Dr Leung Chan

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Dr Leung Chan is a lecturer in the School of Mathematics and Statistics, Faculty of Science, UNSW. He is a member of the School’s Finance and Risk Analysis Research Group which develops innovative methods for financial modelling, derivative pricing and risk analysis.

The research interests of the Finance and Risk Analysis group cover a number of different interrelated areas:

Financial Mathematics

Pricing and hedging of financial derivatives
Stochastic implied volatility models
Default risk modelling
Modelling of credit migrations
Valuation of credit derivatives
Asset price dynamics

Quantitative Risk

Quantitative Risk Solutions Lab

Phone

9385 7021

E-mail

Leung.chan@unsw.edu.au

Location

School of Mathematics and Statistics University of New South Wales Sydney NSW 2052 The Red Centre Room 1036

Book Chapters | 2014

Chan LL, 2014, 'An Exact Formula for Pricing American Exchange Options with Regime Switching', in Mamon RS; Elliott RJ (ed.), Hidden Markov Models in Finance, Springer, pp. 211 - 226,
Journal articles | 2023

Chan L; Zhu SP, 2023, 'AN EXACT AND EXPLICIT FORMULA FOR PRICING LOOKBACK OPTIONS WITH REGIME SWITCHING', Journal of Industrial and Management Optimization, 19, pp. 723 - 729,

Journal articles | 2022

Zhang M; Chan L, 2022, 'Saddlepoint Method for Pricing European Options under Markov-Switching Heston’s Stochastic Volatility Model', Journal of Risk and Financial Management, 15,

Journal articles | 2021

Chan L; Zhu SP, 2021, 'An Analytic Approach for Pricing American Options with Regime Switching', Journal of Risk and Financial Management, 14,

Journal articles | 2018

Chan LL, 2018, 'Editorial for special issue “finance, financial risk management and their applications”', International Journal of Financial Studies, 6,

Journal articles | 2016

Chan LL; Platen E, 2016, 'Pricing of long dated equity-linked life insurance contracts', Stochastic Analysis and Applications,

Journal articles | 2016

Elliott RJ; Chan L; Siu TK, 2016, 'Pricing options in a Markov regime switching model with a random acceleration for the volatility', IMA Journal of Applied Mathematics,

Journal articles | 2016

Zhang M; Chan L, 2016, 'Pricing volatility swaps in the Heston’s stochastic volatility model with regime switching: A saddlepoint approximation method', International Journal of Financial Engineering, 03, pp. 1 - 20

Journal articles | 2016

Zhang M; Chan L, 2016, 'Pricing volatility swaps in the Heston’s stochastic volatility model with regime switching: A saddlepoint approximation method', International Journal of Financial Engineering, 03, pp. 1 - 20

Journal articles | 2016

Zhang M; Chan L, 2016, 'Pricing volatility swaps in the Heston's stochastic volatility model with regime switching: A saddlepoint approximation method', INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 3,

Journal articles | 2016

Zhang M; Chan L, 2016, 'Saddlepoint approximations to option price in a regime-switching model', Annals of Finance, 12, pp. 55 - 69,

Journal articles | 2015

Chan L; Platen E, 2015, 'Pricing and hedging of long dated variance swaps under a 3/2 volatility model', Journal of Computational and Applied Mathematics, 278, pp. 181 - 196,

Journal articles | 2015

Chan L; Platen E, 2015, 'Pricing volatility derivatives under the modified constant elasticity of variance model', Operations Research Letters, 43, pp. 419 - 422,

Journal articles | 2015

Chan L; Zhu SP, 2015, 'An explicit analytic formula for pricing barrier options with regime switching', Mathematics and Financial Economics, 9, pp. 29 - 37,

Journal articles | 2015

ELLIOTT RJ; CHAN L; SIU TK, 2015, 'A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL', International Journal of Theoretical and Applied Finance, 18, pp. 1 - 13

Journal articles | 2015

ELLIOTT ROBERTJ; CHAN LEUNGLUNG; SIU TAKKUEN, 2015, 'A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL', International Journal of Theoretical and Applied Finance, 18

Journal articles | 2015

Elliott RJ; Chan L; Siu TK, 2015, 'A Dupire equation for a regime-switching model', International Journal of Theoretical and Applied Finance, 18,

Journal articles | 2014

Chan L, 2014, 'An exact formula for pricing american exchange options with regime switching', International Series in Operations Research and Management Science, 209, pp. 211 - 226,

Journal articles | 2014

Elliott RJ; Siu TK; Chan LL, 2014, 'On pricing barrier options with regime switching', Journal of Computational and Applied Mathematics, 256, pp. 196 - 210,

Journal articles | 2013

Chan L; Zhu SP, 2013, 'An analytic formula for pricing American-style convertible bonds in a regime switching model', IMA Journal of Management Mathematics, 26, pp. 403 - 428,

Journal articles | 2013

Elliott RJ; Chan LL; Siu TK, 2013, 'Option valuation under a regime-switching constant elasticity of variance process', Applied Mathematics and Computation, 219, pp. 4434 - 4443,

Journal articles | 2011

Baldeaux JF; Chan LL; Platen E, 2011, 'Quasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach', The ANZIAM Journal, 52, pp. C727 - C741

Journal articles | 2008

Elliot RJ; Siu TK; Chan LL, 2008, 'A PDE approach for risk measures for derivatives with regime switching', Annals of Finance, 4, pp. 55 - 74,

Journal articles | 2007

Elliot RJ; Siu TK; Chan LL; Lau JW, 2007, 'Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model', Stochastic Analysis and Applications, 25, pp. 821 - 843,

Journal articles | 2007

Elliot RJ; Siu TK; Chan LL, 2007, 'Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching', Applied Mathematical Finance, 14, pp. 41 - 62,

Journal articles | 2006

Elliot RJ; Chan LL; Siu TK, 2006, 'Risk measures for derivatives with Markov-modulated pure jump processes', Asia Pacific Financial Markets, 13, pp. 129 - 149,

Journal articles | 2006

Elliot RJ; Siu TK; Chan LL, 2006, 'Option pricing for GARCH models with Markov switching', International Journal of Theoretical and Applied Finance, 9, pp. 825 - 841,

Journal articles | 2005

Elliott RJ; Chan LL; Siu TK, 2005, 'Option pricing and Esscher transform under regime switching', Annals of Finance, 1, pp. 423 - 432

Journal articles | 2004

Elliott RJ; Chan LL, 2004, 'Perpetual American options with fractional Brownian motion', QUANTITATIVE FINANCE, 4, pp. 123 - 128,

Journal articles | 2004

Elliott RJ; Chan LL, 2004, 'Perpetual American options with fractional Brownian motion', Quantitative Finance, 4, pp. 123 - 128
Preprints | 2014

Chan L; Zhu S-P, 2014, An exact and explicit formula for pricing Asian options with regime switching,

Preprints | 2014

Chan L; Zhu S-P, 2014, An exact and explicit formula for pricing lookback options with regime switching,

Preprints | 2010

Chan L; Platen E, 2010, Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model,

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