Chuan-Hsiang Han

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
McMC estimation of multiscale stochastic volatility models with applications Mathematics and Computers in Simulation	2021-02-18	Paper
GPU Acceleration for Computational Finance Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning	2020-12-09	Paper
Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models	2019-01-15	Paper
Pricing Asian options with stochastic volatility Quantitative Finance	2019-01-14	Paper
Monte Carlo calibration to implied volatility surface under volatility models Japan Journal of Industrial and Applied Mathematics	2017-12-12	Paper
VaR/CVaR estimation under stochastic volatility models International Journal of Theoretical and Applied Finance	2014-06-19	Paper
Importance sampling estimation of joint default probability under structural-form models with stochastic correlation Springer Proceedings in Mathematics & Statistics	2013-07-31	Paper
Efficient importance sampling estimation for joint default probability: the first passage time problem Stochastic Analysis with Financial Applications	2012-09-07	Paper
A smooth estimator for MC/QMC methods in finance Mathematics and Computers in Simulation	2011-01-31	Paper
Variance reduction for MC/QMC methods to evaluate option prices	2010-01-13	Paper
Asymmetric Variance Reduction for Pricing American Options Special Volume: Mathematical Modeling and Numerical Methods in Finance	2009-06-05	Paper
A martingale control variate method for option pricing with stochastic volatility ESAIM: Probability and Statistics	2007-11-30	Paper
scientific article; zbMATH DE number 2133111 (Why is no real title available?)	2005-02-09	Paper
Continuation methods for solving modified discrete-time algebraic Riccati equations IEEE Transactions on Automatic Control	1995-11-28	Paper

Research outcomes over time

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