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 |
|---|---|---|
| Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods Review of Derivatives Research | 2022-08-19 | Paper |
| Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield Chaos, Solitons and Fractals | 2022-04-01 | Paper |
| A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates Chaos, Solitons and Fractals | 2020-12-02 | Paper |
| Pricing zero-coupon catastrophe bonds using EVT with doubly stochastic Poisson arrivals Discrete Dynamics in Nature and Society | 2019-07-30 | Paper |
| Pricing catastrophe risk bonds: a mixed approximation method Insurance Mathematics & Economics | 2014-04-03 | Paper |
| A penalty function algorithm of solving objection function controlled trilevel linear programming | 2008-11-24 | Paper |
Research outcomes over time
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