Cheng-long Xu

Available identifiers

zbMath Open xu.chenglongMaRDI QIDQ1871988

List of research outcomes

Publication	Date of Publication	Type
Efficient Monte Carlo Method for Integral Fractional Laplacian in Multiple Dimensions	2023-09-29	Paper
A new options pricing method: semi-stochastic kernel regression method with constraints	2023-08-16	Paper
A new `walk on spheres' type method for fractional diffusion equation in high dimensions based on the Feynman-Kac formulas	2023-06-26	Paper
An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate	2022-02-17	Paper
An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting	2022-02-16	Paper
Least-square-based control variate method for pricing options under general factor models	2022-02-16	Paper
A quick operator splitting method for option pricing	2022-02-11	Paper
https://portal.mardi4nfdi.de/entity/Q4984760	2021-04-26	Paper
https://portal.mardi4nfdi.de/entity/Q5115182	2020-08-12	Paper
https://portal.mardi4nfdi.de/entity/Q5196962	2019-09-20	Paper
On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes	2018-09-28	Paper
A hybrid Monte Carlo acceleration method of pricing basket options based on splitting	2018-06-13	Paper
https://portal.mardi4nfdi.de/entity/Q4641066	2018-05-25	Paper
https://portal.mardi4nfdi.de/entity/Q2823520	2016-10-06	Paper
https://portal.mardi4nfdi.de/entity/Q3462867	2016-01-15	Paper
Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion	2014-11-28	Paper
https://portal.mardi4nfdi.de/entity/Q2924611	2014-11-03	Paper
https://portal.mardi4nfdi.de/entity/Q5398763	2014-02-28	Paper
https://portal.mardi4nfdi.de/entity/Q5398775	2014-02-28	Paper
https://portal.mardi4nfdi.de/entity/Q5398776	2014-02-28	Paper
https://portal.mardi4nfdi.de/entity/Q4900772	2013-01-24	Paper
Explicit formulas for pricing of callable mortgage-backed securities in a case of prepayment rate negatively correlated with interest rates	2012-07-04	Paper
Hermite spectral and pseudospectral methods for nonlinear partial differential equation in multiple dimensions	2011-05-30	Paper
https://portal.mardi4nfdi.de/entity/Q3072844	2011-02-05	Paper
An efficient control variate method for pricing variance derivatives	2010-10-25	Paper
https://portal.mardi4nfdi.de/entity/Q5320152	2009-07-22	Paper
https://portal.mardi4nfdi.de/entity/Q3630867	2009-06-04	Paper
https://portal.mardi4nfdi.de/entity/Q3611228	2009-03-06	Paper
https://portal.mardi4nfdi.de/entity/Q3611233	2009-03-06	Paper
Modified Laguerre spectral and pseudospectral methods for nonlinear partial differential equations in multiple dimensions	2008-09-01	Paper
https://portal.mardi4nfdi.de/entity/Q5483629	2006-08-23	Paper
Integral price formulas for lookback options	2006-06-30	Paper
https://portal.mardi4nfdi.de/entity/Q4673343	2005-04-29	Paper
Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model	2005-03-01	Paper
Mixed Laguerre-Legendre pseudospectral method for incompressible fluid flow in an infinite strip	2003-10-29	Paper
Numerical analysis on binomial tree methods for a jump-diffusion model.	2003-07-29	Paper
Spectral and pseudospectral approximations using Hermite functions: Application to the Dirac equation	2003-05-04	Paper
https://portal.mardi4nfdi.de/entity/Q4551556	2003-02-04	Paper
Mixed Laguerre-Legendre spectral method for incompressible flow in an infinite strip	2002-04-23	Paper
https://portal.mardi4nfdi.de/entity/Q2769398	2002-02-05	Paper
On two-dimensional unsteady incompressible fluid flow in an infinite strip	2001-11-01	Paper
Hermite pseudospectral method for nonlinear partial differential equations	2001-08-02	Paper
https://portal.mardi4nfdi.de/entity/Q4349546	1997-11-25	Paper
https://portal.mardi4nfdi.de/entity/Q4349527	1997-08-24	Paper
https://portal.mardi4nfdi.de/entity/Q3124336	1997-03-13	Paper
https://portal.mardi4nfdi.de/entity/Q4010097	1992-09-27	Paper
https://portal.mardi4nfdi.de/entity/Q3831369	1987-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3805087	1986-01-01	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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This page was built for person: Cheng-long Xu