Qunfang Bao

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
Pricing VIX options in a stochastic vol-of-vol model Applied Stochastic Models in Business and Industry	2019-02-08	Paper
FX options pricing in logarithmic mean-reversion jump-diffusion model with stochastic volatility Applied Mathematics and Computation	2016-01-04	Paper
Pricing CDO tranches with stochastic correlation and random factor loadings in a mixture copula model Applied Mathematics and Computation	2015-03-26	Paper
The foreign-domestic symmetry formula of FX options in stochastic volatility jump-diffusion models	2014-02-28	Paper
A CDO pricing model based on the mixture copula Applied Mathematics. Series A (Chinese Edition)	2013-11-19	Paper
scientific article; zbMATH DE number 6129332 (Why is no real title available?)	2013-01-24	Paper
Pricing VXX option with default risk and positive volatility skew European Journal of Operational Research	2012-12-29	Paper
Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem Applied Mathematics. Series B (English Edition)	2012-10-05	Paper

Research outcomes over time

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