| Publication | Date of Publication | Type |
|---|
Efficient multiple control variate method with applications to exotic option pricing
Communications in Statistics: Theory and Methods | 2022-05-27 | Paper |
Chaos in integer order and fractional order financial systems and their synchronization
Chaos, Solitons and Fractals | 2020-09-29 | Paper |
Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
Journal of Computational and Applied Mathematics | 2020-01-31 | Paper |
The bifurcation of limit cycles of two classes of cubic systems with homogeneous nonlinearities
Electronic Journal of Qualitative Theory of Differential Equations | 2019-10-18 | Paper |
Control variate methods and applications to Asian and basket options pricing under jump-diffusion models
IMA Journal of Management Mathematics | 2019-06-18 | Paper |
Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
Journal of Computational and Applied Mathematics | 2018-06-13 | Paper |
Stability strategies of manufacturing-inventory systems with unknown time-varying demand
Journal of Industrial and Management Optimization | 2017-10-20 | Paper |
SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS
The ANZIAM Journal | 2017-10-17 | Paper |
Mean-CVaR portfolio selection: a nonparametric estimation framework
Computers & Operations Research | 2016-11-14 | Paper |
Derivatives of functions of eigenvalues and eigenvectors for symmetric matrices
Journal of Mathematical Analysis and Applications | 2016-07-29 | Paper |
Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods
Applied Mathematics and Computation | 2016-04-21 | Paper |
Characterization of efficient frontier for mean-variance model with a drawdown constraint
Applied Mathematics and Computation | 2016-01-18 | Paper |
Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate
Journal of Industrial and Management Optimization | 2015-07-31 | Paper |
Uncertain exit time multi-period mean-variance portfolio selection with endogenous liabilities and Markov jumps
Automatica | 2015-06-25 | Paper |
Continuous-time mean-variance asset-liability management with endogenous liabilities
Insurance Mathematics & Economics | 2014-07-16 | Paper |
Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
Insurance Mathematics & Economics | 2014-06-23 | Paper |
| Existence of infinitely many periodic subharmonic solutions for nonlinear non-autonomous neutral differential equations | 2014-04-14 | Paper |
Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
Insurance Mathematics & Economics | 2014-04-10 | Paper |
Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
Insurance Mathematics & Economics | 2014-04-04 | Paper |
| Existence and uniqueness of mild solution for abstract fractional functional differential equations | 2013-05-27 | Paper |
Existence of subharmonic periodic solutions to a class of second-order non-autonomous neutral functional differential equations
Abstract and Applied Analysis | 2012-05-14 | Paper |
The existence of mild solutions for impulsive fractional partial differential equations
Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods | 2011-03-09 | Paper |
A smooth estimator for MC/QMC methods in finance
Mathematics and Computers in Simulation | 2011-01-31 | Paper |
Generating inverse Gaussian random variates by approximation
Computational Statistics and Data Analysis | 2010-04-01 | Paper |
| Variance reduction for MC/QMC methods to evaluate option prices | 2010-01-13 | Paper |
Adaptive Monte Carlo methods for matrix equations with applications
Journal of Computational and Applied Mathematics | 2009-08-05 | Paper |
Intermediate rank lattice rules and applications to finance
Applied Numerical Mathematics | 2008-12-16 | Paper |
Pricing Options Using Lattice Rules
North American Actuarial Journal | 2008-08-12 | Paper |
| scientific article; zbMATH DE number 1390112 (Why is no real title available?) | 2000-01-17 | Paper |
| scientific article; zbMATH DE number 1390113 (Why is no real title available?) | 2000-01-17 | Paper |
