Feng-Hui Yu
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Person:2238761
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 |
|---|---|---|
| Optimal pairs trading strategies: a stochastic mean-variance approach Journal of Optimization Theory and Applications | 2023-01-23 | 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 |
| 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 |
| Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows (available as arXiv preprint) | N/A | Paper |
Research outcomes over time
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