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Tian, Yu


 SSRN Author Rank: 9,461 by Downloads
 

Monash Uiversity


 Clayton Campus
 Melbourne, Victoria VIC3800
 Australia
 email address

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. Tian, Yu's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
2,989
Total
Citations
2
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Calibrating and Pricing with a Stochastic-Local Volatility Model | Show Abstract | Download This Paper |
Journal of Derivatives, Forthcoming
Number of Pages in PDF File: 19
Tian, Yu
Monash Uiversity
Zhu, Zili
CSIRO
Lee, Geoffrey
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Klebaner, Fima
Monash University
Hamza, Kais
Monash University
Posted:
30 Nov 12
Last Revised:
09 Jul 14
1,235
(8,592)
 

2.  
Tian, Yu
Monash Uiversity
Posted:
23 Mar 10
428
(39,703)
 

3.  
Tian, Yu
Monash Uiversity
Posted:
24 Feb 14
396
(43,831)
 

4.  
Pricing Barrier and American Options under the SABR model on the GPU | Show Abstract | Download This Paper |
Concurrency and Computation: Practice and Experience, 2011
Number of Pages in PDF File: 15
Tian, Yu
Monash Uiversity
Zhu, Zili
CSIRO
Klebaner, Fima
Monash University
Hamza, Kais
Monash University
Posted:
04 Aug 10
Last Revised:
10 Apr 11
360
(49,012)
2

5.  
A Hybrid Stochastic Volatility Model Incorporating Local Volatility | Show Abstract | Download This Paper |
2012 Fourth International Conference on Computational and Information Sciences (ICCIS)
Number of Pages in PDF File: 4
Tian, Yu
Monash Uiversity
Zhu, Zili
CSIRO
Klebaner, Fima
Monash University
Hamza, Kais
Monash University
Posted:
04 Jun 12
Last Revised:
28 Jan 14
355
(49,867)
 

6.  
Efficient Portfolio Valuation Incorporating Liquidity Risk | Show Abstract | Download This Paper |
Quantitative Finance, Oct, 2013
Number of Pages in PDF File: 19
Tian, Yu
Monash Uiversity
Rood, Ron
Royal Bank of Scotland (RBS)
Oosterlee, Cornelis W.
Center for Mathematics and Computer Science (CWI)
Posted:
27 Jan 11
Last Revised:
28 Jan 14
115
(150,848)
 

7.  
Pricing Window Barrier Options with a Hybrid Stochastic-Local Volatility Model | Show Abstract | Download This Paper |
2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics
Number of Pages in PDF File: 8
Tian, Yu
Monash Uiversity
Zhu, Zili
CSIRO
Lee, Geoffrey
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Lo, Thomas
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Klebaner, Fima
Monash University
Hamza, Kais
Monash University
Posted:
20 Nov 13
Last Revised:
23 Feb 14
100
(166,766)
 


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