Yue Kuen KWOK
郭宇权
PhD in Applied Mathematics
Brown University, 1986

Professor
Department of Mathematics



(852) 2358 7418
maykwok@ust.hk
Room 3445
Personal Web

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Google Scholar
pk53Yj8AAAAJ

ORCID
0000-0002-3474-445X

Scopus ID
7101857749




Research Interest Publications Projects Teaching Assignment RPG Supervision Space used




Research Interest

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Financial mathematics
Computational mathematics
Financial engineering



Publications

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All Years 108 2022 0 2021 1 2020 2 2019 3 2018 2 2017 2 2016 98

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2021 1

Efficient risk measures calculations for generalized creditrisk + models
International Journal of Theoretical and Applied Finance, v. 24, (2), March 2021, article number 2150012
Huang, Zhenzhen; Kwok, Yue Kuen Article

2020 2

Real option signaling games of debt financing using equity guarantee swaps under asymmetric information
International Journal of Theoretical and Applied Finance, v. 23, (5), 1 August 2020, article number 2050036
Wang, Qiuqi; Kwok, Yue Kuen Article
Willow tree algorithms for pricing VIX derivatives under jump-diffusion dynamics of index and variance process
International Journal of Financial Engineering, v. 7, (1), 2020, article number 2050003
Ma, Chengfu; Xu, Wei; Kwok, Yue Kuen Article

2019 3

Saddlepoint approximations to tail expectations under non-Gaussian base distributions: option pricing applications
Journal of Applied Statistics, v. 47, (11), 2020
Zhang, Yuantao; Kwok, Yue Kuen Article
Signaling game models of equity financing under information asymmetry and finite project life
International Journal of Financial Engineering, v. 6, (1), March 2019, p. 38-38
Wang, Qiuqi; Kwok, Yue Kuen Article
Willow Tree Algorithms for Pricing Guaranteed Minimum Withdrawal Benefits Under Jump-diffusion and CEV Models
Quantitative Finance, v. 19, (10), 2019, p. 1741-1761
Dong, Bing; Xu, Wei; Kwok, Yue Kuen Article

2018 2

Real options signaling game models for dynamic acquisition under information asymmetry
Decisions in Economics and Finance, v. 41, (1), May 2018, p. 35-63
Leung, Chi Man; Kwok, Yue Kuen Article
Saddlepoint Approximation Methods in Financial Engineering
Saddlepoint Approximation Methods in Financial Engineering / by Yue Kuen Kwok and Wendong Zheng. Switzerland: Springer, 2018. SpringerBriefs in Quantitative Finance, v. 8784.
Kwok, Yue Kuen; Zheng, Wendong Book

2017 2

Numerical Pricing of CoCo Bonds with Parisian Trigger Feature Using the Fortet Method
International Journal of Theoretical and Applied Finance, v. 20, (7), November 2017, article number 1750046
Leung, Chi Man; Kwok, Yue Kuen Article
Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals
SIAM Journal on Financial Mathematics, v. 8, (1), November 2017, p. 804-840
Huang, Yao Tung; Zeng, Pingping; Kwok, Yue Kuen Article

2016 5

Enhanced Equity-credit Modelling for Contingent Convertibles
Quantitative Finance, v. 16, (10), October 2016, p. 1511-1527
Chung, Tszkin; Kwok, Yue Kuen Article
Pricing Bounds and Approximations for Discrete Arithmetic Asian Options Under Time-changed Lévy Processes
Quantitative Finance, v. 16, (9), September 2016, p. 1375-1391
Zeng, Pingping; Kwok, Yuekuen Article
Real Options Game Models of R&D Competition between Asymmetric Firms with Spillovers
Decisions in Economics and Finance, v. 39, (2), November 2016, p. 259-291
Leung, Chi Man; Kwok, Yue Kuen Article
Recursive Algorithms for Pricing Discrete Variance Options and Volatility Swaps Under Time-changed LéVY Processes
International Journal of Theoretical and Applied Finance, v. 19, (2), March 2016, article number 1650011
Zheng, Wendong; Yuen, Chihung; Kwok, Yue Kuen Article
Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees
Quantitative Finance, v. 16, (6), June 2016, p. 905-928
Huang, Yao Tung; Kwok, Yue Kuen Article

2015 5

FAST HILBERT TRANSFORM ALGORITHMS FOR PRICING DISCRETE TIMER OPTIONS UNDER STOCHASTIC VOLATILITY MODELS
International Journal of Theoretical and Applied Finance, v. 18, (7), November 2015, article number 1550046
Zeng, Pingping; Kwok, Yuekuen; Zheng, Wendong Article
Game Options Analysis of the Information Role of Call Policies in Convertible Bonds
Applied Mathematical Finance, v. 22, (4), July 2015, p. 297-335
Leung, Chi Man; Chen, Nan; Kwok, Yue Kuen Article
Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models
Applied Mathematical Finance, v. 22, (5), September 2015, p. 421-449
Yuen, Chi Hung; Zheng, Wen Dong; Kwok, Yue Kuen Article
Pricing options on discrete realized variance with partially exact and bounded approximations
Quantitative Finance, v. 15, (12), December 2015, p. 2011-2019
Zheng, Wendong; Kwok, Yue Kuen Article
Stochastic control model for R&D race in a mixed duopoly with spillovers and knowledge stocks
Decisions in Economics and Finance, v. 38, (2), October 2015, p. 177-195
Wang, Jingjing; Leung, Chi Man; Kwok, Yue Kuen Article

2014 6

Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
Journal of Economic Dynamics and Control, v. 45, 2014, p. 19-43
Huang, Yao Tung; Kwok, Yue Kuen Article
Closed form pricing formulas for discretely sampled generalized variance swaps
Mathematical Finance, v. 24, (4), October 2014, p. 855-881
Zheng, Wendong; Kwok, Yue Kuen Article
Game Option Models of Convertible Bonds: Determinants of Call Policies
Journal of Financial Engineering, v. 1, (4), December 2014
Kwok, Yue Kuen Article
Numerical Algorithms for Research and Development Stochastic Control Models
Journal of Computational Finance, v. 18, (1), September 2014, p. 3-29
Leung, Chi Man; Kwok, Yue Kuen Article
Pricing Barrier and Bermudan Style Options Under Time-Changed Levy Processes: Fast Hilbert Transform Approach
SIAM Journal on Scientific Computing, v. 36, (3), 2014
Zeng, Pingping; Kwok, Yue Kuen Article
Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance
Applied Mathematical Finance, v. 21, (1), 2014, p. 1-31
Zheng, W.; Kwok, Y.K. Article

2012 3

Fourier transform algorithms for pricing and hedging discretely sampled exotic variance products and volatility derivatives under additive processes
Journal of Computational Finance, v. 18, (2), December 2014, p. 3-30
Zheng, Wendong; Kwok, Yue Kuen Article
Patent-investment games under asymmetric information
European Journal of Operational Research, 223, 2, December 2012, p. 441-451
Leung, Chi Man; Kwok, Yue Kuen Article
Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
Quantitative finance, v. 12, (6), 2012, p. 933-941
Peng, Jingjiang; Leung, Kwai Sun; Kwok, Yue Kuen Article

2011 3

Convexity meets replication: Hedging of swap derivatives and annuity options
The Journal of Futures Markets, v. 31, (7), July 2011, p. 659-678
Zheng, Wendong; Kwok, Yue Kuen Article
OPTIMAL ARBITRAGE STRATEGIES ON STOCK INDEX FUTURES UNDER POSITION LIMITS
The Journal of Futures Markets, v. 31, (4), April 2011, p. 394-406
Dai, Min; Zhong, Yifei; Kwok, Yue Kuen Article
Real options game analysis of sleeping patents
Decisions in Economics and Finance, v. 34, (1), May 2011, p. 41-65
Leung, Chi Man; Kwok, Yue Kuen Article

2010 3

Lattice Methods For Path-Dependent Options
Encyclopedia of Quantitative Finance, 2010
Kwok, Yue Kuen Article
Applied Complex Variables for Scientists and Engineers
Applied Complex Variables for Scientists and Engineers / Yue Kuen Kwok. Cambridge: Cambridge University Press, 2010
Kwok, Yue Kuen Book
Efficient Options Pricing Using the Fast Fourier Transform
Handbook of Computational Finance / Edited by Jin-Chuan Duan, Wolfgang Karl H?rdle, James E. Gentle. Heidelberg: Springer, c2012, p. 579-604
Kwok, Yue Kuen; Leung, Kwai Sun; Wong, Hoi Ying Book chapter

2009 1

Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
Asia-Pacific Financial Markets, v. 16, (3), 2009, p. 169-181
Leung, Kwai Sun; Kwok, Yue Kuen Article

2008 5

Employee stock option valuation with repricing features
Quantitative finance, v. 8, (6), 2008, p. 561-569
Leung, Kwai Sun; Kwok, Yue Kuen Article
Finite-time dividend-ruin models
Insurance MATHEMATICS & Economics, v. 42, (1), 2008, FEB, p. 154-162
Leung, Kwai Sun; Kwok, Yue Kuen; Leung, Seng Yuen Article
Guaranteed minimum withdrawal benefit in variable annuities
Mathematical finance, v. 18, (4, Sp. Iss. SI), 2008, OCT, p. 595-611
Dai, Min; Kwok, Yue Kuen; Zong, Jianping Article
Optimal multiple stopping models of reload options and shout options
Journal of economic dynamics & control, v. 32, (7), 2008, JUL, p. 2269-2290
Dai, Min; Kwok, Yue Kuen Article
Mathematical models of financial derivatives
Mathematical models of financial derivatives / by Yue-Kuen Kwok
Kwok, Yue-Kuen Book

2007 5

Distribution of occupation times for constant elasticity of variance diffusion and the pricing of alpha-quantile options
Quantitative finance, v. 7, (1), 2007, FEB, p. 87-94
Leung, Kwai Sun; Kwok, Yue Kuen Article
Intensity-based framework and penalty formulation of optimal stopping problems
Journal of economic dynamics & control, v. 31, (12), 2007, DEC, p. 3860-3880
Dai, Min; Kwok, Yue Kuen; You, Hong Article
Real options in strategic investment games between two asymmetric firms
European Journal of Operational Research, v. 181, (2), 2007, SEP 1, p. 967-985
Kong, Jean J.; Kwok, Yue Kuen Article
Target redemption notes
JOURNAL OF FUTURES MARKETS, v. 27, (6), 2007, JUN, p. 535-554
Chu, Chi Chiu; Kwok, Yue Kuen Article
Valuation of guaranteed annuity options in affine term structure models
International Journal of Theoretical and Applied Finance, v. 10, (2), 2007, p. 363-387
Chu, Chi Chiu; Kwok, Yue Kuen Article

2006 4

American options with lookback payoff
SIAM journal on applied mathematics, v. 66, (1), 2006, p. 206-227
Dai, Min; Kwok, Yue Kuen Article
Characterization of optimal stopping regions of American Asian and lookback options
Mathematical finance, v. 16, (1), 2006, JAN, p. 63-82
Dai, Min; Kwok, Yue Kuen Article
Optimal execution strategy of liquidation
Journal of industrial and management optimization, v. 2, (2), 2006, MAY, p. 135-144
Lau, Ka Wo; Kwok, Yue Kuen Article
Pricing participating policies with rate guarantees
International Journal of Theoretical and Applied Finance, v. 9, (4), 2006, p. 517-532
Chu, Chi Chiu; Kwok, Yue Kuen Article

2005 6

Credit default swap valuation with counterparty risk
Kyoto Economics Review, vol. 25, p.25-45
Leung, Seng Yuen; Kwok, Yue Kuen Article
Integral price formulas for lookback options
Journal of Applied Mathematics, v. 2005, (2), 2005, p. 117-125
Xu, Chenglong; Kwok, Yue Kuen Article
Optimal policies of call with notice period requirement
Asia-Pacific Financial Markets, v. 12, (4), 2005, p. 353-373
Dai, Min; Kwok, Yue Kuen Article
Options with combined reset rights on strike and maturity
Journal of economic dynamics & control, v. 29, (9), 2005, SEP, p. 1495-1515
Dai, Min; Kwok, Yue Kuen Article
Valuation of employee reload options using utility maximization approach
International Journal of Theoretical and Applied Finance, v. 8, (5), 2005, p. 659-674
Lau, Ka W.; Kwok, Yue Kuen Article
Valuing employee reload options under the time vesting requirement
Quantitative finance, v. 5, (1), 2005, FEB, p. 61-69
Dai, Min; Kwok, Yue Kuen Article

2004 5

Anatomy of option features in convertible bonds
JOURNAL OF FUTURES MARKETS, v. 24, (6), 2004, JUN, p. 513-532
Lau, Ka W.; Kwok, Yue Kuen Article
Knock-in American options
JOURNAL OF FUTURES MARKETS, v. 24, (2), 2004, FEB, p. 179-192
Dai, Min; Kwok, Yue Kuen Article
Optimal shouting policies of options with strike reset right
Mathematical finance, v. 14, (3), 2004, JUL, p. 383-401
Dai, Min; Kwok, Yue Kuen; Wu, Li Xin Article
Quanto lookback options
Mathematical finance, v. 14, (3), 2004, JUL, p. 445-467
Dai, Min; Wong, Hoi Ying; Kwok, Yue Kuen Article
Reset and withdrawal rights in dynamic fund protection
Insurance MATHEMATICS & Economics, v. 34, (2), 2004, APR 19, p. 273-295
Chu, Chi Chiu; Kwok, Yue Kuen Article

2003 9

American currency forward

Kwok, Yue Kuen; Lau, Ka Wo Article
Discussion on pricing perpetual fund protection with withdrawal option
North American Actuarial Journal, 7(2), 17-22
Chu, Chi Chiu; Kwok, Yue Kuen Article
Interaction of the conversion and call rights

Kwok, Yue Kuen Article
Jump diffusion models for risky debts: Quality spread differentials
International Journal of Theoretical and Applied Finance, v. 6, (6), 2003, p. 655-662
Wong, Hoi Ying; Kwok, Yue Kuen Article
Multi-asset barrier options and occupation time derivatives
Applied Mathematical Finance, v. 10, (3), 2003, p. 245-266
Wong, Hoi Ying; Kwok, Yue Kuen Article
No arbitrage approach for pricing credit spread derivatives
Journal of derivatives, spring, 51-64
Chu, Chi Chiu; Kwok, Yue Kuen Article
Options with multiple reset rights
International Journal of Theoretical and Applied Finance, v. 6, (6), 2003, p. 637-653
Dai, Min; Kwok, Yue Kuen; Wu, Li Xin Article
Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks
Review of Derivatives Research, v. 6, (2), 2003, p. 83-106
Wong, Hoi Ying; Kwok, Yue Kuen Article
Optimal calling policies in convertible bonds
2003 IEEE INTERNATIONAL CONFERENCE ON COMPUTATIONAL INTELLIGENCE FOR FINANCIAL ENGINEERING, PROCEEDINGS, 2003, p. 109-114
Lau, KW; Kwok, YK Conference paper

2002 2

Contingent claim approach for analyzing the credit risk of defaultable currency swaps
AMS/IP Studies in Advanced Mathematics, 29, 79-92
Yu, Hong; Kwok, Yue Kuen Article
Applied Complex Variables for Scientists and Engineers
Applied Complex Variables for Scientists and Engineers / Yue Kuen Kwok. Cambridge: Cambridge University Press, 2002
Kwok, Yue Kuen Book

2001 4

Accuracy and reliability considerations of option pricing algorithms
JOURNAL OF FUTURES MARKETS, v. 21, (10), 2001, OCT, p. 875-903
Kwok, Yue Kuen; Lau, Ka W. Article
Early exercise policies of American floating strike and fixed strike lookback options
Nonlinear Analysis: Theory, Methods & Applications, v. 47, (7), August 2001, p. 4591-4602
Yu, Hong; Kwok, Yue Kuen; Wu, Li Xin Article
Pricing algorithms for options with exotic path dependence
Journal of Derivatives, 9, (1), 2001 Fall, p.28-38
Kwok, Yue Kuen; Lau, Ka Wo Article
Pricing algorithms of multivariate path dependent options
Journal of complexity, v. 17, (4), 2001, DEC, p. 773-794
Kwok, Yue Kuen; Wong, Hoi Ying; Lau, Ka W. Article

2000 1

Effects of callable feature on early exercise policy
Review of Derivatives Research, v. 4, (2), 2000, p. 189-211
Kwok, Yue Kuen; Wu, Li Xin Article

1999 1

Numerical simulation of principal tidal constituents in the South China Sea, Gulf of Tonkin and Gulf of Thailand
Continental shelf research, v. 19, (7), 1999, JUN, p. 845-869
Fang, Guo Hong; Kwok, Yue Kuen; Yu, Kejun; Zhu, Yao Hua Article

1997 3

Convergence Analysis of a Staggered Pressure Correction Scheme for Viscous Incompressible Flows
Numerical Methods for Partial Differential Equations, v. 13, (5), 1997, p. 459-482
Zhang, Yong Dong; Kwok, Yue Kuen Article
Second order projection algorithms for viscous incompressible flow simulation
International journal of computational fluid dynamics, v. 8, (3), 1997, p. 215-220
Luk, ST; Kwok, Yue Kuen Article
Vortex Dynamics in the Studies of Looping in Tropical Cyclone Tracks
Fluid Dynamics Research, v. 21, (1), July 1997, p. 57-71
Li, Jiachun; Kwok, Yue Kuen; Fung, Jimmy Chi Hung Article

1996 2

Accuracy and Stability Analysis of Numerical Schemes for the Shallow Water Model
Numerical Methods for Partial Differential Equations, v. 12, (1), 1996, p. 85-98
Kwok, Yue Kuen Article
Numerical simulation of electrochemical diffusion-migration model with reaction at electrodes
Computer methods in applied mechanics and engineering, v. 132, (3-4), 1996, JUN 1, p. 305-317
Kwok, Yue Kuen; Wu, Charles C.K. Article

1995 5

Fourier Analysis of Iterative Schemes for Solving the Biharmonic Equation
International Journal of Computer Mathematics, v. 58, (1-2), 1995, p. 95-101
Kwok, Yue Kuen Article
Fractional Step Algorithm for Solving a Multi‐Dimensional Diffusion‐Migration Equation
Numerical Methods for Partial Differential Equations, v. 11, (4), 1995, p. 389-397
Kwok, Yue Kuen; Wu, Charles C.K. Article
LINEAR HYDRODYNAMICAL STABILITY OF 2-LAYER INCLINED FLOW WITH VISCOSITY AND DENSITY STRATIFICATIONS
IMA journal of applied mathematics, v. 54, (3), 1995, p. 245-256
WU, CCK; KWOK, YK Article
Numerical Quadrature Formulas through the Theory of Analytic Functions
International Journal of Mathematical Education in Science and Technology, v. 26, (1), 1995, p. 37-44
Kwok, Yue Kuen; Tam, Kinkiu Article
First Asian Computational Fluid Dynamics Conference. Hong Kong, January 1995. Volumes 1, 2 & 3

Hui, W.H.; Kwok, Yue Kuen; Chasnov, J.R. Conference paper

1993 4

Gravity due to a body with rotational symmetry about a vertical axis
Geophysics, Volume 58, Issue 2, 1993, Pages 298-306
Kwok, Yue Kuen; Beyer, Larry A. Article
Linearized stability analysis of staggered-grid difference schemes for multidimensional viscous incompressible flows
Numerical Methods for Partial Differential Equations, v9, Issue 3, May 1993, Pages 313-322
Kwok, Yue Kuen; Tam, Kin Kiu Article
Modified quadrature formula for integrand with nearby poles
Applied mathematics letters, v. 6, (3), 1993, MAY, p. 63-65
Kwok, Yue Kuen; TAM, Kin Kiu Article
Stability analysis of three-level difference schemes for initial-boundary problems for multidimensional convective-diffusion equations
Communications in numerical methods in engineering, v. 9, (7), 1993, JUL, p. 595-605
Kwok, Yue Kuen; Tam, Kin Hiu Article

1992 2

Frequency domain expressions for surface and borehole gravity potential due to two- and three-dimensional mass models
Pure and applied geophysics, v. 139, (2), 1992, p. 241-253
Kwok, Yue Kuen Article
Stability analysis of six-point finite difference schemes for the constant coefficient convective-diffusion equation
Computers & mathematics with applications, v. 23, (12), 1992, p. 3-11
Kwok, Yue-Kuen Article

1991 8

Analysis of computer extended series
Proceedings of International Conference on Scientific Computation, Hang Zhou, 1991, p. 56-65
Kwok, Yue-Kuen Article
Applications of MACSYMA to Solutions of Ordinary Differential Equations
International Journal of Mathematical Education in Science and Technology, v. 22, (6), Nov 1991, p. 877-888
Kwok, Yue-Kuen Article
Contour integrals for gravity computation of horizontal 2 1 2-D bodies with variable density
Applied mathematical modelling, v. 15, (2), 1991, FEB, p. 98-103
Kwok, Yue Kuen Article
Gravity gradient tensors due to a polyhedron with polygonal facets
Geophysical prospecting, v. 39, (3), 1991, APR, p. 435-443
Kwok, Yue Kuen Article
Location and structure of the nearest singularity of a perturbation series
Communications in Applied Numerical Methods, v. 7, 1991, p. 19-28
Kwok, Yue-Kuen Article
PADE AND UPWINDING FINITE-DIFFERENCE SCHEMES FOR THE QUANTUM-MECHANICAL EQUATION OF MOTION
Communications in applied numerical methods, v. 7, (8), 1991, NOV, p. 639-647
Kwok, Yue Kuen; Barthez, Daniel Article
Singularities in gravity computation for vertical cylinders and prisms
Geophysical Journal, v. 104, 1991, p. 1-10
Kwok, Yue-Kuen Article
Theoretical considerations for finite difference algorithms for simulation of gas-particle flows
Conference Proceedings of Asian Pacific Conference on Computational Mechanics, v. 2, 1991, p. 1583-1588
Kwok, Yue-Kuen Conference paper

1990 1

The use of the Euler functions for error estimates of the trapezoidal and Simpson's quadratures
International Journal of Mathematical Education in Science and Technology, v. 21, (6), 1990, p. 863-870
Kwok, Yue-Kuen Article

1989 4

A regular perturbation method for subcritical flow over a two-dimensional airfoil
IMA Journal of Applied Mathematics, v. 43, (1), 1989, p. 71-81
Kwok, Yue-Kuen Article
An Algorithm for the numerical inversion of Laplace transforms
Inverse Problems, v. 5, (6), 1989, p. 1089-1095
Kwok, Yue-Kuen; Barthez, Daniel Article
Conjugate complex variables method for the computation of gravity anomalies
Geophysics, v. 54, 1989, p. 1629-1637
Kwok, Yue-Kuen Article
Motion of an artificial satellite about the earth
UMAP Module 695, 1989
Kwok, Yue-Kuen Article

1987 1

On some aspects of the transonic controversy
SIAM Journal of Applied Math., v. 47, 1987, p. 279-295
Kwok, Yue-Kuen; Sirovich, Lawrence Article


Expand All Collapse All


Article 1

Efficient risk measures calculations for generalized creditrisk + models
International Journal of Theoretical and Applied Finance, v. 24, (2), March 2021, article number 2150012
Huang, Zhenzhen; Kwok, Yue Kuen


Expand All Collapse All


Article 2

Real option signaling games of debt financing using equity guarantee swaps under asymmetric information
International Journal of Theoretical and Applied Finance, v. 23, (5), 1 August 2020, article number 2050036
Wang, Qiuqi; Kwok, Yue Kuen
Willow tree algorithms for pricing VIX derivatives under jump-diffusion dynamics of index and variance process
International Journal of Financial Engineering, v. 7, (1), 2020, article number 2050003
Ma, Chengfu; Xu, Wei; Kwok, Yue Kuen


Expand All Collapse All


Article 3

Saddlepoint approximations to tail expectations under non-Gaussian base distributions: option pricing applications
Journal of Applied Statistics, v. 47, (11), 2020
Zhang, Yuantao; Kwok, Yue Kuen
Signaling game models of equity financing under information asymmetry and finite project life
International Journal of Financial Engineering, v. 6, (1), March 2019, p. 38-38
Wang, Qiuqi; Kwok, Yue Kuen
Willow Tree Algorithms for Pricing Guaranteed Minimum Withdrawal Benefits Under Jump-diffusion and CEV Models
Quantitative Finance, v. 19, (10), 2019, p. 1741-1761
Dong, Bing; Xu, Wei; Kwok, Yue Kuen


Expand All Collapse All


Article 1

Real options signaling game models for dynamic acquisition under information asymmetry
Decisions in Economics and Finance, v. 41, (1), May 2018, p. 35-63
Leung, Chi Man; Kwok, Yue Kuen

Book 1

Saddlepoint Approximation Methods in Financial Engineering
Saddlepoint Approximation Methods in Financial Engineering / by Yue Kuen Kwok and Wendong Zheng. Switzerland: Springer, 2018. SpringerBriefs in Quantitative Finance, v. 8784.
Kwok, Yue Kuen; Zheng, Wendong


Expand All Collapse All


Article 2

Numerical Pricing of CoCo Bonds with Parisian Trigger Feature Using the Fortet Method
International Journal of Theoretical and Applied Finance, v. 20, (7), November 2017, article number 1750046
Leung, Chi Man; Kwok, Yue Kuen
Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals
SIAM Journal on Financial Mathematics, v. 8, (1), November 2017, p. 804-840
Huang, Yao Tung; Zeng, Pingping; Kwok, Yue Kuen


Expand All Collapse All


Article 5

Enhanced Equity-credit Modelling for Contingent Convertibles
Quantitative Finance, v. 16, (10), October 2016, p. 1511-1527
Chung, Tszkin; Kwok, Yue Kuen
Pricing Bounds and Approximations for Discrete Arithmetic Asian Options Under Time-changed Lévy Processes
Quantitative Finance, v. 16, (9), September 2016, p. 1375-1391
Zeng, Pingping; Kwok, Yuekuen
Real Options Game Models of R&D Competition between Asymmetric Firms with Spillovers
Decisions in Economics and Finance, v. 39, (2), November 2016, p. 259-291
Leung, Chi Man; Kwok, Yue Kuen
Recursive Algorithms for Pricing Discrete Variance Options and Volatility Swaps Under Time-changed LéVY Processes
International Journal of Theoretical and Applied Finance, v. 19, (2), March 2016, article number 1650011
Zheng, Wendong; Yuen, Chihung; Kwok, Yue Kuen
Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees
Quantitative Finance, v. 16, (6), June 2016, p. 905-928
Huang, Yao Tung; Kwok, Yue Kuen


Expand All Collapse All


Article 5

FAST HILBERT TRANSFORM ALGORITHMS FOR PRICING DISCRETE TIMER OPTIONS UNDER STOCHASTIC VOLATILITY MODELS
International Journal of Theoretical and Applied Finance, v. 18, (7), November 2015, article number 1550046
Zeng, Pingping; Kwok, Yuekuen; Zheng, Wendong
Game Options Analysis of the Information Role of Call Policies in Convertible Bonds
Applied Mathematical Finance, v. 22, (4), July 2015, p. 297-335
Leung, Chi Man; Chen, Nan; Kwok, Yue Kuen
Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models
Applied Mathematical Finance, v. 22, (5), September 2015, p. 421-449
Yuen, Chi Hung; Zheng, Wen Dong; Kwok, Yue Kuen
Pricing options on discrete realized variance with partially exact and bounded approximations
Quantitative Finance, v. 15, (12), December 2015, p. 2011-2019
Zheng, Wendong; Kwok, Yue Kuen
Stochastic control model for R&D race in a mixed duopoly with spillovers and knowledge stocks
Decisions in Economics and Finance, v. 38, (2), October 2015, p. 177-195
Wang, Jingjing; Leung, Chi Man; Kwok, Yue Kuen


Expand All Collapse All


Article 6

Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
Journal of Economic Dynamics and Control, v. 45, 2014, p. 19-43
Huang, Yao Tung; Kwok, Yue Kuen
Closed form pricing formulas for discretely sampled generalized variance swaps
Mathematical Finance, v. 24, (4), October 2014, p. 855-881
Zheng, Wendong; Kwok, Yue Kuen
Game Option Models of Convertible Bonds: Determinants of Call Policies
Journal of Financial Engineering, v. 1, (4), December 2014
Kwok, Yue Kuen
Numerical Algorithms for Research and Development Stochastic Control Models
Journal of Computational Finance, v. 18, (1), September 2014, p. 3-29
Leung, Chi Man; Kwok, Yue Kuen
Pricing Barrier and Bermudan Style Options Under Time-Changed Levy Processes: Fast Hilbert Transform Approach
SIAM Journal on Scientific Computing, v. 36, (3), 2014
Zeng, Pingping; Kwok, Yue Kuen
Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance
Applied Mathematical Finance, v. 21, (1), 2014, p. 1-31
Zheng, W.; Kwok, Y.K.


Expand All Collapse All


Article 3

Fourier transform algorithms for pricing and hedging discretely sampled exotic variance products and volatility derivatives under additive processes
Journal of Computational Finance, v. 18, (2), December 2014, p. 3-30
Zheng, Wendong; Kwok, Yue Kuen
Patent-investment games under asymmetric information
European Journal of Operational Research, 223, 2, December 2012, p. 441-451
Leung, Chi Man; Kwok, Yue Kuen
Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
Quantitative finance, v. 12, (6), 2012, p. 933-941
Peng, Jingjiang; Leung, Kwai Sun; Kwok, Yue Kuen


Expand All Collapse All


Article 3

Convexity meets replication: Hedging of swap derivatives and annuity options
The Journal of Futures Markets, v. 31, (7), July 2011, p. 659-678
Zheng, Wendong; Kwok, Yue Kuen
OPTIMAL ARBITRAGE STRATEGIES ON STOCK INDEX FUTURES UNDER POSITION LIMITS
The Journal of Futures Markets, v. 31, (4), April 2011, p. 394-406
Dai, Min; Zhong, Yifei; Kwok, Yue Kuen
Real options game analysis of sleeping patents
Decisions in Economics and Finance, v. 34, (1), May 2011, p. 41-65
Leung, Chi Man; Kwok, Yue Kuen


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Article 1

Lattice Methods For Path-Dependent Options
Encyclopedia of Quantitative Finance, 2010
Kwok, Yue Kuen

Book 1

Applied Complex Variables for Scientists and Engineers
Applied Complex Variables for Scientists and Engineers / Yue Kuen Kwok. Cambridge: Cambridge University Press, 2010
Kwok, Yue Kuen

Book chapter 1

Efficient Options Pricing Using the Fast Fourier Transform
Handbook of Computational Finance / Edited by Jin-Chuan Duan, Wolfgang Karl H?rdle, James E. Gentle. Heidelberg: Springer, c2012, p. 579-604
Kwok, Yue Kuen; Leung, Kwai Sun; Wong, Hoi Ying


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Article 1

Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
Asia-Pacific Financial Markets, v. 16, (3), 2009, p. 169-181
Leung, Kwai Sun; Kwok, Yue Kuen


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Article 4

Employee stock option valuation with repricing features
Quantitative finance, v. 8, (6), 2008, p. 561-569
Leung, Kwai Sun; Kwok, Yue Kuen
Finite-time dividend-ruin models
Insurance MATHEMATICS & Economics, v. 42, (1), 2008, FEB, p. 154-162
Leung, Kwai Sun; Kwok, Yue Kuen; Leung, Seng Yuen
Guaranteed minimum withdrawal benefit in variable annuities
Mathematical finance, v. 18, (4, Sp. Iss. SI), 2008, OCT, p. 595-611
Dai, Min; Kwok, Yue Kuen; Zong, Jianping
Optimal multiple stopping models of reload options and shout options
Journal of economic dynamics & control, v. 32, (7), 2008, JUL, p. 2269-2290
Dai, Min; Kwok, Yue Kuen

Book 1

Mathematical models of financial derivatives
Mathematical models of financial derivatives / by Yue-Kuen Kwok
Kwok, Yue-Kuen


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Article 5

Distribution of occupation times for constant elasticity of variance diffusion and the pricing of alpha-quantile options
Quantitative finance, v. 7, (1), 2007, FEB, p. 87-94
Leung, Kwai Sun; Kwok, Yue Kuen
Intensity-based framework and penalty formulation of optimal stopping problems
Journal of economic dynamics & control, v. 31, (12), 2007, DEC, p. 3860-3880
Dai, Min; Kwok, Yue Kuen; You, Hong
Real options in strategic investment games between two asymmetric firms
European Journal of Operational Research, v. 181, (2), 2007, SEP 1, p. 967-985
Kong, Jean J.; Kwok, Yue Kuen
Target redemption notes
JOURNAL OF FUTURES MARKETS, v. 27, (6), 2007, JUN, p. 535-554
Chu, Chi Chiu; Kwok, Yue Kuen
Valuation of guaranteed annuity options in affine term structure models
International Journal of Theoretical and Applied Finance, v. 10, (2), 2007, p. 363-387
Chu, Chi Chiu; Kwok, Yue Kuen


Expand All Collapse All


Article 4

American options with lookback payoff
SIAM journal on applied mathematics, v. 66, (1), 2006, p. 206-227
Dai, Min; Kwok, Yue Kuen
Characterization of optimal stopping regions of American Asian and lookback options
Mathematical finance, v. 16, (1), 2006, JAN, p. 63-82
Dai, Min; Kwok, Yue Kuen
Optimal execution strategy of liquidation
Journal of industrial and management optimization, v. 2, (2), 2006, MAY, p. 135-144
Lau, Ka Wo; Kwok, Yue Kuen
Pricing participating policies with rate guarantees
International Journal of Theoretical and Applied Finance, v. 9, (4), 2006, p. 517-532
Chu, Chi Chiu; Kwok, Yue Kuen


Expand All Collapse All


Article 6

Credit default swap valuation with counterparty risk
Kyoto Economics Review, vol. 25, p.25-45
Leung, Seng Yuen; Kwok, Yue Kuen
Integral price formulas for lookback options
Journal of Applied Mathematics, v. 2005, (2), 2005, p. 117-125
Xu, Chenglong; Kwok, Yue Kuen
Optimal policies of call with notice period requirement
Asia-Pacific Financial Markets, v. 12, (4), 2005, p. 353-373
Dai, Min; Kwok, Yue Kuen
Options with combined reset rights on strike and maturity
Journal of economic dynamics & control, v. 29, (9), 2005, SEP, p. 1495-1515
Dai, Min; Kwok, Yue Kuen
Valuation of employee reload options using utility maximization approach
International Journal of Theoretical and Applied Finance, v. 8, (5), 2005, p. 659-674
Lau, Ka W.; Kwok, Yue Kuen
Valuing employee reload options under the time vesting requirement
Quantitative finance, v. 5, (1), 2005, FEB, p. 61-69
Dai, Min; Kwok, Yue Kuen


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Article 5

Anatomy of option features in convertible bonds
JOURNAL OF FUTURES MARKETS, v. 24, (6), 2004, JUN, p. 513-532
Lau, Ka W.; Kwok, Yue Kuen
Knock-in American options
JOURNAL OF FUTURES MARKETS, v. 24, (2), 2004, FEB, p. 179-192
Dai, Min; Kwok, Yue Kuen
Optimal shouting policies of options with strike reset right
Mathematical finance, v. 14, (3), 2004, JUL, p. 383-401
Dai, Min; Kwok, Yue Kuen; Wu, Li Xin
Quanto lookback options
Mathematical finance, v. 14, (3), 2004, JUL, p. 445-467
Dai, Min; Wong, Hoi Ying; Kwok, Yue Kuen
Reset and withdrawal rights in dynamic fund protection
Insurance MATHEMATICS & Economics, v. 34, (2), 2004, APR 19, p. 273-295
Chu, Chi Chiu; Kwok, Yue Kuen


Expand All Collapse All


Article 8

American currency forward

Kwok, Yue Kuen; Lau, Ka Wo
Discussion on pricing perpetual fund protection with withdrawal option
North American Actuarial Journal, 7(2), 17-22
Chu, Chi Chiu; Kwok, Yue Kuen
Interaction of the conversion and call rights

Kwok, Yue Kuen
Jump diffusion models for risky debts: Quality spread differentials
International Journal of Theoretical and Applied Finance, v. 6, (6), 2003, p. 655-662
Wong, Hoi Ying; Kwok, Yue Kuen
Multi-asset barrier options and occupation time derivatives
Applied Mathematical Finance, v. 10, (3), 2003, p. 245-266
Wong, Hoi Ying; Kwok, Yue Kuen
No arbitrage approach for pricing credit spread derivatives
Journal of derivatives, spring, 51-64
Chu, Chi Chiu; Kwok, Yue Kuen
Options with multiple reset rights
International Journal of Theoretical and Applied Finance, v. 6, (6), 2003, p. 637-653
Dai, Min; Kwok, Yue Kuen; Wu, Li Xin
Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks
Review of Derivatives Research, v. 6, (2), 2003, p. 83-106
Wong, Hoi Ying; Kwok, Yue Kuen

Conference paper 1

Optimal calling policies in convertible bonds
2003 IEEE INTERNATIONAL CONFERENCE ON COMPUTATIONAL INTELLIGENCE FOR FINANCIAL ENGINEERING, PROCEEDINGS, 2003, p. 109-114
Lau, KW; Kwok, YK


Expand All Collapse All


Article 1

Contingent claim approach for analyzing the credit risk of defaultable currency swaps
AMS/IP Studies in Advanced Mathematics, 29, 79-92
Yu, Hong; Kwok, Yue Kuen

Book 1

Applied Complex Variables for Scientists and Engineers
Applied Complex Variables for Scientists and Engineers / Yue Kuen Kwok. Cambridge: Cambridge University Press, 2002
Kwok, Yue Kuen


Expand All Collapse All


Article 4

Accuracy and reliability considerations of option pricing algorithms
JOURNAL OF FUTURES MARKETS, v. 21, (10), 2001, OCT, p. 875-903
Kwok, Yue Kuen; Lau, Ka W.
Early exercise policies of American floating strike and fixed strike lookback options
Nonlinear Analysis: Theory, Methods & Applications, v. 47, (7), August 2001, p. 4591-4602
Yu, Hong; Kwok, Yue Kuen; Wu, Li Xin
Pricing algorithms for options with exotic path dependence
Journal of Derivatives, 9, (1), 2001 Fall, p.28-38
Kwok, Yue Kuen; Lau, Ka Wo
Pricing algorithms of multivariate path dependent options
Journal of complexity, v. 17, (4), 2001, DEC, p. 773-794
Kwok, Yue Kuen; Wong, Hoi Ying; Lau, Ka W.


Expand All Collapse All


Article 1

Effects of callable feature on early exercise policy
Review of Derivatives Research, v. 4, (2), 2000, p. 189-211
Kwok, Yue Kuen; Wu, Li Xin


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Article 1

Numerical simulation of principal tidal constituents in the South China Sea, Gulf of Tonkin and Gulf of Thailand
Continental shelf research, v. 19, (7), 1999, JUN, p. 845-869
Fang, Guo Hong; Kwok, Yue Kuen; Yu, Kejun; Zhu, Yao Hua


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Article 3

Convergence Analysis of a Staggered Pressure Correction Scheme for Viscous Incompressible Flows
Numerical Methods for Partial Differential Equations, v. 13, (5), 1997, p. 459-482
Zhang, Yong Dong; Kwok, Yue Kuen
Second order projection algorithms for viscous incompressible flow simulation
International journal of computational fluid dynamics, v. 8, (3), 1997, p. 215-220
Luk, ST; Kwok, Yue Kuen
Vortex Dynamics in the Studies of Looping in Tropical Cyclone Tracks
Fluid Dynamics Research, v. 21, (1), July 1997, p. 57-71
Li, Jiachun; Kwok, Yue Kuen; Fung, Jimmy Chi Hung


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Article 2

Accuracy and Stability Analysis of Numerical Schemes for the Shallow Water Model
Numerical Methods for Partial Differential Equations, v. 12, (1), 1996, p. 85-98
Kwok, Yue Kuen
Numerical simulation of electrochemical diffusion-migration model with reaction at electrodes
Computer methods in applied mechanics and engineering, v. 132, (3-4), 1996, JUN 1, p. 305-317
Kwok, Yue Kuen; Wu, Charles C.K.


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Article 4

Fourier Analysis of Iterative Schemes for Solving the Biharmonic Equation
International Journal of Computer Mathematics, v. 58, (1-2), 1995, p. 95-101
Kwok, Yue Kuen
Fractional Step Algorithm for Solving a Multi‐Dimensional Diffusion‐Migration Equation
Numerical Methods for Partial Differential Equations, v. 11, (4), 1995, p. 389-397
Kwok, Yue Kuen; Wu, Charles C.K.
LINEAR HYDRODYNAMICAL STABILITY OF 2-LAYER INCLINED FLOW WITH VISCOSITY AND DENSITY STRATIFICATIONS
IMA journal of applied mathematics, v. 54, (3), 1995, p. 245-256
WU, CCK; KWOK, YK
Numerical Quadrature Formulas through the Theory of Analytic Functions
International Journal of Mathematical Education in Science and Technology, v. 26, (1), 1995, p. 37-44
Kwok, Yue Kuen; Tam, Kinkiu

Conference paper 1

First Asian Computational Fluid Dynamics Conference. Hong Kong, January 1995. Volumes 1, 2 & 3

Hui, W.H.; Kwok, Yue Kuen; Chasnov, J.R.


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Article 4

Gravity due to a body with rotational symmetry about a vertical axis
Geophysics, Volume 58, Issue 2, 1993, Pages 298-306
Kwok, Yue Kuen; Beyer, Larry A.
Linearized stability analysis of staggered-grid difference schemes for multidimensional viscous incompressible flows
Numerical Methods for Partial Differential Equations, v9, Issue 3, May 1993, Pages 313-322
Kwok, Yue Kuen; Tam, Kin Kiu
Modified quadrature formula for integrand with nearby poles
Applied mathematics letters, v. 6, (3), 1993, MAY, p. 63-65
Kwok, Yue Kuen; TAM, Kin Kiu
Stability analysis of three-level difference schemes for initial-boundary problems for multidimensional convective-diffusion equations
Communications in numerical methods in engineering, v. 9, (7), 1993, JUL, p. 595-605
Kwok, Yue Kuen; Tam, Kin Hiu


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Article 2

Frequency domain expressions for surface and borehole gravity potential due to two- and three-dimensional mass models
Pure and applied geophysics, v. 139, (2), 1992, p. 241-253
Kwok, Yue Kuen
Stability analysis of six-point finite difference schemes for the constant coefficient convective-diffusion equation
Computers & mathematics with applications, v. 23, (12), 1992, p. 3-11
Kwok, Yue-Kuen


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Article 7

Analysis of computer extended series
Proceedings of International Conference on Scientific Computation, Hang Zhou, 1991, p. 56-65
Kwok, Yue-Kuen
Applications of MACSYMA to Solutions of Ordinary Differential Equations
International Journal of Mathematical Education in Science and Technology, v. 22, (6), Nov 1991, p. 877-888
Kwok, Yue-Kuen
Contour integrals for gravity computation of horizontal 2 1 2-D bodies with variable density
Applied mathematical modelling, v. 15, (2), 1991, FEB, p. 98-103
Kwok, Yue Kuen
Gravity gradient tensors due to a polyhedron with polygonal facets
Geophysical prospecting, v. 39, (3), 1991, APR, p. 435-443
Kwok, Yue Kuen
Location and structure of the nearest singularity of a perturbation series
Communications in Applied Numerical Methods, v. 7, 1991, p. 19-28
Kwok, Yue-Kuen
PADE AND UPWINDING FINITE-DIFFERENCE SCHEMES FOR THE QUANTUM-MECHANICAL EQUATION OF MOTION
Communications in applied numerical methods, v. 7, (8), 1991, NOV, p. 639-647
Kwok, Yue Kuen; Barthez, Daniel
Singularities in gravity computation for vertical cylinders and prisms
Geophysical Journal, v. 104, 1991, p. 1-10
Kwok, Yue-Kuen

Conference paper 1

Theoretical considerations for finite difference algorithms for simulation of gas-particle flows
Conference Proceedings of Asian Pacific Conference on Computational Mechanics, v. 2, 1991, p. 1583-1588
Kwok, Yue-Kuen


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Article 1

The use of the Euler functions for error estimates of the trapezoidal and Simpson's quadratures
International Journal of Mathematical Education in Science and Technology, v. 21, (6), 1990, p. 863-870
Kwok, Yue-Kuen


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Article 4

A regular perturbation method for subcritical flow over a two-dimensional airfoil
IMA Journal of Applied Mathematics, v. 43, (1), 1989, p. 71-81
Kwok, Yue-Kuen
An Algorithm for the numerical inversion of Laplace transforms
Inverse Problems, v. 5, (6), 1989, p. 1089-1095
Kwok, Yue-Kuen; Barthez, Daniel
Conjugate complex variables method for the computation of gravity anomalies
Geophysics, v. 54, 1989, p. 1629-1637
Kwok, Yue-Kuen
Motion of an artificial satellite about the earth
UMAP Module 695, 1989
Kwok, Yue-Kuen


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Article 1

On some aspects of the transonic controversy
SIAM Journal of Applied Math., v. 47, 1987, p. 279-295
Kwok, Yue-Kuen; Sirovich, Lawrence


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2016 5

Enhanced Equity-credit Modelling for Contingent Convertibles
Quantitative Finance, v. 16, (10), October 2016, p. 1511-1527
Chung, Tszkin; Kwok, Yue Kuen Article
Pricing Bounds and Approximations for Discrete Arithmetic Asian Options Under Time-changed Lévy Processes
Quantitative Finance, v. 16, (9), September 2016, p. 1375-1391
Zeng, Pingping; Kwok, Yuekuen Article
Real Options Game Models of R&D Competition between Asymmetric Firms with Spillovers
Decisions in Economics and Finance, v. 39, (2), November 2016, p. 259-291
Leung, Chi Man; Kwok, Yue Kuen Article
Recursive Algorithms for Pricing Discrete Variance Options and Volatility Swaps Under Time-changed LéVY Processes
International Journal of Theoretical and Applied Finance, v. 19, (2), March 2016, article number 1650011
Zheng, Wendong; Yuen, Chihung; Kwok, Yue Kuen Article
Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees
Quantitative Finance, v. 16, (6), June 2016, p. 905-928
Huang, Yao Tung; Kwok, Yue Kuen Article

2015 5

FAST HILBERT TRANSFORM ALGORITHMS FOR PRICING DISCRETE TIMER OPTIONS UNDER STOCHASTIC VOLATILITY MODELS
International Journal of Theoretical and Applied Finance, v. 18, (7), November 2015, article number 1550046
Zeng, Pingping; Kwok, Yuekuen; Zheng, Wendong Article
Game Options Analysis of the Information Role of Call Policies in Convertible Bonds
Applied Mathematical Finance, v. 22, (4), July 2015, p. 297-335
Leung, Chi Man; Chen, Nan; Kwok, Yue Kuen Article
Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models
Applied Mathematical Finance, v. 22, (5), September 2015, p. 421-449
Yuen, Chi Hung; Zheng, Wen Dong; Kwok, Yue Kuen Article
Pricing options on discrete realized variance with partially exact and bounded approximations
Quantitative Finance, v. 15, (12), December 2015, p. 2011-2019
Zheng, Wendong; Kwok, Yue Kuen Article
Stochastic control model for R&D race in a mixed duopoly with spillovers and knowledge stocks
Decisions in Economics and Finance, v. 38, (2), October 2015, p. 177-195
Wang, Jingjing; Leung, Chi Man; Kwok, Yue Kuen Article

2014 6

Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
Journal of Economic Dynamics and Control, v. 45, 2014, p. 19-43
Huang, Yao Tung; Kwok, Yue Kuen Article
Closed form pricing formulas for discretely sampled generalized variance swaps
Mathematical Finance, v. 24, (4), October 2014, p. 855-881
Zheng, Wendong; Kwok, Yue Kuen Article
Game Option Models of Convertible Bonds: Determinants of Call Policies
Journal of Financial Engineering, v. 1, (4), December 2014
Kwok, Yue Kuen Article
Numerical Algorithms for Research and Development Stochastic Control Models
Journal of Computational Finance, v. 18, (1), September 2014, p. 3-29
Leung, Chi Man; Kwok, Yue Kuen Article
Pricing Barrier and Bermudan Style Options Under Time-Changed Levy Processes: Fast Hilbert Transform Approach
SIAM Journal on Scientific Computing, v. 36, (3), 2014
Zeng, Pingping; Kwok, Yue Kuen Article
Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance
Applied Mathematical Finance, v. 21, (1), 2014, p. 1-31
Zheng, W.; Kwok, Y.K. Article

2012 3

Fourier transform algorithms for pricing and hedging discretely sampled exotic variance products and volatility derivatives under additive processes
Journal of Computational Finance, v. 18, (2), December 2014, p. 3-30
Zheng, Wendong; Kwok, Yue Kuen Article
Patent-investment games under asymmetric information
European Journal of Operational Research, 223, 2, December 2012, p. 441-451
Leung, Chi Man; Kwok, Yue Kuen Article
Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
Quantitative finance, v. 12, (6), 2012, p. 933-941
Peng, Jingjiang; Leung, Kwai Sun; Kwok, Yue Kuen Article

2011 3

Convexity meets replication: Hedging of swap derivatives and annuity options
The Journal of Futures Markets, v. 31, (7), July 2011, p. 659-678
Zheng, Wendong; Kwok, Yue Kuen Article
OPTIMAL ARBITRAGE STRATEGIES ON STOCK INDEX FUTURES UNDER POSITION LIMITS
The Journal of Futures Markets, v. 31, (4), April 2011, p. 394-406
Dai, Min; Zhong, Yifei; Kwok, Yue Kuen Article
Real options game analysis of sleeping patents
Decisions in Economics and Finance, v. 34, (1), May 2011, p. 41-65
Leung, Chi Man; Kwok, Yue Kuen Article

2010 3

Lattice Methods For Path-Dependent Options
Encyclopedia of Quantitative Finance, 2010
Kwok, Yue Kuen Article
Applied Complex Variables for Scientists and Engineers
Applied Complex Variables for Scientists and Engineers / Yue Kuen Kwok. Cambridge: Cambridge University Press, 2010
Kwok, Yue Kuen Book
Efficient Options Pricing Using the Fast Fourier Transform
Handbook of Computational Finance / Edited by Jin-Chuan Duan, Wolfgang Karl H?rdle, James E. Gentle. Heidelberg: Springer, c2012, p. 579-604
Kwok, Yue Kuen; Leung, Kwai Sun; Wong, Hoi Ying Book chapter

2009 1

Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
Asia-Pacific Financial Markets, v. 16, (3), 2009, p. 169-181
Leung, Kwai Sun; Kwok, Yue Kuen Article

2008 5

Employee stock option valuation with repricing features
Quantitative finance, v. 8, (6), 2008, p. 561-569
Leung, Kwai Sun; Kwok, Yue Kuen Article
Finite-time dividend-ruin models
Insurance MATHEMATICS & Economics, v. 42, (1), 2008, FEB, p. 154-162
Leung, Kwai Sun; Kwok, Yue Kuen; Leung, Seng Yuen Article
Guaranteed minimum withdrawal benefit in variable annuities
Mathematical finance, v. 18, (4, Sp. Iss. SI), 2008, OCT, p. 595-611
Dai, Min; Kwok, Yue Kuen; Zong, Jianping Article
Optimal multiple stopping models of reload options and shout options
Journal of economic dynamics & control, v. 32, (7), 2008, JUL, p. 2269-2290
Dai, Min; Kwok, Yue Kuen Article
Mathematical models of financial derivatives
Mathematical models of financial derivatives / by Yue-Kuen Kwok
Kwok, Yue-Kuen Book

2007 5

Distribution of occupation times for constant elasticity of variance diffusion and the pricing of alpha-quantile options
Quantitative finance, v. 7, (1), 2007, FEB, p. 87-94
Leung, Kwai Sun; Kwok, Yue Kuen Article
Intensity-based framework and penalty formulation of optimal stopping problems
Journal of economic dynamics & control, v. 31, (12), 2007, DEC, p. 3860-3880
Dai, Min; Kwok, Yue Kuen; You, Hong Article
Real options in strategic investment games between two asymmetric firms
European Journal of Operational Research, v. 181, (2), 2007, SEP 1, p. 967-985
Kong, Jean J.; Kwok, Yue Kuen Article
Target redemption notes
JOURNAL OF FUTURES MARKETS, v. 27, (6), 2007, JUN, p. 535-554
Chu, Chi Chiu; Kwok, Yue Kuen Article
Valuation of guaranteed annuity options in affine term structure models
International Journal of Theoretical and Applied Finance, v. 10, (2), 2007, p. 363-387
Chu, Chi Chiu; Kwok, Yue Kuen Article

2006 4

American options with lookback payoff
SIAM journal on applied mathematics, v. 66, (1), 2006, p. 206-227
Dai, Min; Kwok, Yue Kuen Article
Characterization of optimal stopping regions of American Asian and lookback options
Mathematical finance, v. 16, (1), 2006, JAN, p. 63-82
Dai, Min; Kwok, Yue Kuen Article
Optimal execution strategy of liquidation
Journal of industrial and management optimization, v. 2, (2), 2006, MAY, p. 135-144
Lau, Ka Wo; Kwok, Yue Kuen Article
Pricing participating policies with rate guarantees
International Journal of Theoretical and Applied Finance, v. 9, (4), 2006, p. 517-532
Chu, Chi Chiu; Kwok, Yue Kuen Article

2005 6

Credit default swap valuation with counterparty risk
Kyoto Economics Review, vol. 25, p.25-45
Leung, Seng Yuen; Kwok, Yue Kuen Article
Integral price formulas for lookback options
Journal of Applied Mathematics, v. 2005, (2), 2005, p. 117-125
Xu, Chenglong; Kwok, Yue Kuen Article
Optimal policies of call with notice period requirement
Asia-Pacific Financial Markets, v. 12, (4), 2005, p. 353-373
Dai, Min; Kwok, Yue Kuen Article
Options with combined reset rights on strike and maturity
Journal of economic dynamics & control, v. 29, (9), 2005, SEP, p. 1495-1515
Dai, Min; Kwok, Yue Kuen Article
Valuation of employee reload options using utility maximization approach
International Journal of Theoretical and Applied Finance, v. 8, (5), 2005, p. 659-674
Lau, Ka W.; Kwok, Yue Kuen Article
Valuing employee reload options under the time vesting requirement
Quantitative finance, v. 5, (1), 2005, FEB, p. 61-69
Dai, Min; Kwok, Yue Kuen Article

2004 5

Anatomy of option features in convertible bonds
JOURNAL OF FUTURES MARKETS, v. 24, (6), 2004, JUN, p. 513-532
Lau, Ka W.; Kwok, Yue Kuen Article
Knock-in American options
JOURNAL OF FUTURES MARKETS, v. 24, (2), 2004, FEB, p. 179-192
Dai, Min; Kwok, Yue Kuen Article
Optimal shouting policies of options with strike reset right
Mathematical finance, v. 14, (3), 2004, JUL, p. 383-401
Dai, Min; Kwok, Yue Kuen; Wu, Li Xin Article
Quanto lookback options
Mathematical finance, v. 14, (3), 2004, JUL, p. 445-467
Dai, Min; Wong, Hoi Ying; Kwok, Yue Kuen Article
Reset and withdrawal rights in dynamic fund protection
Insurance MATHEMATICS & Economics, v. 34, (2), 2004, APR 19, p. 273-295
Chu, Chi Chiu; Kwok, Yue Kuen Article

2003 9

American currency forward

Kwok, Yue Kuen; Lau, Ka Wo Article
Discussion on pricing perpetual fund protection with withdrawal option
North American Actuarial Journal, 7(2), 17-22
Chu, Chi Chiu; Kwok, Yue Kuen Article
Interaction of the conversion and call rights

Kwok, Yue Kuen Article
Jump diffusion models for risky debts: Quality spread differentials
International Journal of Theoretical and Applied Finance, v. 6, (6), 2003, p. 655-662
Wong, Hoi Ying; Kwok, Yue Kuen Article
Multi-asset barrier options and occupation time derivatives
Applied Mathematical Finance, v. 10, (3), 2003, p. 245-266
Wong, Hoi Ying; Kwok, Yue Kuen Article
No arbitrage approach for pricing credit spread derivatives
Journal of derivatives, spring, 51-64
Chu, Chi Chiu; Kwok, Yue Kuen Article
Options with multiple reset rights
International Journal of Theoretical and Applied Finance, v. 6, (6), 2003, p. 637-653
Dai, Min; Kwok, Yue Kuen; Wu, Li Xin Article
Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks
Review of Derivatives Research, v. 6, (2), 2003, p. 83-106
Wong, Hoi Ying; Kwok, Yue Kuen Article
Optimal calling policies in convertible bonds
2003 IEEE INTERNATIONAL CONFERENCE ON COMPUTATIONAL INTELLIGENCE FOR FINANCIAL ENGINEERING, PROCEEDINGS, 2003, p. 109-114
Lau, KW; Kwok, YK Conference paper

2002 2

Contingent claim approach for analyzing the credit risk of defaultable currency swaps
AMS/IP Studies in Advanced Mathematics, 29, 79-92
Yu, Hong; Kwok, Yue Kuen Article
Applied Complex Variables for Scientists and Engineers
Applied Complex Variables for Scientists and Engineers / Yue Kuen Kwok. Cambridge: Cambridge University Press, 2002
Kwok, Yue Kuen Book

2001 4

Accuracy and reliability considerations of option pricing algorithms
JOURNAL OF FUTURES MARKETS, v. 21, (10), 2001, OCT, p. 875-903
Kwok, Yue Kuen; Lau, Ka W. Article
Early exercise policies of American floating strike and fixed strike lookback options
Nonlinear Analysis: Theory, Methods & Applications, v. 47, (7), August 2001, p. 4591-4602
Yu, Hong; Kwok, Yue Kuen; Wu, Li Xin Article
Pricing algorithms for options with exotic path dependence
Journal of Derivatives, 9, (1), 2001 Fall, p.28-38
Kwok, Yue Kuen; Lau, Ka Wo Article
Pricing algorithms of multivariate path dependent options
Journal of complexity, v. 17, (4), 2001, DEC, p. 773-794
Kwok, Yue Kuen; Wong, Hoi Ying; Lau, Ka W. Article

2000 1

Effects of callable feature on early exercise policy
Review of Derivatives Research, v. 4, (2), 2000, p. 189-211
Kwok, Yue Kuen; Wu, Li Xin Article

1999 1

Numerical simulation of principal tidal constituents in the South China Sea, Gulf of Tonkin and Gulf of Thailand
Continental shelf research, v. 19, (7), 1999, JUN, p. 845-869
Fang, Guo Hong; Kwok, Yue Kuen; Yu, Kejun; Zhu, Yao Hua Article

1997 3

Convergence Analysis of a Staggered Pressure Correction Scheme for Viscous Incompressible Flows
Numerical Methods for Partial Differential Equations, v. 13, (5), 1997, p. 459-482
Zhang, Yong Dong; Kwok, Yue Kuen Article
Second order projection algorithms for viscous incompressible flow simulation
International journal of computational fluid dynamics, v. 8, (3), 1997, p. 215-220
Luk, ST; Kwok, Yue Kuen Article
Vortex Dynamics in the Studies of Looping in Tropical Cyclone Tracks
Fluid Dynamics Research, v. 21, (1), July 1997, p. 57-71
Li, Jiachun; Kwok, Yue Kuen; Fung, Jimmy Chi Hung Article

1996 2

Accuracy and Stability Analysis of Numerical Schemes for the Shallow Water Model
Numerical Methods for Partial Differential Equations, v. 12, (1), 1996, p. 85-98
Kwok, Yue Kuen Article
Numerical simulation of electrochemical diffusion-migration model with reaction at electrodes
Computer methods in applied mechanics and engineering, v. 132, (3-4), 1996, JUN 1, p. 305-317
Kwok, Yue Kuen; Wu, Charles C.K. Article

1995 5

Fourier Analysis of Iterative Schemes for Solving the Biharmonic Equation
International Journal of Computer Mathematics, v. 58, (1-2), 1995, p. 95-101
Kwok, Yue Kuen Article
Fractional Step Algorithm for Solving a Multi‐Dimensional Diffusion‐Migration Equation
Numerical Methods for Partial Differential Equations, v. 11, (4), 1995, p. 389-397
Kwok, Yue Kuen; Wu, Charles C.K. Article
LINEAR HYDRODYNAMICAL STABILITY OF 2-LAYER INCLINED FLOW WITH VISCOSITY AND DENSITY STRATIFICATIONS
IMA journal of applied mathematics, v. 54, (3), 1995, p. 245-256
WU, CCK; KWOK, YK Article
Numerical Quadrature Formulas through the Theory of Analytic Functions
International Journal of Mathematical Education in Science and Technology, v. 26, (1), 1995, p. 37-44
Kwok, Yue Kuen; Tam, Kinkiu Article
First Asian Computational Fluid Dynamics Conference. Hong Kong, January 1995. Volumes 1, 2 & 3

Hui, W.H.; Kwok, Yue Kuen; Chasnov, J.R. Conference paper

1993 4

Gravity due to a body with rotational symmetry about a vertical axis
Geophysics, Volume 58, Issue 2, 1993, Pages 298-306
Kwok, Yue Kuen; Beyer, Larry A. Article
Linearized stability analysis of staggered-grid difference schemes for multidimensional viscous incompressible flows
Numerical Methods for Partial Differential Equations, v9, Issue 3, May 1993, Pages 313-322
Kwok, Yue Kuen; Tam, Kin Kiu Article
Modified quadrature formula for integrand with nearby poles
Applied mathematics letters, v. 6, (3), 1993, MAY, p. 63-65
Kwok, Yue Kuen; TAM, Kin Kiu Article
Stability analysis of three-level difference schemes for initial-boundary problems for multidimensional convective-diffusion equations
Communications in numerical methods in engineering, v. 9, (7), 1993, JUL, p. 595-605
Kwok, Yue Kuen; Tam, Kin Hiu Article

1992 2

Frequency domain expressions for surface and borehole gravity potential due to two- and three-dimensional mass models
Pure and applied geophysics, v. 139, (2), 1992, p. 241-253
Kwok, Yue Kuen Article
Stability analysis of six-point finite difference schemes for the constant coefficient convective-diffusion equation
Computers & mathematics with applications, v. 23, (12), 1992, p. 3-11
Kwok, Yue-Kuen Article

1991 8

Analysis of computer extended series
Proceedings of International Conference on Scientific Computation, Hang Zhou, 1991, p. 56-65
Kwok, Yue-Kuen Article
Applications of MACSYMA to Solutions of Ordinary Differential Equations
International Journal of Mathematical Education in Science and Technology, v. 22, (6), Nov 1991, p. 877-888
Kwok, Yue-Kuen Article
Contour integrals for gravity computation of horizontal 2 1 2-D bodies with variable density
Applied mathematical modelling, v. 15, (2), 1991, FEB, p. 98-103
Kwok, Yue Kuen Article
Gravity gradient tensors due to a polyhedron with polygonal facets
Geophysical prospecting, v. 39, (3), 1991, APR, p. 435-443
Kwok, Yue Kuen Article
Location and structure of the nearest singularity of a perturbation series
Communications in Applied Numerical Methods, v. 7, 1991, p. 19-28
Kwok, Yue-Kuen Article
PADE AND UPWINDING FINITE-DIFFERENCE SCHEMES FOR THE QUANTUM-MECHANICAL EQUATION OF MOTION
Communications in applied numerical methods, v. 7, (8), 1991, NOV, p. 639-647
Kwok, Yue Kuen; Barthez, Daniel Article
Singularities in gravity computation for vertical cylinders and prisms
Geophysical Journal, v. 104, 1991, p. 1-10
Kwok, Yue-Kuen Article
Theoretical considerations for finite difference algorithms for simulation of gas-particle flows
Conference Proceedings of Asian Pacific Conference on Computational Mechanics, v. 2, 1991, p. 1583-1588
Kwok, Yue-Kuen Conference paper

1990 1

The use of the Euler functions for error estimates of the trapezoidal and Simpson's quadratures
International Journal of Mathematical Education in Science and Technology, v. 21, (6), 1990, p. 863-870
Kwok, Yue-Kuen Article

1989 4

A regular perturbation method for subcritical flow over a two-dimensional airfoil
IMA Journal of Applied Mathematics, v. 43, (1), 1989, p. 71-81
Kwok, Yue-Kuen Article
An Algorithm for the numerical inversion of Laplace transforms
Inverse Problems, v. 5, (6), 1989, p. 1089-1095
Kwok, Yue-Kuen; Barthez, Daniel Article
Conjugate complex variables method for the computation of gravity anomalies
Geophysics, v. 54, 1989, p. 1629-1637
Kwok, Yue-Kuen Article
Motion of an artificial satellite about the earth
UMAP Module 695, 1989
Kwok, Yue-Kuen Article

1987 1

On some aspects of the transonic controversy
SIAM Journal of Applied Math., v. 47, 1987, p. 279-295
Kwok, Yue-Kuen; Sirovich, Lawrence Article


No Publications






Teaching Assignment

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2021-22 Winter 0 2021-22 Fall 4 2020-21 Summer 0 2020-21 Spring 4 2020-21 Winter 0 2020-21 Fall 3

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MAFS5030 Quantitative Modeling of Derivatives Securities
MAFS6100G Independent Project
MATH4994 Capstone Project in Mathematics and Economics
MATH4999 Independent Capstone Project


MAFS5220 Quantitative Risk Management
MAFS6100E Independent Project
MATH4321 Game Theory
RMBI4210 Quantitative Methods for Risk Management


MAFS5030 Quantitative Modeling of Derivatives Securities
MAFS6100A Independent Project
MATH4994 Capstone Project in Mathematics and Economics


No Teaching Assignments


No Teaching Assignments


No Teaching Assignments






Research Postgraduate (RPG) Supervision From January 2019 to December 2022 (As of 30 January 2022)

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All Supervisions Current RPGs Graduated RPGs

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Current RPGs

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Doctor of Philosophy XU, Ziqing
Mathematics( 2018 - )

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Graduated RPGs

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Master of Philosophy WANG, Qiuqi
Mathematics( Completed in 2019 )









ProjectsFrom January 2020 to December 2022

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All Projects 2

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No Projects.
Machine Learning Driven Trading Strategies under Robo-advisory Platform


智能投资顾问平台下的机器学习交易策略 Leading


Innovation and Technology Fund, Magnum Research Limited


Project Team (HKUST)
KWOK Yue Kuen (Lead)


2021 -




Saddlepoint approximation methods in pricing exotic derivatives and computing portfolio risk measures


定价衍生期权产品和计算投资组合风险度量的鞍点近似方法 Leading


RGC - General Research Fund


Project Team (HKUST)
KWOK Yue Kuen (Lead)


2019 - 2021