Fond Qeubecois de la recherche sur la societe et la culture
2010-2013
Semi-Finalist for Best Paper award
July 2017
Financial Management Association
"Modifying Real Options' Probability of Exercise", has been identified as a semifinalist for one of five best paper awards to be given at the 2017 FMA Annual Meeting in Boston.
College Research Grant
July 2015
UW-Whitewater College of Business and Economics
Sang Baum Kang (co-P.I.), Lars Stentoft (co-P.I.) and myself received a research grant of $4,500 for the project "A Real Option Analysis of Government Credibility Risk on Agricultural Commodities and Bio-fuel".
Best Presenatation Runner-Up
2010
Sprott School of Business PhD Symposium
for "Improving the Least-Square Monte Carlo Method by Imposing Structure"
Time series and Machine Learning volatility forecasting
Lars Stentoft
This study revisits forecasting of equity volatility in the context of option pricing and option trading.<br>We find that selecting a best model and hyper parameters depends on the metric used.<br>In particular, results show that for simple models, a comp...
Time Series And Machine Learning Volatility Forecasting.
Lars Stentoft
This study revisits forecasting of equity volatility in the context of option pricing and option trading.<br>We find that selecting a best model and hyper parameters depends on the metric used.<br>In particular, results show that for simple models, a comp...
Simulated Greeks for American Options
Lars Stentoft
This paper develops a method to estimate price sensitivities, so-called Greeks, for American style options using flexible simulation methods combined with initially dispersed state variables. The asymptotic properties of the estimators are studied, and co...
Exercising Real Options Sooner or Later? New Insights from Quantile-preserving Spreads on how to Fasten or Delay Exercise.
Sang Baum Kang
Using a general quantile-preserving spread and stochastic dominance, this paper studies how modification of real option characteristic affects the optimal real option holding value and exercise decision.
We study under which conditions an increase in ris...
Exercising Real Options Sooner or Later? New Insights from Quantile-preserving Spreads on how to Fasten or Delay Exercise.
Sang Baum Kang
Using a general quantile-preserving spread and stochastic dominance, this paper studies how modification of real option characteristic affects the optimal real option holding value and exercise decision.
We study under which conditions an increase in ris...
Modifying Real Options' Probability of Exercise
Sang Baum Kang
A critical difference between real options and financial options lies in that real option holders, writers, and even external stakeholders can modify the characteristics of real options.
Furthermore, exercising a real option can have repercussions onto...
Modifying Real Options' Probability of Exercise
Sang Baum Kang
A critical difference between real options and financial options lies in that real option holders, writers, and even external stakeholders can modify the characteristics of real options.
Furthermore, exercising a real option can have repercussions onto...
Modifying Real Options' Probability of Exercise
Sang Baum Kang
A critical difference between real options and financial options lies in that real option holders, writers, and even external stakeholders can modify the characteristics of real options.
Furthermore, exercising a real option can have repercussions onto...
Improved Greeks for American Options using Simulation
Lars Stentoft
This paper studies a new method to value American style option and sensitivities.
Option Exercise Probabilities: Application to Capital Investment and Merton's Structural Model
Sang Baum Kang
This paper studies the modification of the exercise probability of real options.
Differently from financial option, real option holders, writers, or even external stakeholders can modify the properties of real options.
Model-free general conclusi...
This is How You Make a GARCH smile - An Improved Estimation
This paper proposes an improved estimation and calibration method to a family of GARCH models. The suggested method fixes one parameter such that the unconditional kurtosis of the model matches the sample kurtosis. The method can be used to estimate the ...
Improved Greeks for American Options Using Simulation
Lars Stentoft
This paper revisits the estimation and approximation of the so-called Greeks for American style options and compares various methods in terms of bias, convergence and overall performance. We combine the Initial State Dispersion method with Local Polynomia...
Investors’Reaction to the Government Credibility Problem: A Real Option Analysis of Emission Permit Policy Risk
Sang Baum Kang
In relation to creating a CO2 emission permit market, there are two types of climate change policy risks: 1) It is uncertain whether and when a cap-and-trade system will be implemented; and 2) once a policy is in place, there may be government credibility...
Investors’ Reaction to the Government Credibility Problem: A Real Option Analysis of Emission Permit Policy Risk
Kang, Sang Baum
This research illustrates a rational firm’s optimal decision to build an electric power plant when the firm believes that there is a carbon dioxide (CO2) policy risk. A simplified real option analysis finds that the government credibility problem decrease...
The Cap Market, the Term Structure and the Unspanned Factors: Taking Care of Non-Linearity
Valery
Classical models for fixed income derivatives pricing rely on the identification of a risk neutral measure from the term structure of interest rates. We test if factors unspanned by the term structure affect the prices of caps and the shape of the implied...
The Cap Market, the Term Structure and the Unspanned Factors: Taking care of non-linearity
Valery
Classical models for fixed income derivatives pricing rely on the identification of a risk neutral measure from the term structure of interest rates. We test if factors unspanned by the term structure affect the prices of caps and the shape of the implied...
The Cap Market, the Term Structure and the Unsapnned Factors: Taking care of non-linearity
Valery
Classical models for fixed income derivatives pricing rely on the identification of a risk neutral measure from the term structure of interest rates. We test if factors unspanned by the term structure affect the prices of caps and the shape of the implied...
The Cap Market, the Term Structure and the Unspanned Factors: Taking care of non-linearity
Valery
Classical models for fixed income derivatives pricing rely on the identification of a risk neutral measure from the term structure of interest rates. We test if factors unspanned by the term structure affect the prices of caps and the shape of the implied...
The Cap Market, the Term Structure and the Unspanned Factors: Taking care of non-linearity
Valery
Classical models for fixed income derivatives pricing rely on the identification of a risk neutral measure from the term structure of interest rates. We test if factors unspanned by the term structure affect the prices of caps and the shape of the implied...
The Cap Market, the Term Structure and the Unspanned Factors: Taking care of non-linearity
Valery
Classical models for fixed income derivatives pricing rely on the identification of a risk neutral measure from the term structure of interest rates. We test if factors unspanned by the term structure affect the prices of caps and the shape of the implied...
The Cap Market, the Term Structure and the Unspanned Factors: Taking care of non-linearity
Valery
Classical models for fixed income derivatives pricing rely on the identification of a risk neutral measure from the term structure of interest rates. We test if factors unspanned by the term structure affect the prices of caps and the shape of the implied...
3 Essays on Financial Derivatives
The Cap Market, the Term Structure and the Unspanned Factors: Taking care of non-linearity
Valery
Classical models for fixed income derivatives pricing rely on the identification of a risk neutral measure from the term structure of interest rates. We test if factors unspanned by the term structure affect the prices of caps and the shape of the implied...
Refining the Least-Squares Monte Carlo Method by Imposing Structure
Stentoft, Lars
The least squares Monte Carlo method of Longstaff and Schwartz (2001) has become a standard numerical method for option pricing with many potential risk factors. An important choice in the method is the number of regressors to use and using too few or too...
The Cap Market, the Term Structure and the Unspanned Factors: Taking care of non-linearity
Valery
Classical models for fixed income derivatives pricing rely on the identification of a risk neutral measure from the term structure of interest rates. We test if factors unspanned by the term structure affect the prices of caps and the shape of the implied...
Refining the Least-Squares Monte Carlo Method by Imposing Structure
Stentoft, Lars
The least squares Monte Carlo method of Longstaff and Schwartz (2001) has become a standard numerical method for option pricing with many potential risk factors. An important choice in the method is the number of regressors to use and using too few or too...
Elected member of the Board of Directors and member of the Audit Committee
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