KWOK, YUE KUEN - HKUST Class Schedule & Quota

Class Schedule & Quota
2024-25 Fall 2023-24 Summer 2023-24 Spring 2021-22 Winter
2023-24 Spring
Common Core Course
The class information on this page will normally be updated every 15 to 20 minutes during class enrollment period.
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This service was first adapted from a student contribution in 2011-12 Fall. The efforts of all concerned are duly acknowledged.

AIAA AMAT BSBE CMAA DLED DSAA EOAS FTEC FUNH INFH INTR IOTA IPEN LANG MICS PDEV ROAS SEEN SMMG SOCH SYSH UCMP UCUG UFUG UGOD

COURSE INFO

VECTOR	[3-0-0:3]
DESCRIPTION	This course addresses issues in both theoretical development and empirical studies of asset pricing. The theoretical part covers portfolio theory, arbitrage pricing theory with large numbers of assets, the intertemporal asset pricing model and the production-based asset pricing model. Topics related to derivative pricing are also covered. The empirical part covers asset return predictability, volatility-return relationship, asset pricing testing methodology, popular factor models used by practitioners and empirical findings in derivative markets.

VECTOR

[3-0-0:3]

DESCRIPTION

This course addresses issues in both theoretical development and empirical studies of asset pricing. The theoretical part covers portfolio theory, arbitrage pricing theory with large numbers of assets, the intertemporal asset pricing model and the production-based asset pricing model. Topics related to derivative pricing are also covered. The empirical part covers asset return predictability, volatility-return relationship, asset pricing testing methodology, popular factor models used by practitioners and empirical findings in derivative markets.

FTEC 5110 - Research in Asset Pricing (3 units)

Section	Date & Time	Room	Instructor	Quota	Enrol	Avail	Wait	Remarks
L01 (6081)	We 01:30PM - 04:20PM	Rm 149, E1	KWOK, YUE KUEN	40	14	26	0

COURSE INFO

VECTOR	[3-0-0:3]
DESCRIPTION	This course covers Monte Carol simulation methods from the perspectives of derivatives pricing, credit risk modeling and trading strategies. The first topic starts with various sampling methods for generating random variables, like the basic inverse transform method and acceptance-rejection method. Special emphasis is placed on simulation of normal distributions. Next, we consider pricing financial derivatives via simulation. The dynamic price processes include the Geometric Brownian motion and jump diffusion models. Various variance reduction techniques, like the antithetic variate, control variate, conditioning and stratified sampling are considered. The solution of the optimal stopping model of an American option via the Longstaff-Schwartz regression method is discussed. We also consider rare event simulation via various importance sampling methods, like the mean drift method and cross entropy method. Applications in risk measures calculation in credit risk models, like the Gaussian copula models, are considered.

VECTOR

[3-0-0:3]

DESCRIPTION

This course covers Monte Carol simulation methods from the perspectives of derivatives pricing, credit risk modeling and trading strategies. The first topic starts with various sampling methods for generating random variables, like the basic inverse transform method and acceptance-rejection method. Special emphasis is placed on simulation of normal distributions. Next, we consider pricing financial derivatives via simulation. The dynamic price processes include the Geometric Brownian motion and jump diffusion models. Various variance reduction techniques, like the antithetic variate, control variate, conditioning and stratified sampling are considered. The solution of the optimal stopping model of an American option via the Longstaff-Schwartz regression method is discussed. We also consider rare event simulation via various importance sampling methods, like the mean drift method and cross entropy method. Applications in risk measures calculation in credit risk models, like the Gaussian copula models, are considered.

FTEC 5220 - Monte Carlo Simulation in Finance (3 units)

Section	Date & Time	Room	Instructor	Quota	Enrol	Avail	Wait	Remarks
L01 (6226)	Th 10:30AM - 01:20PM	Rm 150, E1	KWOK, YUE KUEN	40	6	34	0