Hoboken, NJ 07030
United States
http://sites.google.com/site/zhenyucui86/publications
Stevens Institute of Technology - School of Business
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Stochastic volatility, Volatility derivative, timer option, quadratic variation, correlation, Heston model, Hull and White model.
Dirac Delta function, delta sequence, implied volatility, model-free, SVI, SABR, Heston
Foreign Exchange, Arbitrage, Triangular Arbitrage, Max Plus Product
SABR, stochastic local volatility, quadratic local volatility, continuous-time Markov Chains, exotic options, American options, Asian options, option pricing, CTMC, occupation time derivatives, barrier options
Foreign Exchange, Toxic Arbitrage, Triangular Arbitrage, Perron-Frobenius Theorem
non-affine GARCH models, non-Gaussian innovations, exponential linear variance dependent pricing kernel, bivariate diffusion limit, option pricing
Discrete variance swaps, Heston model, Hull-White model, Schoebel-Zhu model
Characteristic function, Monte Carlo, Option pricing, Parisian option, Heston model
Exchange options, Stochastic interest rates
Emerging market, Variance risk premium, Downside variance risk premium, Upside variance risk premium, Delta hedging
Markov Chain, Options Pricing, FFT
Clearing Counterparty (CCP), Clearing Fee, Optimization, Shortfall, Systemic Risk
Implied volatility, Taylor Series, Arbitrary Greeks, Lagrange inversion theorem, Operator Calculus
VIX derivatives, Hermite series, Stochastic volatility, Heston model, Mean-reverting CEV model
Stochastic interest rates, change of numeraire, Merton short rate model
Portfolio Hedge, Parameter Uncertainty, Retail Investors, Inverse ETFs, Robinhood
Moment explosion, Heston model, Asymptotics for large maturity, Essential smoothness, Large deviations principle
Life insurance, equity-linked annuity, cliquet, gurantee, stochastic volatility, regime-switching, jump diffusion
Simulation; SABR; stochastic local volatility; Markov chain; stochastic differential equation; finance
Finance, Asian option, Markov process, Continuous-Time Markov Chain, Laplace transform
ortfolio Optimization, Index Tracking, Parameter Estimation Risk
Pricing, Choice Models, Multinomial Logit Choice, Network Effects, Revenue Management
distortion function, stochastic discount factor, generalized local risk-neutral valuation relationship, GARCH models, weak convergence, stochastic volatility
optimal investment, stochastic control, VIX derivatives, HJB equation, incomplete market
Skew diffusion, local time, continuous-time Markov chain, option pricing, target zone,psychological barriers
Finance; Affine GARCH models; Variance-optimal hedge; Deep learning; Transaction costs, Target volatility options
Affine GARCH models, Variance-optimal hedge, deep learning, Transaction costs, Target volatility options.
Variance Swaps, Non-Gaussian GARCH Models, Extended Girsanov Principle, Diffusion Limits, CBOE VIX
Discrete Barrier Options, Continuous-Time Markov Chains, Integral Equations, Z−Transform, Markov Process
American option pricing, Time-homogeneous diffusions, Jump diffusions, Laplace transform, Option bounds, Early exercise boundary
nonparametric density estimation, spline, empirical characteristic function, empirical density, fast Fourier transform, Levy processes, basis, PROJ, kernel density estimator
Non-concave Utility, Probability Distortion, Concavification, Lagrange Duality, Relaxation Method
VIX Options, Target Volatility Options, Heston-Nandi GARCH Model, Inverse Gaussian Model, Joint Calibration
Variable Annuity, VIX Index, Dynamic Fee, Segregated Funds, Stochastic Volatility, Heston Model
SABR model, continuously monitored barrier options, survival density, closed-form approximation, stochastic volatility
variable annuity, flexible premium, GMAB, GMDB, Asian options, conditioning
Transform analysis, Asset pricing, Occupation time, Markov Process, Finance
systemic risk, network model, central clearing counterparty, financial innovation
First Hitting Time, Asian Options, Volatility Derivative, Stochastic Time Change, Laplace Transform
American Put Options, Vega, Exercise Boundary, Integral Equation
Simulation, SABR, stochastic local volatility, Markov chain
Arithmetic Asian option, Markov Chain, Stable Greeks, Volatility Regime
Continuous-time Markov chains, stochastic local volatility models, option pric-ing, Greeks, convergence rates
Variance Swaps, Realized Variance, Affine GARCH Models, Variance Dependent Pricing Kernels, Diffusion Limits
Martingale property, Local martingale, Stochastic volatility, Engelbert-Schmidt zero-one law
Discrete Barrier Options, Lévy Processes, Fourier-Cosine Series
variance swap, volatility derivatives, regime-switching, jump diffusion, stochastic volatility, realized variance
Finance, Time Change, Markov Process, Option Pricing, Continuous-Time Markov Chains, Laplace Transform, Subordination, Variance Swaps, Bermudan Options
Time-homogeneous diffusion, first passage time, occupation time, Azema-Yor stopping time, Omega risk model
Continuous-Time Markov Chains, Error Analysis, Non-Uniform Grids, Convergence Rates, Path-Dependent Options, Greeks, Matrix-Analytic Method, Laplace Inversion
Verhulst process, Exponential change of measure, geometric Brownian motion, Bessel process with constant drift
GARCH Model, LETF Options, Heston Nandi, Inverse Gaussian, Calibration
SABR model, Markov chain, exotic options, calibration
Time-homogeneous diffusion, Az'ema-Yor process; occupation time, risk model with tax, Omega risk model, reflected diffusion
Finance, Risk Management, Data-Driven, Non-Parametric, Empirical Characteristic Function, Empirical Density, Model-Free
American options, Barrier options, Stochastic volatility, Regime switching, Jump diffusion, Frame projection
Variable Annuity, GMDB, GMMB, Risk Measures, Value-At-Risk, Conditional-Tail-Expectation
Time-homogeneous diffusion, Azema-Yor process, occupation time, Laplace transform, risk model with tax, Omega risk model
integral transform, inverse transform method, orthogonal polynomial, sampling
Option pricing, American strangle, lower and upper bounds
Stochastic Gradient, Infinitesimal Perturbation Analysis, Likelihood Ratio, Variance Comparison, Option Delta
stochastic volatility, exact probability density,implied volatility, timer option
simulation optimization, complexity, unbiased estimato, stochastic model applications
American Option Pricing, Finite Difference Methods, Laplace Transform Methods, Partial Differential Equations, Fractional Partial Differential Equations
Engelbert-Schmidt zero-one law, diffusion, integral functional
Sensitivity, elasticity, growth-rate risk, quantile, Greeks, exponential measure change, stochastic volatility models.
Continuous-time Markov chain, rough stochastic local volatility models, semi- martingale approximation, option pricing
shortfall risk, Fenchel duality,enlargement of filtration, risk measure, hedging
Time-homogeneous diffusion, generalized drawdown process,drawdown, Laplace transform, Doob-Meyer decomposition
unbiased simulation, optimal control, cumulative cost, efficiency of estimator
options pricing, Fourier, sinh-acceleration, barrier option, inversion, B-spline
Bayesian learning, Agent heterogeneity, Principal-agent model, Optimal contract
stochastic control, Dirac Delta function, Delta sequence, HJB equation
Discrete variance swap, realized variance, quadratic variation, time-homogeneous diffusions
