| Publication | Date of Publication | Type |
|---|
Parasian over Parisian, how much earlier should one exercise?
International Journal of Theoretical and Applied Finance | 2024-12-06 | Paper |
A generalized integral equation formulation for pricing American options under regime-switching model
Journal of Computational and Applied Mathematics | 2024-08-22 | Paper |
A multiscale correction to the Black-Scholes formula
Applied Stochastic Models in Business and Industry | 2024-07-12 | Paper |
Optimal asset allocation under search frictions and stochastic interest rate
Quantitative Finance | 2023-08-02 | Paper |
An integral equation approach for pricing American put options under regime-switching model
International Journal of Computer Mathematics | 2023-07-25 | Paper |
On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures
New Mathematics and Natural Computation | 2023-02-08 | Paper |
Continuous time mean-variance-utility portfolio problem and its equilibrium strategy
Optimization | 2022-12-01 | Paper |
A closed-form pricing formula for catastrophe equity options
Probability in the Engineering and Informational Sciences | 2022-11-22 | Paper |
An exact and explicit formula for pricing lookback options with regime switching
Journal of Industrial and Management Optimization | 2022-10-10 | Paper |
Valuation of general contingent claims with short selling bans: an equal-risk pricing approach
International Journal of Theoretical and Applied Finance | 2022-09-22 | Paper |
An empirical analysis of option pricing with short sell bans
International Journal of Theoretical and Applied Finance | 2022-07-13 | Paper |
Optimal exercise of American puts with transaction costs under utility maximization
Applied Mathematics and Computation | 2021-11-16 | Paper |
Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility
Communications in Nonlinear Science and Numerical Simulation | 2021-11-16 | Paper |
A new algorithm for calibrating local regime-switching models
IMA Journal of Management Mathematics | 2021-07-13 | Paper |
Pricing resettable convertible bonds using an integral equation approach
IMA Journal of Management Mathematics | 2021-07-13 | Paper |
A revised option pricing formula with the underlying being banned from short selling
Quantitative Finance | 2020-12-07 | Paper |
Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
Computers & Mathematics with Applications | 2020-10-12 | Paper |
An alternative form used to calibrate the Heston option pricing model
Computers & Mathematics with Applications | 2020-10-12 | Paper |
Stock loan valuation under a stochastic interest rate model
Computers & Mathematics with Applications | 2020-10-11 | Paper |
An integral equation approach for the valuation of American-style down-and-out calls with rebates
Computers & Mathematics with Applications | 2020-10-11 | Paper |
Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme
Computers & Mathematics with Applications | 2020-10-07 | Paper |
A new simple tree approach for the Heston's stochastic volatility model
Computers & Mathematics with Applications | 2020-10-05 | Paper |
A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate
Computers & Mathematics with Applications | 2020-10-01 | Paper |
A numerical study of the utility-indifference approach for pricing American options
Computers & Mathematics with Applications | 2020-09-07 | Paper |
A note on the calculation of default probabilities in ``Structural credit risk modeling with Hawkes jump-diffusion processes
Journal of Computational and Applied Mathematics | 2020-08-28 | Paper |
Pricing weather derivatives with the market price of risk extracted from the utility indifference valuation
Computers & Mathematics with Applications | 2020-08-17 | Paper |
Robust portfolio optimization with multi-factor stochastic volatility
Journal of Optimization Theory and Applications | 2020-07-14 | Paper |
Optimal portfolio execution problem with stochastic price impact
Automatica | 2020-01-20 | Paper |
Pricing European call options under a hard-to-borrow stock model
Applied Mathematics and Computation | 2019-11-29 | Paper |
Optimal investment and consumption under a continuous-time cointegration model with exponential utility
Quantitative Finance | 2019-09-26 | Paper |
An accurate approximation formula for pricing European options with discrete dividend payments
IMA Journal of Management Mathematics | 2019-09-25 | Paper |
An alternative form to calibrate the correlated Stein-Stein option pricing model
Computational and Applied Mathematics | 2019-09-04 | Paper |
Pricing puttable convertible bonds with integral equation approaches
Computers & Mathematics with Applications | 2019-06-27 | Paper |
Dynamic portfolio choice with return predictability and transaction costs
European Journal of Operational Research | 2019-06-27 | Paper |
Variance and volatility swaps under a two-factor stochastic volatility model with regime switching
International Journal of Theoretical and Applied Finance | 2019-06-24 | Paper |
An analytic formula for pricing American-style convertible bonds in a regime switching model
IMA Journal of Management Mathematics | 2019-06-18 | Paper |
Pricing American-style Parisian down-and-out call options
Applied Mathematics and Computation | 2019-03-28 | Paper |
Optimal execution with regime-switching market resilience
Journal of Economic Dynamics and Control | 2019-03-27 | Paper |
A modified Black-Scholes pricing formula for European options with bounded underlying prices
Computers & Mathematics with Applications | 2019-03-25 | Paper |
A new integral equation formulation for American put options
Quantitative Finance | 2018-11-14 | Paper |
An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
Journal of Economic Dynamics and Control | 2018-08-10 | Paper |
Equal risk pricing under convex trading constraints
Journal of Economic Dynamics and Control | 2018-08-09 | Paper |
How should a local regime-switching model be calibrated?
Journal of Economic Dynamics and Control | 2018-08-09 | Paper |
Pricing American-style Parisian up-and-out call options
European Journal of Applied Mathematics | 2018-07-13 | Paper |
Pricing American call options under a hard-to-borrow stock model
European Journal of Applied Mathematics | 2018-07-13 | Paper |
Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates
International Journal of Computer Mathematics | 2018-05-17 | Paper |
A closed-form pricing formula for European options under the Heston model with stochastic interest rate
Journal of Computational and Applied Mathematics | 2018-04-16 | Paper |
PRICING EUROPEAN OPTIONS ON REGIME-SWITCHING ASSETS: A COMPARATIVE STUDY OF MONTE CARLO AND FINITE-DIFFERENCE APPROACHES
The ANZIAM Journal | 2018-03-29 | Paper |
An appropriate approach to pricing European-style options with the Adomian decomposition method
The ANZIAM Journal | 2018-03-14 | Paper |
Pricing European options with stochastic volatility under the minimal entropy martingale measure
European Journal of Applied Mathematics | 2017-11-24 | Paper |
An analytical solution for Parisian up-and-in calls
The ANZIAM Journal | 2017-10-17 | Paper |
On the convergence of He and Zhu's new series solution for pricing options with the Heston model
| 2017-09-04 | Paper |
On the Adomian decomposition method for solving PDEs
| 2017-01-06 | Paper |
Pricing Parisian and Parasian options analytically
Journal of Economic Dynamics and Control | 2016-10-05 | Paper |
An inverse finite element method for pricing American options
Journal of Economic Dynamics and Control | 2016-09-22 | Paper |
Pricing forward-start variance swaps with stochastic volatility
Applied Mathematics and Computation | 2016-01-04 | Paper |
A predictor-corrector approach for pricing American options under the finite moment log-stable model
Applied Numerical Mathematics | 2015-09-07 | Paper |
Analytically pricing volatility swaps under stochastic volatility
Journal of Computational and Applied Mathematics | 2015-06-22 | Paper |
Pricing Parisian down-and-in options
Applied Mathematics Letters | 2015-05-15 | Paper |
An explicit analytic formula for pricing barrier options with regime switching
Mathematics and Financial Economics | 2015-03-24 | Paper |
A simple closed-form formula for pricing discretely-sampled variance swaps under the Heston model
The ANZIAM Journal | 2014-11-12 | Paper |
Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative
Quarterly of Applied Mathematics | 2014-09-19 | Paper |
A simple approximation formula for calculating the optimal exercise boundary of American puts
Journal of Applied Mathematics and Computing | 2014-07-15 | Paper |
On the valuation of variance swaps with stochastic volatility
Applied Mathematics and Computation | 2014-07-04 | Paper |
A new exact solution for pricing European options in a two-state regime-switching economy
Computers & Mathematics with Applications | 2013-07-25 | Paper |
Pricing VIX options with stochastic volatility and random jumps
Decisions in Economics and Finance | 2013-07-19 | Paper |
Using Laplace transform to price American puts
| 2013-05-24 | Paper |
How should a convertible bond be decomposed?
Decisions in Economics and Finance | 2013-02-25 | Paper |
Pricing perpetual American puts under multi-scale stochastic volatility
Asymptotic Analysis | 2012-12-03 | Paper |
A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility
Applied Mathematics Letters | 2012-10-17 | Paper |
SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?
International Journal of Theoretical and Applied Finance | 2012-03-13 | Paper |
Diffraction of ocean waves around a hollow cylindrical shell structure
Wave Motion | 2012-02-11 | Paper |
A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
Computers & Mathematics with Applications | 2011-12-18 | Paper |
An explicit series approximation to the optimal exercise boundary of American put options
Communications in Nonlinear Science and Numerical Simulation | 2011-09-23 | Paper |
Pricing perpetual American options under a stochastic-volatility model with fast mean reversion
Applied Mathematics Letters | 2011-07-11 | Paper |
A spectral-collocation method for pricing perpetual American puts with stochastic volatility
Applied Mathematics and Computation | 2011-06-27 | Paper |
Combined diffraction and radiation of ocean waves around an OWC device
Journal of Applied Mathematics and Computing | 2011-06-22 | Paper |
A closed-form exact solution for pricing variance swaps with stochastic volatility
Mathematical Finance | 2011-03-25 | Paper |
A new predictor-corrector scheme for valuing American puts
Applied Mathematics and Computation | 2011-02-02 | Paper |
Optimal exercise price of American options near expiry
The ANZIAM Journal | 2010-11-24 | Paper |
A numerical model for multiphase flow based on the GMPPS formulation. I: Kinematics
Computers and Fluids | 2010-09-16 | Paper |
A new analytical approximation for European puts with stochastic volatility
Applied Mathematics Letters | 2010-05-21 | Paper |
A solenoidal initial condition for the numerical solution of the Navier-Stokes equations for two-phase incompressible flow
| 2010-04-16 | Paper |
An analytical solution for long wave refraction over a circular hump
Journal of Applied Mathematics and Computing | 2009-10-23 | Paper |
A perturbation DRBEM model for weakly nonlinear wave run-ups around islands
Engineering Analysis with Boundary Elements | 2009-03-16 | Paper |
CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA
International Journal of Theoretical and Applied Finance | 2008-05-28 | Paper |
On the improvement of a numerical method for solving high‐order non‐linear ordinary differential equations
Communications in Numerical Methods in Engineering | 2008-03-27 | Paper |
A comparative study of the direct boundary element method and the dual reciprocity boundary element method in solving the Helmholtz equation
The ANZIAM Journal | 2008-03-06 | Paper |
On nonlinear transient free-surface flows over a bottom obstruction
Physics of Fluids | 2007-08-15 | Paper |
A closed-form analytical solution for the valuation of convertible bonds with constant dividend yield
The ANZIAM Journal | 2007-03-20 | Paper |
A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
International Journal of Theoretical and Applied Finance | 2007-02-08 | Paper |
An exact and explicit solution for the valuation of American put options
Quantitative Finance | 2006-08-21 | Paper |
A flat ship theory on bow and stern flows
The ANZIAM Journal | 2004-05-18 | Paper |
A new numerical approach for solving high-order non-linear ordinary differential equations
Communications in Numerical Methods in Engineering | 2003-08-28 | Paper |
The dual reciprocity boundary element method for magnetohydrodynamic channel flows
The ANZIAM Journal | 2003-08-28 | Paper |
A third-order Boussinesq model applied to nonlinear evolution of shallow-water waves
Journal of Hydrodynamics. Ser. B | 2002-09-11 | Paper |
Modelling the confinement of spilled oil with floating booms
Applied Mathematical Modelling | 2002-05-15 | Paper |
A general DRBEM model for wave refraction and diffraction
Engineering Analysis with Boundary Elements | 2002-03-13 | Paper |
A combination of LTDRM and ATPS in solving diffusion problems
| 2002-03-10 | Paper |
Solving transient diffusion problems: Time-dependent fundamental solution approaches versus LTDRM approaches
Engineering Analysis with Boundary Elements | 2002-02-10 | Paper |
scientific article; zbMATH DE number 1424105 (Why is no real title available?)
| 2000-08-21 | Paper |
A combination of LTDRM and ATPS in solving diffusion problems
Engineering Analysis with Boundary Elements | 2000-08-09 | Paper |
Scattering of long waves around a circular island mounted on a conical shoal
Wave Motion | 1999-09-29 | Paper |
On the application of multiquadric bases in conjunction with the LTDRM method to solve nonlinear diffusion equations
Applied Mathematics and Computation | 1999-06-29 | Paper |
Subcritical, transcritical and supercritical flows over a step
Journal of Fluid Mechanics | 1999-05-25 | Paper |
Resonant transcritical flow over a wavy bed
Wave Motion | 1999-04-26 | Paper |
An application of the LTDRM to transient diffusion problems with nonlinear material properties and nonlinear boundary conditions
Applied Mathematics and Computation | 1999-02-18 | Paper |
A comparison study of nonlinear waves generated behind a semicircular trench
Proceedings of the Royal Society of London. Series A: Mathematical and Physical Sciences | 1997-11-04 | Paper |
Open channel flow past a bottom obstruction
Journal of Engineering Mathematics | 1997-08-21 | Paper |
An efficient numerical calculation of wave loads on an array of vertical cylinders
Applied Mathematical Modelling | 1997-01-27 | Paper |
Computer-simulated current responses to cyclones on the North West Shelf of Australia
Mathematical and Computer Modelling | 1996-12-11 | Paper |
An efficient computational method for modelling transient heat conduction with nonlinear source terms
Applied Mathematical Modelling | 1996-11-25 | Paper |
A DRBEM model for microwave heating problems
Applied Mathematical Modelling | 1996-04-29 | Paper |
scientific article; zbMATH DE number 852232 (Why is no real title available?)
| 1996-04-17 | Paper |
scientific article; zbMATH DE number 703037 (Why is no real title available?)
| 1995-09-17 | Paper |
A three-dimensional numerical model of the response of the Australian North West Shelf to tropical cyclones
The Journal of the Australian Mathematical Society. Series B. Applied Mathematics | 1995-07-25 | Paper |
New solutions for the propagation of long water waves over variable depth
Journal of Fluid Mechanics | 1995-05-23 | Paper |
scientific article; zbMATH DE number 703044 (Why is no real title available?)
| 1994-12-14 | Paper |
Improvement on dual reciprocity boundary element method for equations with convective terms
Communications in Numerical Methods in Engineering | 1994-09-22 | Paper |
Stationary Binnie waves near resonance
Quarterly of Applied Mathematics | 1992-12-16 | Paper |
