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About us Practical matters How to find us K.W. (Ki Wai) Chau, Dr

K.W. (Ki Wai) Chau, Dr

Assistant professor
Publications

Publications

Comparative risk aversion vs. threshold choice in the Omega ratio

Balter, A. G., Chau, K. W. & Schweizer, N., Feb-2024, In: Omega (United Kingdom). 123, 15 p., 102992.

Research output: Contribution to journal › Article › Academic › peer-review

Rabin’s calibration theorem revisited

Balter, A. G., Chau, K. W. & Schweizer, N., Jan-2022, In: Economics Letters. 210, 5 p., 110166.

Research output: Contribution to journal › Article › Academic › peer-review

Rule-based strategies for dynamic life cycle investment

Haan, T. R. B. D., Chau, K. W., Schans, M. V. D. & Oosterlee, C. W., 2022, In: European Actuarial Journal. 12, p. 189–213 25 p.

Research output: Contribution to journal › Article › Academic › peer-review

An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA

Chau, K. W., Tang, J. & Oosterlee, C. W., Dec-2020, In: Journal of Mathematics in Industry. 10, 1, 19 p., 7.

Research output: Contribution to journal › Article › Academic › peer-review

Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view

Bourchard, B., Chau, K. W., Manai, A. & Sid-Ali, A., 2-Apr-2019, In: ESAIM: Proceedings and Surveys. 65, p. 294-308

Research output: Contribution to journal › Article › Academic › peer-review

Stochastic grid bundling method for backward stochastic differential equations

Chau, K. W. & Oosterlee, C. W., 2-Nov-2019, In: International journal of computer mathematics. 96, 11, p. 2272-2301 30 p.

Research output: Contribution to journal › Article › Academic › peer-review

On the wavelet-based SWIFT method for backward stochastic differential equations

Chau, K. W. & Oosterlee, C. W., Apr-2018, In: IMA Journal of Numerical Analysis. 38, 2, p. 1051-1083

Research output: Contribution to journal › Article › Academic › peer-review

Fourier-cosine method for Gerber–Shiu functions

Chau, K. W., Yam, P. & Yang, H., Mar-2015, In: Insurance Mathematics & Economics. 61, p. 170-180 11 p.

Research output: Contribution to journal › Article › Academic › peer-review

Fourier-cosine method for ruin probabilities

Chau, K. W., Yam, P. & Yang, H., Jun-2015, In: Journal of Computational and Applied Mathematics. 281, p. 94-106 13 p.

Research output: Contribution to journal › Article › Academic › peer-review

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