| Analytically pricing volatility swaps and volatility options with discrete sampling: Nonlinear payoff volatility derivatives S Rujivan, U Rakwongwan Communications in Nonlinear Science and Numerical Simulation 100, 105849, 2021 | 18 | 2021 |
| Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox–Ingersoll–Ross process P Sutthimat, S Rujivan, K Mekchay, U Rakwongwan Research in the Mathematical Sciences 9 (1), 10, 2022 | 13 | 2022 |
| A novel analytical formula for the discounted moments of the ECIR process and interest rate swaps pricing R Boonklurb, A Duangpan, U Rakwongwan, P Sutthimat Fractal and Fractional 6 (2), 58, 2022 | 10 | 2022 |
| Pricing index options by static hedging under finite liquidity J Armstrong, T Pennanen, U Rakwongwan International Journal of Theoretical and Applied Finance 21 (06), 1850044, 2018 | 8 | 2018 |
| Options portfolio optimization of exotic options written on Mini S&P500 Index in an illiquid market with Conditional Value-at-Risk (CVaR) B Kosapong, P Boonserm, U Rakwongwan Thai Journal of Mathematics, 169-183, 2022 | 3 | 2022 |
| Analytical Formulas Using Affine Transformation for Pricing Generalized Swaps in Commodity Markets with Stochastic Convenience Yields A Duangpan, R Boonklurb, U Rakwongwan, P Sutthimat Symmetry 14 (11), 2385, 2022 | 2 | 2022 |
| Pricing and Hedging Index Options under Mean-Variance Criteria in Incomplete Markets P Yamphram, P Sutthimat, U Rakwongwan Computation 11 (2), 30, 2023 | 1 | 2023 |
| The Numerical Visualization of Air Pollution Propagation from a Single Generator to an Observed Area U Rakwongwan, A Archankul, S Rujivan, P Bastian CHIANG MAI JOURNAL OF SCIENCE 48 (5), 1430-1443, 2021 | 1 | 2021 |
| Stochastic Modeling for SET50 Index in Thailand Using the Black-Scholes Model with A Time-Dependent Drift Parameter and Its Application to SET50 Futures Pricing S Rujivan, P Hongsai, M Maleewong, U Rakwongwan, C Boonchot Thai Journal of Operations Research: TJOR 8 (2), 42-50, 2020 | 1 | 2020 |
| Optimal semi-static hedging in illiquid markets T Pennanen, U Rakwongwan arXiv preprint arXiv:2008.01463, 2020 | 1 | 2020 |
| Derivation of Closed-Form Expressions in Apéry-like Series Using Fractional Calculus and Applications A Duangpan, R Boonklurb, U Rakwongwan, P Sutthimat Fractal and Fractional 8 (7), 406, 2024 | | 2024 |
| Optimal capital allocation in correlated mutual funds under exponential loss utility N Bunchak, U Rakwongwan, P Sutthimat, W Chavanasporn International Conference on Mathematical and Statistical Physics …, 2023 | | 2023 |
| Analytical formula for conditional moments of extended heston-CEV hybrid model with time-dependent parameters P Anunak Chulalongkorn University, 2023 | | 2023 |
| A Visualization of Air Pollution Distribution over an Observed Area Surrounded by Mountains: A Computational Approach U RAKWONGWAN, P TANGMANUSSUKUM, S RUJIVAN Walailak Journal of Science and Technology (WJST) 18 (12), 9805 (14 pages …, 2021 | | 2021 |
| Utility-based hedging of exotic options under finite liquidity: a computational approach U Rakwongwan King's College London, 2020 | | 2020 |
| Analytically pricing volatility swaps and volatility options with discrete sampling S Rujivan, U Rakwongwan | | |
