The following pages link to Harry Zheng (Q255502):
Displaying 50 items.
- Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing (Q255503) (← links)
- Optimal liquidation in a finite time regime switching model with permanent and temporary pricing impact (Q316889) (← links)
- Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization (Q483931) (← links)
- Approximate basket options valuation for a jump-diffusion model (Q659118) (← links)
- Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method (Q661267) (← links)
- Efficient frontier of utility and CVaR (Q836867) (← links)
- Asymptotic analysis for target asset portfolio allocation with small transaction costs (Q903330) (← links)
- Basket CDS pricing with interacting intensities (Q964685) (← links)
- Constrained nonsmooth utility maximization without quadratic inf convolution (Q1016629) (← links)
- Turnpike property and convergence rate for an investment model with general utility functions (Q1623978) (← links)
- Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization (Q1683121) (← links)
- Optimal investment of DC pension plan under short-selling constraints and portfolio insurance (Q1735031) (← links)
- On correlated defaults and incomplete information (Q2031381) (← links)
- Dynamic equilibrium of market making with price competition (Q2062249) (← links)
- Speculative trading, prospect theory and transaction costs (Q2111243) (← links)
- Deep learning for constrained utility maximisation (Q2152236) (← links)
- Optimal market-making strategies under synchronised order arrivals with deep neural networks (Q2246653) (← links)
- Intensity process for a pure jump Lévy structural model with incomplete information (Q2258826) (← links)
- Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model (Q2273896) (← links)
- Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan (Q2333010) (← links)
- Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models (Q2340989) (← links)
- Constrained nonsmooth utility maximization on the positive real line (Q2356566) (← links)
- Turnpike property and convergence rate for an investment and consumption model (Q2422169) (← links)
- Macaulay durations for nonparallel shifts (Q2480222) (← links)
- Effective approximation methods for constrained utility maximization with drift uncertainty (Q2671440) (← links)
- Stochastic maximum principle for optimal liquidation with control-dependent terminal time (Q2674442) (← links)
- Qualitative Sensitivity Analysis in Monotropic Programming (Q2757560) (← links)
- On modeling credit defaults: A probabilistic Boolean network approach (Q2877543) (← links)
- Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk (Q2953949) (← links)
- THE VALUATION OF THE BASKET CDS IN A PRIMARY-SUBSIDIARY MODEL (Q2998844) (← links)
- Convergence in the Semimartingale Topology and Constrained Portfolios (Q3086809) (← links)
- On infectious model for dependent defaults (Q3119658) (← links)
- The Extended Euler--Lagrange Condition for Nonconvex Variational Problems (Q3128448) (← links)
- Closed-Loop Equilibrium Strategies for General Time-Inconsistent Optimal Control Problems (Q3382777) (← links)
- (Q4250851) (← links)
- Epi-Derivatives of Integral Functionals with Applications (Q4318456) (← links)
- Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations (Q4610156) (← links)
- A note on - vs. -expected loss portfolio constraints (Q4991071) (← links)
- Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs (Q5001155) (← links)
- Dynamic convex duality in constrained utility maximization (Q5086461) (← links)
- Obituary (Q5086616) (← links)
- Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model (Q5219547) (← links)
- Constrained Utility Deviation-Risk Optimization and Time-Consistent HJB Equation (Q5221327) (← links)
- Global Closed-Form Approximation of Free Boundary for Optimal Investment Stopping Problems (Q5232216) (← links)
- Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems (Q5388683) (← links)
- On pricing basket credit default swaps (Q5400652) (← links)
- LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS (Q5411991) (← links)
- Dynamic Portfolio Optimization with Looping Contagion Risk (Q5742492) (← links)
- Contagion models a la carte: which one to choose? (Q5746772) (← links)
- Duality for optimal consumption with randomly terminating income (Q6054381) (← links)
