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Gerald H L Cheang
Gerald H L Cheang
Senior Lecturer, School of Information Technology and Mathematical Sciences, University of South
Verified email at unisa.edu.au
Title
Cited by
Cited by
Year
Exchange options under jump-diffusion dynamics
GHL Cheang, C Chiarella
Applied Mathematical Finance 18 (3), 245-276, 2011
582011
Risk of penalized least squares, greedy selection and ell1-penalization for flexible function libraries
C Huang
Yale University, 2008
532008
Approximation with neural networks activated by ramp sigmoids
GHL Cheang
Journal of Approximation Theory 162 (8), 1450-1465, 2010
442010
A better approximation for balls
GHL Cheang, AR Barron
Journal of Approximation Theory 104 (2), 183-203, 2000
382000
The representation of American options prices under stochastic volatility and jump-diffusion dynamics
GHL Cheang, C Chiarella, A Ziogas
Quantitative Finance 13 (2), 241-253, 2013
352013
A modern view on Merton's jump-diffusion model
GHL Cheang, C Chiarella
Stochastic Processes, Finance and Control: A Festschrift in Honor of Robert …, 2012
332012
Correction: Exchange option under jump-diffusion dynamics
R Caldana, GHL Cheang, C Chiarella, G Fusai
Applied Mathematical Finance 22 (1), 99-103, 2015
162015
Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
GHL Cheang, LPDM Garces
Quantitative Finance 20 (2), 291-310, 2020
112020
A simple approach to pricing options with jumps
GHL Cheang
Available at SSRN 610181, 2004
112004
Approximate hedging of options under jump-diffusion processes
KF Mina, GHL Cheang, C Chiarella
International Journal of Theoretical and Applied Finance 18 (04), 1550024, 2015
72015
On exchange options with jumps
G Cheang, C Chiarella, A Ziogas
ACTA Press, 2006
72006
Penalized least squares, model selection, convex hull classes and neural nets.
GHL Cheang, AR Barron, M Verleysen
ESANN, 371-376, 2001
72001
An analysis of American options under Heston stochastic volatility and jump-diffusion dynamics
G Cheang, C Chiarella, A Ziogas
Quantitative Finance Research Centre, University of Technology, Sydney …, 2009
62009
Estimation with two hidden layer neural nets
GHL Cheang, AR Barron
IJCNN'99. International Joint Conference on Neural Networks. Proceedings …, 1999
61999
Neural network approximation and estimation of functions
GHL Cheang
Proceedings of 1994 Workshop on Information Theory and Statistics, 59, 1994
61994
Neural network approximation and estimation of functions
GHL Cheang
Yale University, 1998
51998
Change of numéraire and a jump-diffusion option pricing formula
GHL Cheang, GA Teh
Nonlinear Economic Dynamics and Financial Modelling: Essays in Honour of …, 2014
42014
A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics
LPDM Garces, GHL Cheang
Quantitative Finance 21 (12), 2025-2054, 2021
32021
An extension of Merton's jump-diffusion model
G Cheang, C Chiarella
Acta Press, 2007
32007
Calculus and matrix algebra for finance
GHL Cheang, Y Zhao
McGraw-Hill, 2005
32005
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