Wei Simi, Ph.D.

City University of New York

New York, NY

United States

SCHOLARLY PAPERS

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Scholarly Papers (4)

1.

Dynamic Portfolio Choices under Incomplete Information

Posted: 15 Jan 2013
Wei Simi, Ph.D.
City University of New York

Abstract:

portfolio choices, strategic interaction, Bayesian, Nash equilibrium

2.

Understanding Fair Value During Liquidity and Credit Crises - Pricing of Corporate Liquidity Risk

Posted: 29 Dec 2012
Xiaoli Wang and Wei Simi, Ph.D.
Marist College - School of Management and City University of New York

Abstract:

asset pricing, dynamic, recession, corporate liquidity risk factor, factor loading

3.

Time-Changed Lévy Jump Processes with GARCH Model on Reverse Convertibles

Review of Financial Economics, Forthcoming
Posted: 28 Oct 2012 Last Revised: 01 May 2013
Wei Simi, Ph.D. and Xiaoli Wang
City University of New York and Marist College - School of Management

Abstract:

Lévy Jump Process, Fourier transforms, exotic options, reverse convertible, stochastic volatility, GARCH

4.

Strategic Asset Allocation and Markov Regime Switch with GARCH Model

JBES, Forthcoming
Posted: 27 Jan 2010 Last Revised: 16 Jan 2013
Wei Simi, Ph.D.
City University of New York

Abstract:

Portfolio Optimization, Asset Allocation, Regime Switching, VIX, volatility