Guanghua Lian

UBS AG

8 Finance Street

Hong Kong, Central 8001

Hong Kong

Southern University of Science and Technology

No 1088, xueyuan Rd.

Xili, Nanshan District

Shenzhen, Guangdong 518055

China

  • UBS AG

  • Southern University of Science and Technology

SCHOLARLY PAPERS

10

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41

CROSSREF CITATIONS

11

Scholarly Papers (10)

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1.

Pricing Vix Options with Stochastic Volatility and Random Jumps

Number of pages: 24 Posted: 23 May 2012
Guanghua Lian and Song-Ping Zhu
UBS AG and University of Wollongong
Downloads 766 (64,698)
Citation 4

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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 UBS AG
Downloads 536 (101,867)
Citation 5

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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 UBS AG
Downloads 350 (166,982)
Citation 1

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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, Damien G. Wallace, Petko S. Kalev and Guanghua Lian
University of South AustraliaUniversity of South Australia - UniSA Business School, RoZetta Institute and UBS AG
Downloads 243 (243,503)
Citation 2

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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 UBS AG
Downloads 212 (277,233)
Citation 2

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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
UBS AG and University of Birmingham
Downloads 158 (360,132)
Citation 10

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variance swaps, regime switching, stochastic volatility, characteristic function

7.

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
UBS AG, University of Technology, Sydney - UTS Business School, Finance Discipline Group and RoZetta Institute
Downloads 140 (397,309)
Citation 6

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Variance swaps, Variance options, Stochastic volatility, Characteristic function

8.

Pricing Variance Swaps Under Stochastic Volatility and Stochastic Interest Rate

Number of pages: 16 Posted: 24 Aug 2014
Jiling Cao, Guanghua Lian and Teh Raihana Nazirah Roslan
Auckland University of Technology, UBS AG and Auckland University of Technology
Downloads 135 (408,711)

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

9.

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

Number of pages: 51 Posted: 10 Jan 2017
Guanghua Lian, Song-Ping Zhu, Robert J. R. Elliott and Zhenyu Cui
UBS AG, University of Wollongong, University of Birmingham and Stevens Institute of Technology - School of Business
Downloads 92 (539,252)
Citation 4

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Discrete Barrier Options, Lévy Processes, Fourier-Cosine Series

10.

Algorithmic Trading in Turbulent Markets

https://doi.org/10.3905/jot.2008.3.4.7
Posted: 20 May 2019
Hao Zhou, Petko S. Kalev and Guanghua Lian
University of South Australia, RoZetta Institute and UBS AG

Abstract:

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