ผศ.ดร.อุดมศักดิ์ รักวงษ์วาน

15 ผลงานตีพิมพ์  ·  55 การอ้างอิง  ·  h-index 4
ข้อมูลจากฐานข้อมูล Scopus ปรับปรุงเมื่อ สิงหาคม 2569

2026

• Nontawat Bunchak, Udomsak Rakwongwan, Phiraphat Sutthimat
  Closed-form fair strikes for innovation-based variance-type and volatility-type contracts under a trending Ornstein-Uhlenbeck model
  Scienceasia 52(3), บทความ 2026060
  Open Access · DOI: 10.2306/scienceasia1513-1874.2026.060
• Benyanee Kosapong, Ratinan Boonklurb, Udomsak Rakwongwan
  Static Pricing of Exotic Derivatives Under Conditional Value-at-Risk (CVaR) in Incomplete Markets
  Computational Economics 67(3), 1927-1953
  อ้างอิง 1 ครั้ง · Open Access · DOI: 10.1007/s10614-025-10938-9

2025

• Udomsak Rakwongwan, Phiraphat Sutthimat, Rattiya Meesa
  Redactable blockchains with integer-valued polynomials
  Blockchain Research and Applications 6(4), บทความ 100297
  Open Access · DOI: 10.1016/j.bcra.2025.100297

2024

• Ampol Duangpan, Ratinan Boonklurb, Udomsak Rakwongwan, Phiraphat Sutthimat
  Derivation of Closed-Form Expressions in Apéry-like Series Using Fractional Calculus and Applications
  Fractal and Fractional 8(7), บทความ 406
  Open Access · DOI: 10.3390/fractalfract8070406

2023

• Promsiri Anunak, Petarpa Boonserm, Udomsak Rakwongwan
  Analytical Formula for Conditional Moments of Extended Heston-CEV Hybrid Model with Time-dependent Parameters
  Chiang Mai Journal of Science 50(3), บทความ e2023022
  Open Access · DOI: 10.12982/CMJS.2023.022
• Pornnapat Yamphram, Phiraphat Sutthimat, Udomsak Rakwongwan
  Pricing and Hedging Index Options under Mean-Variance Criteria in Incomplete Markets
  Computation 11(2), บทความ 30
  อ้างอิง 3 ครั้ง · Open Access · DOI: 10.3390/computation11020030
• Nontawat Bunchak, Udomsak Rakwongwan, Phiraphat Sutthimat, Walailuck Chavanasporn
  Optimal Capital Allocation in Correlated Mutual Funds under Exponential Loss Utility
  Proceedings of SPIE the International Society for Optical Engineering 12616, บทความ 1261609
  DOI: 10.1117/12.2675080

2022

• Ampol Duangpan, Ratinan Boonklurb, Udomsak Rakwongwan, Phiraphat Sutthimat
  Analytical Formulas Using Affine Transformation for Pricing Generalized Swaps in Commodity Markets with Stochastic Convenience Yields
  Symmetry 14(11), บทความ 2385
  อ้างอิง 3 ครั้ง · Open Access · DOI: 10.3390/sym14112385
• Phiraphat Sutthimat, Sanae Rujivan, Khamron Mekchay, Udomsak Rakwongwan
  Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox–Ingersoll–Ross process
  Research in Mathematical Sciences 9(1), บทความ 10
  อ้างอิง 12 ครั้ง · DOI: 10.1007/s40687-021-00309-9
• Ratinan Boonklurb, Ampol Duangpan, Udomsak Rakwongwan, Phiraphat Sutthimat
  A Novel Analytical Formula for the Discounted Moments of the ECIR Process and Interest Rate Swaps Pricing
  Fractal and Fractional 6(2), บทความ 58
  อ้างอิง 9 ครั้ง · Open Access · DOI: 10.3390/fractalfract6020058
• Benyanee Kosapong, Petarpa Boonserm, Udomsak Rakwongwan
  Options portfolio optimization of exotic options written on Mini S&P500 Index in an illiquid market with Conditional Value-at-Risk (CVaR)
  Thai Journal of Mathematics 2022(Special Issue), 169-183
  อ้างอิง 4 ครั้ง

2021

• Sanae Rujivan, Udomsak Rakwongwan
  Analytically pricing volatility swaps and volatility options with discrete sampling: Nonlinear payoff volatility derivatives
  Communications in Nonlinear Science and Numerical Simulation 100, บทความ 105849
  อ้างอิง 18 ครั้ง · DOI: 10.1016/j.cnsns.2021.105849
• Udomsak Rakwongwan, Arnon Archankul, Sanae Rujivan, Peter Bastian
  The numerical visualization of air pollution propagation from a single generator to an observed area
  Chiang Mai Journal of Science 48(5), 1430-1443
  อ้างอิง 1 ครั้ง
• Udomsak Rakwongwan, Piyanut Tangmanussukum, Sanae Rujivan
  A visualization of air pollution distribution over an observed area surrounded by mountains: A computational approach
  Walailak Journal of Science and Technology 18(12), บทความ 9805
  Open Access · DOI: 10.48048/wjst.2021.9805

2018

• John Armstrong, Teemu Pennanen, Udomsak Rakwongwan
  Pricing index options by static hedging under finite liquidity
  International Journal of Theoretical and Applied Finance 21(6), บทความ 1850044
  อ้างอิง 4 ครั้ง · DOI: 10.1142/S0219024918500449