Yanchu Liu

Available identifiers

Publication	Date of Publication	Type
Media-expressed tone, option characteristics, and stock return predictability	2022-03-15	Paper
Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient	2022-03-11	Paper
Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing	2021-12-01	Paper
Optimal procurement strategies for contractual assembly systems with fluctuating procurement price	2020-08-28	Paper
Information Relaxation and A Duality-Driven Algorithm for Stochastic Dynamic Programs	2020-07-28	Paper
Dynamic risk-sharing game and reinsurance contract design	2019-05-23	Paper
Approximate arbitrage-free option pricing under the SABR model	2018-08-09	Paper
Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes	2018-05-30	Paper
A Variant of L^♮-Convexity and its Application to Inventory Models with Batch Ordering	2015-02-17	Paper
American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach	2014-12-22	Paper
Maximizing the Probability of a Perfect Hedge in the Case of Stochastic Interest Rate	2011-12-19	Paper

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