Qunfang Bao

Available identifiers

zbMath Open bao.qunfangMaRDI QIDQ453367

List of research outcomes

Publication	Date of Publication	Type
Pricing VIX options in a stochastic vol‐of‐vol model	2019-02-08	Paper
FX options pricing in logarithmic mean-reversion jump-diffusion model with stochastic volatility	2016-01-04	Paper
Pricing CDO tranches with stochastic correlation and random factor loadings in a mixture copula model	2015-03-26	Paper
https://portal.mardi4nfdi.de/entity/Q5399569	2014-02-28	Paper
A CDO pricing model based on the mixture copula	2013-11-19	Paper
https://portal.mardi4nfdi.de/entity/Q4900871	2013-01-24	Paper
Pricing VXX option with default risk and positive volatility skew	2012-12-29	Paper
Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem	2012-10-05	Paper

Research outcomes over time

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