| Publication | Date of Publication | Type |
|---|
Designing stablecoins
Mathematical Finance | 2025-01-20 | Paper |
Erratum to: ``Variational inference of the drift function for stochastic differential equations driven by Lévy processes
Chaos | 2024-07-09 | Paper |
Variational inference of the drift function for stochastic differential equations driven by Lévy processes
Chaos | 2024-07-01 | Paper |
Statistical inference for mixed jump processes by Markov switching model with application to identify seismicity levels
Physica A | 2024-04-15 | Paper |
Learning equilibrium mean‐variance strategy
Mathematical Finance | 2024-01-31 | Paper |
Nonparametric inference of stochastic differential equations based on the relative entropy rate
Mathematical Methods in the Applied Sciences | 2023-12-21 | Paper |
Penalty method for portfolio selection with capital gains tax
Mathematical Finance | 2023-09-28 | Paper |
Asymptotic analysis of long‐term investment with two illiquid and correlated assets
Mathematical Finance | 2023-09-28 | Paper |
A stochastic model for stop-and-go phenomenon in traffic oscillation: on the prospective of macro and micro traffic flow
Applied Mathematics and Computation | 2022-12-07 | Paper |
A Stochastic Representation for Nonlocal Parabolic PDEs with Applications
Mathematics of Operations Research | 2022-09-26 | Paper |
A reinforced exploration mechanism whale optimization algorithm for continuous optimization problems
Mathematics and Computers in Simulation | 2022-06-21 | Paper |
Maximum likelihood estimation of stochastic differential equations with random effects driven by fractional Brownian motion
Applied Mathematics and Computation | 2021-11-09 | Paper |
Research on flexible flow-shop scheduling problem with lot streaming in IOT-based manufacturing environment
| 2021-07-01 | Paper |
Job shop scheduling based on improved estimation of distribution algorithm
| 2021-04-26 | Paper |
Variational inference of the drift function for stochastic differential equations driven by L\'{e}vy processes
| 2021-03-28 | Paper |
The wisdom of the crowd and prediction markets
Journal of Econometrics | 2021-03-24 | Paper |
Integrated scheduling of machines and AGVs in green job shop
| 2021-01-14 | Paper |
Detecting the maximum likelihood transition path from data of stochastic dynamical systems
Chaos: An Interdisciplinary Journal of Nonlinear Science | 2020-12-17 | Paper |
Maximum Likelihood Estimation of Stochastic Differential Equations with Random Effects Driven by Fractional Brownian Motion
| 2020-01-06 | Paper |
Opaque bank assets and optimal equity capital
Journal of Economic Dynamics and Control | 2019-03-27 | Paper |
One-state variable binomial models for European-/American-style geometric Asian options
Quantitative Finance | 2019-01-14 | Paper |
Superhedging under ratio constraint
Journal of Economic Dynamics and Control | 2018-08-13 | Paper |
Hiring, firing, and relocation under employment protection
Journal of Economic Dynamics and Control | 2018-08-13 | Paper |
Calibration of stochastic volatility models: a Tikhonov regularization approach
Journal of Economic Dynamics and Control | 2018-08-10 | Paper |
A note on finite horizon optimal investment and consumption with transaction costs
Discrete and Continuous Dynamical Systems. Series B | 2016-09-30 | Paper |
Leverage management in a bull-bear switching market
Journal of Economic Dynamics and Control | 2016-09-28 | Paper |
Optimal trend following trading rules
Mathematics of Operations Research | 2016-05-19 | Paper |
A bi-objective optimization model for integrated process planning and scheduling based on an improved algorithm
| 2016-01-15 | Paper |
Penalty methods for continuous-time portfolio selection with proportional transaction costs
The Journal of Computational Finance | 2014-04-23 | Paper |
Pricing corporate debt with finite maturity and chapter 11 proceedings
Quantitative Finance | 2014-03-04 | Paper |
Characterization of optimal strategy for multiasset investment and consumption with transaction costs
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
Finite horizon optimal investment and consumption with CARA utility and proportional transaction costs
| 2013-06-12 | Paper |
Mappings of bounded distortion between complex manifolds
Pure and Applied Mathematics Quarterly | 2013-03-07 | Paper |
Optimal stock selling/buying strategy with reference to the ultimate average
Mathematical Finance | 2013-02-28 | Paper |
A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS
Mathematical Finance | 2013-02-28 | Paper |
Optimal stock selling based on the global maximum
SIAM Journal on Control and Optimization | 2012-11-29 | Paper |
Spike sorting based on radial basis function network with overlap decomposition
Computers & Mathematics with Applications | 2012-02-05 | Paper |
Optimal decision for selling an illiquid stock
Journal of Optimization Theory and Applications | 2012-01-12 | Paper |
Optimal redeeming strategy of stock loans with finite maturity
Mathematical Finance | 2011-11-21 | Paper |
Illiquidity, position limits, and optimal investment for mutual funds
Journal of Economic Theory | 2011-08-16 | Paper |
Guaranteed minimum withdrawal benefit in variable annuities
Mathematical Finance | 2011-06-09 | Paper |
Buy low and sell high
Contemporary Quantitative Finance | 2011-05-31 | Paper |
Trend following trading under a regime switching model
SIAM Journal on Financial Mathematics | 2010-11-10 | Paper |
Bochner formulas on Hermitian manifolds and applications
| 2010-11-05 | Paper |
A lattice algorithm for pricing moving average barrier options
Journal of Economic Dynamics and Control | 2010-06-11 | Paper |
Finite horizon optimal investment and consumption with transaction costs
SIAM Journal on Control and Optimization | 2010-04-28 | Paper |
Continuous-time Markowitz's model with transaction costs
SIAM Journal on Financial Mathematics | 2010-02-03 | Paper |
Optimal multiple stopping models of reload options and shout options
Journal of Economic Dynamics and Control | 2010-01-19 | Paper |
Intensity-based framework and penalty formulation of optimal stopping problems
Journal of Economic Dynamics and Control | 2009-07-01 | Paper |
Pricing jump risk with utility indifference
Quantitative Finance | 2009-04-20 | Paper |
Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
Journal of Differential Equations | 2009-03-17 | Paper |
Options with combined reset rights on strike and maturity
Journal of Economic Dynamics and Control | 2008-11-25 | Paper |
A fuzzy method of weighting in uncertain MADM
| 2008-11-24 | Paper |
A comparative study of the numerical scales and the prioritization methods in AHP
European Journal of Operational Research | 2007-11-23 | Paper |
Optimal policies of call with notice period requirement
Asia-Pacific Financial Markets | 2007-07-25 | Paper |
scientific article; zbMATH DE number 5119021 (Why is no real title available?)
| 2007-01-26 | Paper |
A parabolic variational inequality arising from the valuation of strike reset options
Journal of Differential Equations | 2007-01-09 | Paper |
Least-squares-based fitting of paraboloids
Pattern Recognition | 2006-12-07 | Paper |
CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS
Mathematical Finance | 2006-06-12 | Paper |
Stochastic frontier production model with undesirable outputs: An application to an HIV immunology model
Progress in Natural Science | 2006-01-17 | Paper |
American Options with Lookback Payoff
SIAM Journal on Applied Mathematics | 2005-10-28 | Paper |
Options with Multiple Reset Rights
International Journal of Theoretical and Applied Finance | 2005-10-19 | Paper |
Valuing employee reload options under the time vesting requirement
Quantitative Finance | 2005-10-17 | Paper |
QUANTO LOOKBACK OPTIONS
Mathematical Finance | 2005-05-09 | Paper |
OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT
Mathematical Finance | 2005-05-09 | Paper |
Convergence of Binomial Tree Methods for European/American Path-Dependent Options
SIAM Journal on Numerical Analysis | 2005-03-01 | Paper |
scientific article; zbMATH DE number 2104606 (Why is no real title available?)
| 2004-10-01 | Paper |
scientific article; zbMATH DE number 1735427 (Why is no real title available?)
| 2003-05-20 | Paper |
Equivalent linearization method based on energy-to-\(c\)th-power difference criterion in nonlinear stochastic vibration analysis of multi-degree-of-freedom systems.
Applied Mathematics and Mechanics. (English Edition) | 2002-06-23 | Paper |
scientific article; zbMATH DE number 1512729 (Why is no real title available?)
| 2002-02-01 | Paper |
Convergence of binomial tree method for American options
| 2001-12-18 | Paper |
A modified binomial tree method for currency lookback options
Acta Mathematica Sinica, English Series | 2001-02-18 | Paper |
scientific article; zbMATH DE number 1372539 (Why is no real title available?)
| 1999-12-09 | Paper |
GSPEC: A graphical specification language for software
Science in China. Series A | 1989-01-01 | Paper |
