Daniel Wei-Chung Miao

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Extending the intensity model with joint defaults to incorporate the lasting effects from common credit events Applied Stochastic Models in Business and Industry	2024-07-18	Paper
Option pricing when asset returns jump interruptedly Applied Stochastic Models in Business and Industry	2024-07-10	Paper
Using Householder's method to improve the accuracy of the closed-form formulas for implied volatility Mathematical Methods of Operations Research	2022-02-11	Paper
Modelling DAX by applying parabola approximation method International Journal of Computing Science and Mathematics	2021-02-03	Paper
Corrected discrete approximations for multiple window scan statistics of one-dimensional Poisson processes Methodology and Computing in Applied Probability	2020-05-04	Paper
Applications of linear ordinary differential equations and dynamic system to economics - an example of Taiwan stock index TAIEX International Journal of Dynamical Systems and Differential Equations	2020-01-23	Paper
A note on the never-early-exercise region of American power exchange options Operations Research Letters	2018-09-28	Paper
Corrected discrete approximations for the conditional and unconditional distributions of the continuous scan statistic Journal of Applied Probability	2018-09-26	Paper
Option pricing under jump-diffusion models with mean-reverting bivariate jumps Operations Research Letters	2018-08-27	Paper
Using forward Monte-Carlo simulation for the valuation of American barrier options Annals of Operations Research	2018-06-12	Paper
Analysis of a jump-diffusion option pricing model with serially correlated jump sizes Communications in Statistics: Theory and Methods	2018-04-11	Paper
Computational analysis of a Markovian queueing system with geometric mean-reverting arrival process Computers & Operations Research	2016-11-17	Paper
scientific article; zbMATH DE number 6605889 (Why is no real title available?)	2016-07-25	Paper
A standardized normal-Laplace mixture distribution fitted to symmetric implied volatility smiles Communications in Statistics. Simulation and Computation	2016-07-14	Paper
Sample-path analysis of general arrival queueing systems with constant amount of work for all customers Queueing Systems	2014-11-14	Paper
Second-order performance analysis of discrete-time queues fed by DAR(2) sources with a focus on the marginal effect of the additional traffic parameter Applied Stochastic Models in Business and Industry	2014-05-06	Paper
Analysis of the discrete Ornstein-Uhlenbeck process caused by the tick size effect Journal of Applied Probability	2014-04-04	Paper
On the variances of system size and sojourn time in a discrete-time \(DAR(1)/D/1\) queue Probability in the Engineering and Informational Sciences	2012-05-24	Paper

Research outcomes over time

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