| Publication | Date of Publication | Type |
|---|
Analytically pricing european options under a two-factor stochastic interest rate model with a stochastic long-run equilibrium level
The ANZIAM Journal | 2024-12-31 | Paper |
Equilibrium pricing of European crude oil options with stochastic behaviour and jump risks
Mathematics and Computers in Simulation | 2024-04-17 | Paper |
Analytically pricing European options with a two-factor Stein-Stein model
Journal of Computational and Applied Mathematics | 2024-04-09 | Paper |
VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL
The ANZIAM Journal | 2023-04-28 | Paper |
A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching
Japan Journal of Industrial and Applied Mathematics | 2023-01-17 | Paper |
Continuous time mean-variance-utility portfolio problem and its equilibrium strategy
Optimization | 2022-12-01 | Paper |
Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching
Physica A | 2022-08-15 | Paper |
An empirical analysis of option pricing with short sell bans
International Journal of Theoretical and Applied Finance | 2022-07-13 | Paper |
On a class of estimation and test for long memory
Physica A | 2022-07-01 | Paper |
Pricing credit default swaps with Parisian and Parasian default mechanics
Communications in Statistics. Simulation and Computation | 2022-06-21 | Paper |
A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model
Chaos, Solitons and Fractals | 2022-04-26 | Paper |
Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching
IMA Journal of Management Mathematics | 2022-03-22 | Paper |
An analytical approximation formula for the pricing of credit default swaps with regime switching
The ANZIAM Journal | 2021-10-26 | Paper |
Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory
Applied Mathematics and Optimization | 2021-10-08 | Paper |
A new algorithm for calibrating local regime-switching models
IMA Journal of Management Mathematics | 2021-07-13 | Paper |
A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean
Mathematics and Financial Economics | 2021-05-05 | Paper |
A revised option pricing formula with the underlying being banned from short selling
Quantitative Finance | 2020-12-07 | Paper |
A regime switching fractional Black-Scholes model and European option pricing
Communications in Nonlinear Science and Numerical Simulation | 2020-10-15 | Paper |
An alternative form used to calibrate the Heston option pricing model
Computers & Mathematics with Applications | 2020-10-12 | 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 new integral equation approach for pricing American-style barrier options with rebates
Journal of Computational and Applied Mathematics | 2020-09-14 | Paper |
A semi-analytical pricing formula for European options under the rough Heston-CIR model
The ANZIAM Journal | 2020-06-02 | Paper |
A Monte-Carlo based approach for pricing credit default swaps with regime switching
Computers & Mathematics with Applications | 2020-02-05 | 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 |
An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model.
Applications of Mathematics | 2019-08-05 | 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 |
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 |
Pricing credit default swaps under a multi-scale stochastic volatility model
Physica A | 2018-11-13 | Paper |
The pricing of credit default swaps under a generalized mixed fractional Brownian motion
Physica A | 2018-09-20 | 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 |
How should a local regime-switching model be calibrated?
Journal of Economic Dynamics and Control | 2018-08-09 | 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 with stochastic volatility under the minimal entropy martingale measure
European Journal of Applied Mathematics | 2017-11-24 | Paper |
On the convergence of He and Zhu's new series solution for pricing options with the Heston model
| 2017-09-04 | Paper |
