| Publication | Date of Publication | Type |
|---|
Pairs trading with stock borrowing fee
Quantitative Finance | 2026-03-16 | Paper |
Precommitted strategies with initial-time and intermediate-time value-at-risk constraints
Journal of Optimization Theory and Applications | 2024-11-12 | Paper |
Adaptive online mean-variance portfolio selection with transaction costs
Quantitative Finance | 2024-04-12 | Paper |
Online portfolio selection with state-dependent price estimators and transaction costs
European Journal of Operational Research | 2023-07-11 | Paper |
Optimal pairs trading strategies: a stochastic mean-variance approach
Journal of Optimization Theory and Applications | 2023-01-23 | Paper |
Generalized optimal liquidation problems across multiple trading venues
Journal of Industrial and Management Optimization | 2022-08-23 | Paper |
Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility
Journal of Industrial and Management Optimization | 2022-06-09 | Paper |
Adaptive online portfolio selection with transaction costs
European Journal of Operational Research | 2021-11-09 | Paper |
Optimal pairs trading with dynamic mean-variance objective
Mathematical Methods of Operations Research | 2021-11-02 | Paper |
How correlation risk in basket credit derivatives might be priced and managed?
IMA Journal of Management Mathematics | 2021-07-13 | Paper |
On correlated defaults and incomplete information
Journal of Industrial and Management Optimization | 2021-06-09 | Paper |
A note on \(\mathcal{P}\)- vs. \(\mathcal{Q}\)-expected loss portfolio constraints
Quantitative Finance | 2021-06-02 | Paper |
Local controllability and stability of the periodic fifth-order KdV equation with a nonlinear dispersive term
Journal of Mathematical Analysis and Applications | 2021-02-12 | Paper |
Trading strategy with stochastic volatility in a limit order book market
Decisions in Economics and Finance | 2020-07-08 | Paper |
Constrained utility deviation-risk optimization and time-consistent HJB equation
SIAM Journal on Control and Optimization | 2020-03-25 | Paper |
Optimal dividend strategies of two collaborating businesses in the diffusion approximation model
Mathematics of Operations Research | 2020-03-12 | Paper |
On infectious model for dependent defaults
Risk and Decision Analysis | 2019-03-12 | Paper |
Interacting default intensity with a hidden Markov process
Quantitative Finance | 2018-11-19 | Paper |
Interacting default intensity with a hidden Markov process
Quantitative Finance | 2018-11-19 | Paper |
Market-making strategy with asymmetric information and regime-switching
Journal of Economic Dynamics and Control | 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
Risk and Decision Analysis | 2014-08-22 | Paper |
On pricing basket credit default swaps
Quantitative Finance | 2014-03-04 | Paper |
