Wing Yan Yip
Imperial College London
7 Papers
20 Citations
Wing Yan Yip is an academic researcher from Imperial College London. The author has contributed to research in topics: Hedge (finance) & Exotic option. The author has an hindex of 3, co-authored 7 publications.
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Papers
Hedging strategies and minimal variance portfolios for european and exotic options in a levy market
TL;DR: In this article, the authors present hedging strategies for European and exotic options in a======Levy market, by applying Taylor's Theorem, dynamic hedging portfolios are con-structed under different market assumptions, such as the existence of power jump assets or moment swaps.
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for European and exotic options in a Levy market
TL;DR: In this article, the authors present dynamic hedging strategies for European and exotic options in a Levy market, by applying Taylor's theorem, under different market assumptions, such as the existence of power jump assets or moment swaps.
5
The explicit chaotic representation of the powers of increments of Lévy processes
TL;DR: In this paper, a computationally explicit formula of the chaotic representation property (CRP) for the powers of increments of a Levy process is presented, which can be used to obtain the integrands of the CRP in terms of orthogonal compensated power jump processes and the CRp in terms with Poisson random measures.
4
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Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market
TL;DR: In this paper, the authors present hedging strategies for European and exotic options in a Levy market, by applying Taylor's Theorem, dynamic hedging portfolios are con- structed under different market assumptions, such as the existence of power jump assets or moment swaps.
4
•Posted Content
Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market
TL;DR: In this paper, the authors present hedging strategies for European and exotic options in a Levy market, by applying Taylor's Theorem, dynamic hedging portfolios are con- structed under different market assumptions, such as the existence of power jump assets or moment swaps.
4