Guanghua Lian

University of South Australia - School of Commerce

37-44 North Terrace

Adelaide SA 5000, South Australia 5001

Australia

SCHOLARLY PAPERS

12

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1,704

SSRN CITATIONS
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SSRN RANKINGS

Top 17,980

in Total Papers Citations

26

CROSSREF CITATIONS

29

Scholarly Papers (12)

1.

Pricing Vix Options with Stochastic Volatility and Random Jumps

Number of pages: 24 Posted: 23 May 2012
Guanghua Lian and Song-Ping Zhu
University of South Australia - School of Commerce and University of Wollongong
Downloads 429 (75,463)
Citation 3

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2.

An Analytical Formula for VIX Futures and its Applications

Journal of Futures Markets, 2009
Number of pages: 25 Posted: 15 Feb 2011
Song-Ping Zhu and Guanghua Lian
University of Wollongong and University of South Australia - School of Commerce
Downloads 393 (83,572)
Citation 4

Abstract:

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3.

A Closed-Form Exact Solution for Pricing Variance Swaps With Stochastic Volatility

Number of pages: 24 Posted: 08 Dec 2010 Last Revised: 28 Aug 2012
Song-Ping Zhu and Guanghua Lian
University of Wollongong and University of South Australia - School of Commerce
Downloads 253 (135,422)
Citation 1

Abstract:

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Variance Swaps, Heston Model, Closed-Form Exact Solution, Explicit Formula, Stochastic Volatility

4.

The Evolution of Price Discovery in US Equity and Derivatives Markets

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 41 Posted: 22 Aug 2014 Last Revised: 19 Nov 2014
Damien G. Wallace, Petko S. Kalev and Guanghua Lian
University of South Australia - UniSA Business School, La Trobe Business School and University of South Australia - School of Commerce
Downloads 166 (200,092)
Citation 2

Abstract:

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price discovery, exchange traded funds, futures

5.

On the Valuation of Variance Swaps with Stochastic Volatility

Number of pages: 39 Posted: 15 Feb 2011
Song-Ping Zhu and Guanghua Lian
University of Wollongong and University of South Australia - School of Commerce
Downloads 121 (257,810)

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Variance Swaps, Heston Model, Explicit Formulae, Stochastic Volatility

6.

Pricing Variance and Volatility Swaps in a Stochastic Volatility Model with Regime Switching: Discrete Observations Case

Number of pages: 13 Posted: 23 May 2012
Guanghua Lian and Robert J. R. Elliott
University of South Australia - School of Commerce and University of Birmingham
Downloads 114 (269,170)
Citation 7

Abstract:

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variance swaps, regime switching, stochastic volatility, characteristic function

7.

Pricing Variance Swaps Under Stochastic Volatility and Stochastic Interest Rate

Number of pages: 16 Posted: 24 Aug 2014
Auckland University of Technology, University of South Australia - School of Commerce and Auckland University of Technology
Downloads 90 (315,215)

Abstract:

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Generalized Fourier transform; Heston-CIR hybrid model; Realized variance; Stochastic interest rate; Stochastic volatility; Variance swap

8.

Volatility Swaps and Volatility Options on Discretely Sampled Realized Variance

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 41 Posted: 09 Sep 2013 Last Revised: 23 Aug 2014
Guanghua Lian, Carl Chiarella and Petko S. Kalev
University of South Australia - School of Commerce, University of Technology, Sydney - UTS Business School, Finance Discipline Group and La Trobe Business School
Downloads 85 (326,682)
Citation 2

Abstract:

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Variance swaps, Variance options, Stochastic volatility, Characteristic function

9.

Semi-Analytical Valuation for Discrete Barrier Options under Time-Dependent Lévy Processes

Number of pages: 51 Posted: 10 Jan 2017
University of South Australia - School of Commerce, University of Wollongong, University of Birmingham and Stevens Institute of Technology - School of Business
Downloads 51 (426,552)
Citation 4

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Discrete Barrier Options, Lévy Processes, Fourier-Cosine Series

10.

A Closed-Form Exact Solution for Pricing Variance Swaps with Stochastic Volatility

Mathematical Finance, Vol. 21, Issue 2, pp. 233-256, 2011
Number of pages: 24 Posted: 14 Feb 2011
Song-Ping Zhu and Guanghua Lian
University of Wollongong and University of South Australia - School of Commerce
Downloads 2 (708,854)
Citation 5
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variance swaps, Heston model, closed-form exact solution, explicit formula, stochastic volatility

11.

Modeling the Variance of Return Intervals Toward Volatility Prediction

Journal of Time Series Analysis, Vol. 41, Issue 4, pp. 492-519, 2020
Number of pages: 28 Posted: 30 Sep 2020
Utah State University, University of South Australia - School of Commerce, University of Southampton, Utah State University and Utah State University
Downloads 0 (739,238)
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Interval‐valued time series, stationarity, maximum likelihood estimate, random sets, price range, volatility

12.

Algorithmic Trading in Turbulent Markets

Posted: 20 May 2019
Hao Zhou, Petko S. Kalev and Guanghua Lian
University of South Australia, La Trobe Business School and University of South Australia - School of Commerce

Abstract:

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Algorithmic trading, Order imbalance, Turbulent markets, Volume-weighted average price, Price fluctuation