Shiyu Song

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Person:267885

Available identifiers

zbMath Open song.shiyuMaRDI QIDQ267885

List of research outcomes





PublicationDate of PublicationType
Skew Ornstein-Uhlenbeck processes with sticky reflection and their applications to bond pricing2024-11-15Paper
Computation of VaR for portfolios in intensity models2024-07-26Paper
The analysis and property of two classes of skew Markov processes2022-03-21Paper
A result on the Laplace transform associated with the sticky Brownian motion on an interval2021-12-17Paper
Some explicit results on first exit times for a jump diffusion process involving semimartingale local time2021-11-17Paper
An event-triggered approach to robust fault detection for nonlinear uncertain Markovian jump systems with time-varying delays2020-08-20Paper
On first passage times of sticky reflecting diffusion processes with double exponential jumps2020-05-12Paper
On the probability of default in a market with price clustering and jump risk2020-04-29Paper
Some explicit results on one kind of sticky diffusion2019-07-31Paper
Pricing double barrier options under a volatility regime-switching model with psychological barriers2018-11-30Paper
On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media2018-11-13Paper
Pricing European vanilla options under a jump-to-default threshold diffusion model2018-07-26Paper
Closed-form likelihood estimation for one type of affine point processes2016-10-31Paper
The valuation of options on foreign exchange rate in a target zone2016-05-17Paper
On first hitting times for skew CIR processes2016-04-12Paper
Some properties of doubly skewed CIR processes2015-11-17Paper
First hitting times for doubly skewed Ornstein-Uhlenbeck processes2015-04-01Paper
Skew Ornstein-Uhlenbeck processes and their financial applications2014-07-31Paper

Research outcomes over time

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