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

9

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11

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11

Scholarly Papers (9)

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1.

Multi-Asset Spread Option Pricing and Hedging

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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 1,122 (26,570)
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.

Static Hedging and Pricing of Exotic Options with Payoff Frames

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Citation 8

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 209 (201,084)
Citation 10

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

Static Hedging and Pricing of Exotic Options with Payoff Frames

Mathematical Finance, Vol. 29, Issue 2, pp. 612-658, 2019
Number of pages: 47 Posted: 13 Mar 2019
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 1 (915,556)

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basis, exotic hedging, Lévy, option pricing, static hedging, variance swap

3.

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 208 (202,143)
Citation 2

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mean-variance portfolio theory, stock selection, robust regression

4.

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 208 (202,143)
Citation 3

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

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 50 (519,885)

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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 42 (557,353)
Citation 1

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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 16 (726,438)

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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.

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 15 (734,921)
Citation 1

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

9.

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