| Publication | Date of Publication | Type |
|---|
Efficient pricing and greeks estimation for variable annuities under a multivariate OUSV model
Insurance Mathematics & Economics | 2026-03-12 | Paper |
Valuation of guaranteed lifelong withdrawal benefit with the long-term care option
Insurance Mathematics & Economics | 2025-01-17 | Paper |
A general framework to simulate diffusions with discontinuous coefficients and local times
ACM Transactions on Modeling and Computer Simulation | 2024-11-14 | Paper |
Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk
Communications in Nonlinear Science and Numerical Simulation | 2024-08-21 | Paper |
Multi-block alternating direction method of multipliers for ultrahigh dimensional quantile fused regression
Computational Statistics and Data Analysis | 2024-06-12 | Paper |
Explicit solution to the economic index of riskiness
Economics Letters | 2024-01-19 | Paper |
| A unified fused Lasso approach for sparse and blocky feature selection in regression and classification | 2023-11-18 | Paper |
Optimal investment problem under behavioral setting: a Lagrange duality perspective
Journal of Economic Dynamics and Control | 2023-11-15 | Paper |
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
Quantitative Finance | 2023-09-25 | Paper |
Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times
Probability in the Engineering and Informational Sciences | 2023-06-16 | Paper |
Laplace bounds approximation for American options
Probability in the Engineering and Informational Sciences | 2022-11-22 | Paper |
A new representation of the risk-neutral distribution and its applications
Quantitative Finance | 2022-05-27 | Paper |
Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient
Operations Research Letters | 2022-03-11 | Paper |
SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS
International Journal of Theoretical and Applied Finance | 2022-03-11 | Paper |
Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks
Journal of Computational and Applied Mathematics | 2021-12-14 | Paper |
On the optimal design of the randomized unbiased Monte Carlo estimators
Operations Research Letters | 2021-12-13 | Paper |
CTMC integral equation method for American options under stochastic local volatility models
Journal of Economic Dynamics and Control | 2021-11-16 | Paper |
Non-convex isotonic regression via the Myersonian approach
Statistics & Probability Letters | 2021-11-12 | Paper |
Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates
Mathematical Methods of Operations Research | 2021-07-14 | Paper |
A Markov chain approximation scheme for option pricing under skew diffusions
Quantitative Finance | 2021-06-02 | Paper |
Optimal unbiased estimation for expected cumulative discounted cost
European Journal of Operational Research | 2020-05-27 | Paper |
Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
Annals of Operations Research | 2020-01-20 | Paper |
Variance swaps valuation under non-affine GARCH models and their diffusion limits
Quantitative Finance | 2019-09-26 | Paper |
Revisiting advance disclosure of insider trading
Economics Letters | 2019-08-05 | Paper |
Systemic risk and optimal fee for central clearing counterparty under partial netting
Operations Research Letters | 2019-06-11 | Paper |
Impact of flexible periodic premiums on variable annuity guarantees
North American Actuarial Journal | 2019-05-28 | Paper |
Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
North American Actuarial Journal | 2019-05-28 | Paper |
Prices and asymptotics for discrete variance swaps
Applied Mathematical Finance | 2018-09-11 | Paper |
Valuation of American strangles through an optimized lower-upper bound approach
Journal of the Operations Research Society of China | 2018-08-10 | Paper |
Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
European Journal of Operational Research | 2018-05-30 | Paper |
Hybrid Laplace transform and finite difference methods for pricing American options under complex models
Computers & Mathematics with Applications | 2018-03-09 | Paper |
On the martingale property in stochastic volatility models based on time-homogeneous diffusions
Mathematical Finance | 2017-03-13 | Paper |
Omega diffusion risk model with surplus-dependent tax and capital injections
Insurance Mathematics & Economics | 2016-10-06 | Paper |
Stochastic areas of diffusions and applications
Journal of Mathematical Analysis and Applications | 2016-01-28 | Paper |
Comment on ``Modeling non-monotone risk aversion using SAHARA utility functions
Journal of Economic Theory | 2014-09-08 | Paper |
A new proof of an Engelbert-Schmidt type zero-one law for time-homogeneous diffusions
Statistics & Probability Letters | 2014-06-11 | Paper |
| Omega risk model with tax | 2014-03-29 | Paper |
| Stochastic areas of diffusions and applications in risk theory | 2013-12-01 | Paper |
Correction note for ``The large-maturity smile for the Heston model
Finance and Stochastics | 2013-02-07 | Paper |
Nearly exact option price simulation using characteristic functions
International Journal of Theoretical and Applied Finance | 2013-01-16 | Paper |
Comment on ``Option pricing under the Merton model of the short rate by Kung and Lee
Mathematics and Computers in Simulation | 2010-11-30 | Paper |
