| Publication | Date of Publication | Type |
|---|
Optimal expansion of business opportunity
European Journal of Operational Research | 2023-07-10 | Paper |
Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate
Scandinavian Actuarial Journal | 2023-03-13 | Paper |
Pairs trading under delayed cointegration
Quantitative Finance | 2022-09-30 | Paper |
Pairs trading with illiquidity and position limits
Journal of Industrial and Management Optimization | 2021-11-12 | Paper |
FFT-network for bivariate Lévy option pricing
Japan Journal of Industrial and Applied Mathematics | 2021-05-04 | Paper |
Volterra mortality model: actuarial valuation and risk management with long-range dependence
Insurance Mathematics & Economics | 2021-03-17 | Paper |
MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS
The ANZIAM Journal | 2021-02-10 | Paper |
Stochastic volatility asymptotics for optimal subsistence consumption and investment with bankruptcy
SIAM Journal on Financial Mathematics | 2020-02-14 | Paper |
Time-consistent mean-variance pairs-trading under regime-switching cointegration
SIAM Journal on Financial Mathematics | 2019-11-22 | Paper |
Optimal investment for insurers with correlation risk: risk aversion and investment horizon
IMA Journal of Management Mathematics | 2019-09-25 | Paper |
Robust dynamic pairs trading with cointegration
Operations Research Letters | 2019-06-11 | Paper |
Optimal investment for insurers with the extended CIR interest rate model
Abstract and Applied Analysis | 2019-02-14 | Paper |
Dynamic safety first expected utility model
European Journal of Operational Research | 2018-07-25 | Paper |
Dual-curve Hull-White interest rate model with stochastic volatility
Japan Journal of Industrial and Applied Mathematics | 2017-12-12 | Paper |
FFT network for interest rate derivatives with Lévy processes
Japan Journal of Industrial and Applied Mathematics | 2017-12-12 | Paper |
Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration
Insurance Mathematics & Economics | 2016-12-14 | Paper |
Commodity derivatives pricing with cointegration and stochastic covariances
European Journal of Operational Research | 2016-10-06 | Paper |
Dynamic cointegrated pairs trading: mean-variance time-consistent strategies
Journal of Computational and Applied Mathematics | 2015-08-19 | Paper |
Mean-variance asset-liability management with asset correlation risk and insurance liabilities
Insurance Mathematics & Economics | 2015-02-03 | Paper |
Time-consistent mean-variance hedging of longevity risk: effect of cointegration
Insurance Mathematics & Economics | 2015-01-28 | Paper |
Mean-variance asset-liability management: cointegrated assets and insurance liability
European Journal of Operational Research | 2014-07-27 | Paper |
Mean-variance portfolio selection with correlation risk
Journal of Computational and Applied Mathematics | 2014-07-17 | Paper |
Optimal investment for an insurer with cointegrated assets: CRRA utility
Insurance Mathematics & Economics | 2014-07-16 | Paper |
Homotopy analysis method for boundary-value problem of turbo warrant pricing under stochastic volatility
Abstract and Applied Analysis | 2013-09-19 | Paper |
Mean-variance principle of managing cointegrated risky assets and random liabilities
Operations Research Letters | 2013-06-24 | Paper |
Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility
Operations Research Letters | 2012-07-13 | Paper |
Mean-variance portfolio selection of cointegrated assets
Journal of Economic Dynamics and Control | 2011-07-13 | Paper |
Asset-liability management under the safety-first principle
Journal of Optimization Theory and Applications | 2010-02-15 | Paper |
Asset and liability management under a continuous-time mean-variance optimization framework
Insurance Mathematics & Economics | 2007-01-09 | Paper |
