Shijie Deng

Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)

765 Ferst Drive

Atlanta, GA 30332-0205

United States

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 39,902

SSRN RANKINGS

Top 39,902

in Total Papers Downloads

2,101

SSRN CITATIONS
Rank 35,400

SSRN RANKINGS

Top 35,400

in Total Papers Citations

18

CROSSREF CITATIONS

7

Scholarly Papers (10)

1.
Downloads 1,163 (31,076)
Citation 3

Multi-Asset Spread Option Pricing and Hedging

Number of pages: 40 Posted: 31 Oct 2007
Minqiang Li, Shijie Deng and Jieyun Zhou
Bloomberg LP, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Georgia Institute of Technology
Downloads 1,163 (30,597)
Citation 3

Abstract:

Loading...

Multi-asset spread options, boundary approximation, Kirk approximation

Multi-Asset Spread Option Pricing and Hedging

Quantitative Finance, Vol. 10, No. 3, pp. 305–324, 2010
Posted: 13 Mar 2010
Minqiang Li, Jieyun Zhou and Shijie Deng
Bloomberg LP, Georgia Institute of Technology and Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)

Abstract:

Loading...

Multi-asset spread options, Second-order boundary approximation, Closed-form approximation

2.

Investing in Global Equity Markets with Particular Emphasis on Chinese Stocks

Number of pages: 44 Posted: 10 Mar 2016
McKinley Capital Management, LLC, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), McKinley Capital Management, LLC, University of California at San Diego, Guidedchoice.com and McKinley Capital Management, LLC
Downloads 246 (207,458)
Citation 2

Abstract:

Loading...

mean-variance portfolio theory, stock selection, robust regression

3.

Hydrodynamic Limit of Order Book Dynamics

Number of pages: 51 Posted: 28 Nov 2014
Xuefeng Gao, J. Dai, Ton Dieker and Shijie Deng
The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management, Operations Research & Information Engineering, Columbia University - Fu Foundation School of Engineering and Applied Science and Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Downloads 228 (223,358)
Citation 3

Abstract:

Loading...

limit order book, fluid approximation, scaling limit, optimal execution, measure-valued processes

4.

Static Hedging and Pricing of Exotic Options with Payoff Frames

Mathematical Finance, Forthcoming
Number of pages: 44 Posted: 27 Sep 2014 Last Revised: 19 Mar 2018
Justin Kirkby and Shijie Deng
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Downloads 212 (239,096)
Citation 10

Abstract:

Loading...

Option pricing, static hedging, exotic options, projection, basis, frame, replication, European options, semi-static, derivatives, calibration

5.

Carbon Emission Permit Price Volatility Reduction via Financial Options

Number of pages: 34 Posted: 18 Jul 2014
Li Xu, Shijie Deng and Valerie Thomas
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Downloads 69 (546,995)

Abstract:

Loading...

Carbon permit trading, financial options, volatility mitigation, emission permit pricing

6.

Swing Option Pricing by Dynamic Programming with B-spline Density Projection

International Journal of Theoretical and Applied Finance, 2019
Number of pages: 36 Posted: 16 Oct 2019 Last Revised: 01 Feb 2020
Justin Kirkby and Shijie Deng
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Downloads 68 (551,309)
Citation 5

Abstract:

Loading...

Swing Option, early-exercise, option pricing, Levy process, American Option, Fourier

7.

Long-Range Dependence and Asset Pricing

Number of pages: 45 Posted: 18 May 2022
Yun Xiang and Shijie Deng
Southwestern University of Finance and Economics and Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Downloads 48 (650,526)

Abstract:

Loading...

Long-range dependence, Hurst parameter, fractional Brownian motion, momentum, cross-section of stock returns, consumption-based asset pricing model, equity risk premium

8.

On Swing Option Pricing Under Levy Process Dynamics

Number of pages: 31 Posted: 26 May 2023
Justin Kirkby and Shijie Deng
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Downloads 40 (699,275)

Abstract:

Loading...

swing options, option pricing, policy, exercise, commodities, energy, exotic options, pricing, Levy processes, characteristic function, FFT

9.

Incentive Compatible Contracting of Thermostats Control for Renewable Energy Integration

Number of pages: 23 Posted: 18 Jul 2014
Li Xu and Shijie Deng
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Downloads 27 (794,251)
Citation 1

Abstract:

Loading...

Thermostatically controlled loads, demand response, contract design, model predictive control, renewable energy

Closed-Form Approximations for Spread Option Prices and Greeks

Posted: 20 Dec 2006 Last Revised: 21 May 2019
Minqiang Li, Shijie Deng and Jieyun Zhou
Bloomberg LP, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Georgia Institute of Technology

Abstract:

Loading...

Spread option, Closed-form approximation, Greeks

Closed-Form Approximations for Spread Option Prices and Greeks

Journal of Derivatives, Vol. 15, No. 3, pp. 58-80, 2008
Posted: 12 Feb 2008 Last Revised: 12 Oct 2009
Minqiang Li, Shijie Deng and Jieyun Zhou
Bloomberg LP, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Georgia Institute of Technology

Abstract:

Loading...

Spread options, exercise boundary, closed-form approximation