Jia-Wen Gu

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
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

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Jia-Wen Gu