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

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

SCHOLARLY PAPERS

10

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18

CROSSREF CITATIONS

7

Scholarly Papers (10)

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1.

Multi-Asset Spread Option Pricing and Hedging

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

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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)

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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
John Guerard, Shijie Deng, Robert Arthur Gillam, Harry Markowitz, Ganlin Xu and Ziwei Wang
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

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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

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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

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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)

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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

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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)

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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)

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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

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

10.

Closed-Form Approximations for Spread Option Prices and Greeks

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Closed-Form Approximations for Spread Option Prices and Greeks

https://doi.org/10.3905/jod.2008.702506
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

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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

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Spread options, exercise boundary, closed-form approximation