The following pages link to Jonathan Y. Li (Q285990):
Displayed 8 items.
- A stochastic semidefinite programming approach for bounds on option pricing under regime switching (Q285991) (← links)
- Market price-based convex risk measures: a distribution-free optimization approach (Q435754) (← links)
- Portfolio selection under model uncertainty: a penalized moment-based optimization approach (Q1955553) (← links)
- A moment approach to bounding exotic options under regime switching (Q3145039) (← links)
- Equal risk pricing and hedging of financial derivatives with convex risk measures (Q5068070) (← links)
- Technical Note—Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization (Q5131536) (← links)
- Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures (Q6063319) (← links)
- A General Wasserstein Framework for Data-driven Distributionally Robust Optimization: Tractability and Applications (Q6405467) (← links)