010
682010
The return–volatility relation in commodity futures markets
C Chiarella, B Kang, CS Nikitopoulos, TD Tô
Journal of Futures Markets 36 (2), 127-152, 2016
602016
The evaluation of American compound option prices under stochastic volatility and stochastic interest rates
C Chiarella, B Kang
Journal of Computational Finance, 2013
402013
Humps in the volatility structure of the crude oil futures market: New evidence
C Chiarella, B Kang, CS Nikitopoulos, TD Tô
Energy Economics 40, 989-1000, 2013
392013
Economic determinants of oil futures volatility: A term structure perspective
B Kang, CS Nikitopoulos, M Prokopczuk
Energy Economics 88, 104743, 2020
362020
Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
B Kang, J Ziveyi
Insurance: Mathematics and Economics 79, 43-56, 2018
312018
A comparative study on time-efficient methods to price compound options in the Heston model
C Chiarella, S Griebsch, B Kang
Computers & Mathematics with Applications 67 (6), 1254-1270, 2014
15*2014
Modelling and estimating the forward price curve in the energy market
C Chiarella, L Clewlow, B Kang
Quantitative Finance Research Centre, University of Technology Sydney …, 2009
132009
Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method
B Kang, Y Shen, D Zhu, J Ziveyi
Insurance: Mathematics and Economics 105, 96-127, 2022
122022
The Numerical Solution of the American Option Pricing Problem: Finite Difference and Transform Approaches
C Chiarella, B Kang, GH Meyer
World Scientific, 2014
122014
A numerical solution of optimal portfolio selection problem with general utility functions
G Ma, SP Zhu, B Kang
Computational Economics 55, 957-981, 2020
92020
Particle filters for Markov-switching stochastic volatility models
Y Bao, C Chiarella, B Kang
The Oxford Handbook of Computational Economics and Finance, 249-266, 2018
92018
The evaluation of multiple year gas sales agreement with regime switching
C Chiarella, L Clewlow, B Kang
International Journal of Theoretical and Applied Finance 19 (01), 1650005, 2016
9*2016
Pricing an American call under stochastic volatility and interest rates
B Kang, GH Meyer
Nonlinear Economic Dynamics and Financial Modelling: Essays in Honour of …, 2014
82014
The evaluation of gas swing contracts with regime switching
C Chiarella, L Clewlow, B Kang
Topics in Numerical Methods for Finance, 155-176, 2012
62012
Analysis of a multiple year gas sales agreement with make-up, carry-forward and indexation
W Dong, B Kang
Energy economics 79, 76-96, 2019
52019
Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units
B Dong, W, Kang
Quantitative Finance, 2020
3*2020
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