Nien-Lin Liu

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
An empirical analysis of spot and forward interest rates in seven European countries via principal component analysis and the Malliavin-Mancino method Asia-Pacific Financial Markets	2026-02-03	Paper
\(L^2\)-convergence rate for the discretization error of functions of Lévy process Stochastics	2022-07-05	Paper
Expressions of forward starting option price in Hull-White stochastic volatility model Decisions in Economics and Finance	2022-06-17	Paper
Most-likely-path in Asian option pricing under local volatility models International Journal of Theoretical and Applied Finance	2018-09-04	Paper
Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis Japan Journal of Industrial and Applied Mathematics	2017-12-12	Paper
A comparative study of principal component analysis on term structure of interest rates JSIAM Letters	2013-08-09	Paper
Fourier estimation method applied to forward interest rates JSIAM Letters	2013-08-09	Paper
Numerical study on a type I error of a random walk hypothesis on interest rates	2012-06-04	Paper

Research outcomes over time

This page was built for person: Nien-Lin Liu