Jia-Wen Gu

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
Precommitted strategies with initial-time and intermediate-time value-at-risk constraints	2024-11-12	Paper
Adaptive online mean-variance portfolio selection with transaction costs	2024-04-12	Paper
Online portfolio selection with state-dependent price estimators and transaction costs	2023-07-11	Paper
Optimal pairs trading strategies: a stochastic mean-variance approach	2023-01-23	Paper
Generalized optimal liquidation problems across multiple trading venues	2022-08-23	Paper
Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility	2022-06-09	Paper
Adaptive online portfolio selection with transaction costs	2021-11-09	Paper
Optimal pairs trading with dynamic mean-variance objective	2021-11-02	Paper
How correlation risk in basket credit derivatives might be priced and managed?	2021-07-13	Paper
On correlated defaults and incomplete information	2021-06-09	Paper
A note on - vs. -expected loss portfolio constraints	2021-06-02	Paper
Local controllability and stability of the periodic fifth-order KdV equation with a nonlinear dispersive term	2021-02-12	Paper
Trading strategy with stochastic volatility in a limit order book market	2020-07-08	Paper
Constrained Utility Deviation-Risk Optimization and Time-Consistent HJB Equation	2020-03-25	Paper
Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model	2020-03-12	Paper
On infectious model for dependent defaults	2019-03-12	Paper
Interacting default intensity with a hidden Markov process	2018-11-19	Paper
Market-making strategy with asymmetric information and regime-switching	2018-08-13	Paper
Optimal Liquidation Problems in a Randomly-Terminated Horizon	2017-09-18	Paper
On modeling credit defaults: A probabilistic Boolean network approach	2014-08-22	Paper
On pricing basket credit default swaps	2014-03-04	Paper

Research outcomes over time

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