Shi-Jie Deng

Available identifiers

Publication	Date of Publication	Type
Statistical arbitrage under a fractal price model	2024-05-30	Paper
Optimal stop-loss rules in markets with long-range dependence	2024-05-29	Paper
Swing option pricing by dynamic programming with b-spline density projection	2020-01-16	Paper
Causal restriction and its generalization for the Wiener filter	2019-07-16	Paper
Static hedging and pricing of exotic options with payoff frames	2019-05-23	Paper
Energy method solution for the vertical deformation of longitudinally coupled prefabricated slab track	2018-11-05	Paper
Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations	2016-05-04	Paper
Multi-asset spread option pricing and hedging	2010-04-23	Paper
Hedging quantity risks with standard power options in a competitive wholesale electricity market	2007-02-20	Paper
Alternative statistical specifications of commodity price distribution with fat tail	2007-01-19	Paper
Valuation of electricity generation capacity	2006-02-20	Paper
INCORPORATING OPERATIONAL CHARACTERISTICS AND START-UP COSTS IN OPTION-BASED VALUATION OF POWER GENERATION CAPACITY	2004-02-15	Paper

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