Zhenyu Cui

Stevens Institute of Technology - School of Business

SCHOLARLY PAPERS

73

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146

CROSSREF CITATIONS

86

Ideas:
“  I am currently working on financial systemic risk and insider trading.  ”

Scholarly Papers (73)

1.

Pricing Timer Options

Journal of Computational Finance, Vol. 15, No. 1, 2011
Number of pages: 37 Posted: 19 May 2010 Last Revised: 24 Jan 2012
Carole Bernard and Zhenyu Cui
Grenoble Ecole de Management and Stevens Institute of Technology - School of Business
Downloads 1,347 (18,369)
Citation 1

Abstract:

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Stochastic volatility, Volatility derivative, timer option, quadratic variation, correlation, Heston model, Hull and White model.

2.

A Closed-form Model-free Implied Volatility Formula through Delta Families

Journal of Derivatives, forthcoming
Number of pages: 24 Posted: 06 May 2020 Last Revised: 24 Jul 2020
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), Marist College - Department of Mathematics and New Jersey Institute of Technology
Downloads 563 (61,626)

Abstract:

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Dirac Delta function, delta sequence, implied volatility, model-free, SVI, SABR, Heston

3.

Circular Arbitrage Detection Using Graphs

Stevens Institute of Technology School of Business Research Paper
Number of pages: 8 Posted: 07 Nov 2018
Zhenyu Cui and Stephen Michael Taylor
Stevens Institute of Technology - School of Business and New Jersey Institute of Technology
Downloads 303 (126,840)

Abstract:

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Foreign Exchange, Arbitrage, Triangular Arbitrage, Max Plus Product

4.

Detecting Arbitrage in the Foreign Exchange Market

Stevens Institute of Technology School of Business Research Paper
Number of pages: 24 Posted: 05 May 2018
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business, New Jersey Institute of Technology and Florida State University
Downloads 283 (136,301)
Citation 2

Abstract:

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Foreign Exchange, Toxic Arbitrage, Triangular Arbitrage, Perron-Frobenius Theorem

5.

Non-Affine GARCH Option Pricing Models, Variance Dependent Kernels, and Diffusion Limits

Number of pages: 54 Posted: 19 Dec 2015 Last Revised: 12 Jun 2017
University of Calgary, Stevens Institute of Technology - School of Business and Centre National de la Recherche Scientifique (CNRS)Nanyang Technological University
Downloads 265 (145,862)
Citation 10

Abstract:

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non-affine GARCH models, non-Gaussian innovations, exponential linear variance dependent pricing kernel, bivariate diffusion limit, option pricing

6.

Nearly Exact Option Price Simulation Using Characteristic Functions

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 37 Posted: 23 Jul 2012
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and University of Waterloo
Downloads 258 (149,759)

Abstract:

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Characteristic function, Monte Carlo, Option pricing, Parisian option, Heston model

7.

Prices and Asymptotics for Discrete Variance Swaps

Applied Mathematical Finance, Forthcoming
Number of pages: 44 Posted: 23 Jul 2012 Last Revised: 19 Jun 2013
Carole Bernard and Zhenyu Cui
Grenoble Ecole de Management and Stevens Institute of Technology - School of Business
Downloads 254 (152,052)
Citation 9

Abstract:

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Discrete variance swaps, Heston model, Hull-White model, Schoebel-Zhu model

8.

A General Valuation Framework for SABR and Stochastic Local Volatility Models

Number of pages: 44 Posted: 09 Mar 2019
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 253 (153,283)
Citation 11

Abstract:

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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

9.

A Note on Exchange Options Under Stochastic Interest Rates

Number of pages: 7 Posted: 17 Jun 2010
Carole Bernard and Zhenyu Cui
Grenoble Ecole de Management and Stevens Institute of Technology - School of Business
Downloads 227 (169,622)
Citation 1

Abstract:

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Exchange options, Stochastic interest rates

10.

Systemic Risk and Optimal Fee Structure for Central Clearing Counterparty Under Partial Netting

Number of pages: 23 Posted: 28 Oct 2016 Last Revised: 18 Jan 2018
Zhenyu Cui, Qi Feng, Ruimeng Hu and Bin Zou
Stevens Institute of Technology - School of Business, University of Connecticut, University of California, Santa Barbara (UCSB) and University of Connecticut - Department of Mathematics
Downloads 161 (230,675)
Citation 2

Abstract:

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Clearing Counterparty (CCP), Clearing Fee, Optimization, Shortfall, Systemic Risk

11.

Comment on 'Option Pricing Under the Merton Model of the Short Rate'

Number of pages: 5 Posted: 05 Mar 2010
Don McLeish and Zhenyu Cui
University of Waterloo and Stevens Institute of Technology - School of Business
Downloads 153 (240,706)

Abstract:

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Stochastic interest rates, change of numeraire, Merton short rate model

12.

Variance Risk Premium and Return Predictability: Evidence from the Chinese SSE 50 ETF Options

Stevens Institute of Technology School of Business Research Paper
Number of pages: 23 Posted: 26 Jul 2019 Last Revised: 09 Dec 2019
Zhenyu Cui, Zhiyong Li, Ying Wu and Mei Yu
Stevens Institute of Technology - School of Business, University of International Business and Economics (UIBE), Stevens Institute of Technology - School of Business and University of International Business and Economics (UIBE)
Downloads 151 (243,348)

Abstract:

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Emerging market, Variance risk premium, Downside variance risk premium, Upside variance risk premium, Delta hedging

13.

VIX Derivatives Valuation and Estimation Based on Closed-Form Series Expansions

Stevens Institute of Technology School of Business Research Paper
Number of pages: 26 Posted: 02 Oct 2017 Last Revised: 21 Apr 2018
Zhe Zhao, Zhenyu Cui and Ionut Florescu
Stevens Institute of Technology, Stevens Institute of Technology - School of Business and Stevens Institute of Technology - School of Business
Downloads 147 (248,736)
Citation 2

Abstract:

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VIX derivatives, Hermite series, Stochastic volatility, Heston model, Mean-reverting CEV model

14.

Comment on 'The Large-Maturity Smile for the Heston Model'

Number of pages: 9 Posted: 21 Mar 2012
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and University of Waterloo
Downloads 140 (258,619)

Abstract:

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Moment explosion, Heston model, Asymptotics for large maturity, Essential smoothness, Large deviations principle

15.

The Opportunity Cost of Hedging under Incomplete Information: Evidence from ETF/Ns

Journal of Futures Markets, https://doi.org/10.1002/fut.22252
Number of pages: 32 Posted: 09 Jul 2020 Last Revised: 30 Jul 2021
Zhenyu Cui and Majeed Simaan
Stevens Institute of Technology - School of Business and Stevens Institute of Technology - School of Business
Downloads 127 (278,573)

Abstract:

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Portfolio Hedge, Parameter Uncertainty, Retail Investors, Inverse ETFs, Robinhood

16.

Semi-explicit Optimal Pricing for Consumer Choice Models with Network Effects

Stevens Institute of Technology School of Business Research Paper
Number of pages: 25 Posted: 27 Dec 2016 Last Revised: 30 Oct 2019
Zhenyu Cui and Lingjiong Zhu
Stevens Institute of Technology - School of Business and Florida State University
Downloads 120 (290,563)

Abstract:

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Pricing, Choice Models, Multinomial Logit Choice, Network Effects, Revenue Management

17.

An Exact and Explicit Implied Volatility Inversion Formula

Number of pages: 26 Posted: 14 Feb 2018
Yuxuan Xia and Zhenyu Cui
Stevens Institute of Technology - School of Business and Stevens Institute of Technology - School of Business
Downloads 119 (292,290)
Citation 2

Abstract:

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Implied volatility, Taylor Series, Arbitrary Greeks, Lagrange inversion theorem, Operator Calculus

18.

Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing

Number of pages: 32 Posted: 28 Jan 2019
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 117 (295,735)
Citation 1

Abstract:

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Markov Chain, Options Pricing, FFT

19.

Single-Transform Formulas for Pricing Asian Options in a General Approximation Framework under Markov Processes

Number of pages: 20 Posted: 20 Jan 2016 Last Revised: 09 Oct 2017
Zhenyu Cui, Chihoon Lee and Yanchu Liu
Stevens Institute of Technology - School of Business, Stevens Institute of Technology and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 114 (301,190)
Citation 11

Abstract:

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Finance, Asian option, Markov process, Continuous-Time Markov Chain, Laplace transform

20.

A Unified Valuation Framework for Variance Swaps under Non-Affine Stochastic Volatility Models

Number of pages: 38 Posted: 10 Jan 2017
University of Calgary, University of Calgary - Department of Mathematics and Statistics and Stevens Institute of Technology - School of Business
Downloads 106 (316,838)
Citation 1

Abstract:

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Variance Swaps, Non-Gaussian GARCH Models, Extended Girsanov Principle, Diffusion Limits, CBOE VIX

21.

A Note on the Wang Transform for Stochastic Volatility Pricing Models

Number of pages: 14 Posted: 18 Oct 2015 Last Revised: 29 Jul 2016
University of Calgary, Stevens Institute of Technology - School of Business and Centre National de la Recherche Scientifique (CNRS)Nanyang Technological University
Downloads 105 (318,923)

Abstract:

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distortion function, stochastic discount factor, generalized local risk-neutral valuation relationship, GARCH models, weak convergence, stochastic volatility

22.

A Laplace Space Approach to American Options

Number of pages: 28 Posted: 30 Mar 2016
Jingtang Ma, Zhenyu Cui and Wenyuan Li
School of Economic Mathematics and Collaborative Innovation Center of Financial Security, Stevens Institute of Technology - School of Business and Southwestern University of Finance and Economics (SWUFE) - School of Economic Mathematics
Downloads 102 (325,084)

Abstract:

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American option pricing, Time-homogeneous diffusions, Jump diffusions, Laplace transform, Option bounds, Early exercise boundary

23.

Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model

Number of pages: 36 Posted: 02 Nov 2016 Last Revised: 16 Nov 2016
Zhenyu Cui, Runhuan Feng and Anne MacKay
Stevens Institute of Technology - School of Business, University of Illinois at Urbana-Champaign and University of Quebec at Montreal (UQAM)
Downloads 94 (342,584)
Citation 6

Abstract:

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Variable Annuity, VIX Index, Dynamic Fee, Segregated Funds, Stochastic Volatility, Heston Model

24.

Impact of Flexible Periodic Premiums on Variable Annuity Guarantees

Number of pages: 35 Posted: 29 Feb 2016
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and Vrije Universiteit Brussel (VUB)
Downloads 86 (362,136)
Citation 1

Abstract:

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variable annuity, flexible premium, GMAB, GMDB, Asian options, conditioning

25.

Failure and Rescue in Central Clearing Counterparty Design

Stevens Institute of Technology School of Business Research Paper
Number of pages: 29 Posted: 25 Jul 2017 Last Revised: 16 Oct 2017
Zhenyu Cui, Chihoon Lee, Yanchu Liu and Kai Wang
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and Stevens Institute of Technology - School of Business
Downloads 84 (367,436)

Abstract:

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systemic risk, network model, central clearing counterparty, financial innovation

26.

A Markov Chain Approximation Scheme for Option Pricing Under Skew Diffusions

Stevens Institute of Technology School of Business Research Paper
Number of pages: 31 Posted: 25 Jun 2019
Kailin Ding, Zhenyu Cui and Yongjin Wang
Nankai University - School of Mathematical Sciences, Stevens Institute of Technology - School of Business and Nankai University - Business School
Downloads 83 (370,031)
Citation 3

Abstract:

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Skew diffusion, local time, continuous-time Markov chain, option pricing, target zone,psychological barriers

On the Martingale Property in Stochastic Volatility Models Based on Time-Homogeneous Diffusions

Mathematical Finance, Forthcoming
Number of pages: 30 Posted: 02 Oct 2013 Last Revised: 12 Jul 2014
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and University of Waterloo
Downloads 78 (387,705)

Abstract:

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Martingale property, Local martingale, Stochastic volatility, Engelbert-Schmidt zero-one law

On the Martingale Property in Stochastic Volatility Models Based on Time‐Homogeneous Diffusions

Mathematical Finance, Vol. 27, Issue 1, pp. 194-223, 2017
Number of pages: 30 Posted: 15 Jan 2017
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and University of Waterloo
Downloads 0
Citation 4
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Abstract:

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Martingale property, local martingale, stochastic volatility, Engelbert Schmidt zero‐one law

28.

Nonparametric Density Estimation by B-spline Duality

Stevens Institute of Technology School of Business Research Paper
Number of pages: 39 Posted: 08 Apr 2019
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 69 (410,782)
Citation 3

Abstract:

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nonparametric density estimation, spline, empirical characteristic function, empirical density, fast Fourier transform, Levy processes, basis, PROJ, kernel density estimator

29.

Efficient Simulation of Stochastic Differential Equations Based on Markov Chain Approximations With Applications

Number of pages: 49 Posted: 11 Sep 2020
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 67 (417,244)

Abstract:

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Simulation; SABR; stochastic local volatility; Markov chain; stochastic differential equation; finance

30.

An Efficient and Stable Method for Short Maturity Asian Options

Number of pages: 21 Posted: 10 Dec 2017
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management and Stevens Institute of Technology - School of Business
Downloads 66 (420,590)
Citation 4

Abstract:

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Arithmetic Asian option, Markov Chain, Stable Greeks, Volatility Regime

31.

First Hitting Time of Integral Diffusions and Applications

Number of pages: 16 Posted: 27 Feb 2017
Zhenyu Cui and Duy Nguyen
Stevens Institute of Technology - School of Business and Marist College - Department of Mathematics
Downloads 65 (423,914)
Citation 4

Abstract:

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First Hitting Time, Asian Options, Volatility Derivative, Stochastic Time Change, Laplace Transform

32.

Pricing Discretely Monitored Barrier Options Under Markov Processes Using a Markov Chain Approximation

Stevens Institute of Technology School of Business Research Paper
Number of pages: 44 Posted: 29 May 2019
Zhenyu Cui and Stephen Michael Taylor
Stevens Institute of Technology - School of Business and New Jersey Institute of Technology
Downloads 64 (427,288)
Citation 3

Abstract:

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Discrete Barrier Options, Continuous-Time Markov Chains, Integral Equations, Z−Transform, Markov Process

33.

Transform Analysis for Markov Processes and Applications: An Operator-based Approach

Stevens Institute of Technology School of Business Research Paper
Number of pages: 27 Posted: 07 Mar 2019
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and Florida State University
Downloads 64 (427,288)
Citation 2

Abstract:

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Transform analysis, Asset pricing, Occupation time, Markov Process, Finance

34.

Integral Representation of Vega for American Put Options

Number of pages: 10 Posted: 23 Aug 2016
Yanchu Liu, Zhenyu Cui and Ning Zhang
Lingnan (University) College, Sun Yat-sen University, Guangzhou, China., Stevens Institute of Technology - School of Business and Jiangxi University of Finance and Economics
Downloads 64 (427,288)

Abstract:

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American Put Options, Vega, Exercise Boundary, Integral Equation

35.

Optimal Investment in Equity and VIX Derivatives

Number of pages: 76 Posted: 16 Jul 2020 Last Revised: 20 Jul 2020
University of Science and Technology of China (USTC) - Department of Statistics and Finance, Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business and affiliation not provided to SSRN
Downloads 62 (434,171)
Citation 1

Abstract:

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optimal investment, stochastic control, VIX derivatives, HJB equation, incomplete market

36.

Partial Index Tracking enhanced Mean-Variance Portfolio

Number of pages: 24 Posted: 05 May 2021
Zhaokun Cai, Zhenyu Cui and Majeed Simaan
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business and Stevens Institute of Technology - School of Business
Downloads 60 (441,252)

Abstract:

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ortfolio Optimization, Index Tracking, Parameter Estimation Risk

37.

Omega Diffusion Risk Model with Surplus-Dependent Tax and Capital Injections

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 27 Posted: 14 Mar 2016
Zhenyu Cui and Duy Nguyen
Stevens Institute of Technology - School of Business and Marist College - Department of Mathematics
Downloads 60 (441,252)
Citation 2

Abstract:

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Time-homogeneous diffusion, Az'ema-Yor process; occupation time, risk model with tax, Omega risk model, reflected diffusion

38.

Density of Generalized Verhulst Process and Bessel Process with Constant Drift

Number of pages: 12 Posted: 08 Apr 2016
Zhenyu Cui and Duy Nguyen
Stevens Institute of Technology - School of Business and Marist College - Department of Mathematics
Downloads 59 (444,845)

Abstract:

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Verhulst process, Exponential change of measure, geometric Brownian motion, Bessel process with constant drift

39.

Stochastic Areas of Diffusions and Applications in Risk Theory

Number of pages: 20 Posted: 02 Dec 2013
Zhenyu Cui
Stevens Institute of Technology - School of Business
Downloads 59 (444,845)
Citation 1

Abstract:

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Time-homogeneous diffusion, first passage time, occupation time, Azema-Yor stopping time, Omega risk model

40.

Semi-Analytical Valuation for Discrete Barrier Options under Time-Dependent Lévy Processes

Number of pages: 51 Posted: 10 Jan 2017
University of South Australia - School of Commerce, University of Wollongong, University of Birmingham and Stevens Institute of Technology - School of Business
Downloads 55 (459,625)
Citation 4

Abstract:

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Discrete Barrier Options, Lévy Processes, Fourier-Cosine Series

41.

Closed-Form Variance Swap Prices under General Affine GARCH Models and Their Continuous-Time Limits

Number of pages: 30 Posted: 08 Aug 2017
University of Calgary, Stevens Institute of Technology - School of Business and Centre National de la Recherche Scientifique (CNRS)Nanyang Technological University
Downloads 53 (467,296)
Citation 3

Abstract:

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Variance Swaps, Realized Variance, Affine GARCH Models, Variance Dependent Pricing Kernels, Diffusion Limits

42.

Optimal Investment Problem Under Behavioral Setting: A Lagrange Duality Perspective

Number of pages: 49 Posted: 22 Mar 2021 Last Revised: 16 Oct 2021
affiliation not provided to SSRN, affiliation not provided to SSRN, Stevens Institute of Technology - School of Business, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management and affiliation not provided to SSRN
Downloads 51 (475,307)

Abstract:

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Non-concave Utility, Probability Distortion, Concavification, Lagrange Duality, Relaxation Method

43.

Omega Risk Model with Tax

Number of pages: 21 Posted: 31 Mar 2014
Zhenyu Cui
Stevens Institute of Technology - School of Business
Downloads 49 (483,445)

Abstract:

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Time-homogeneous diffusion, Azema-Yor process, occupation time, Laplace transform, risk model with tax, Omega risk model

44.

Lower-Upper Bound Approach for Pricing American Strangles

Number of pages: 21 Posted: 02 Jun 2016
Jingtang Ma, Wenyuan Li and Zhenyu Cui
School of Economic Mathematics and Collaborative Innovation Center of Financial Security, Southwestern University of Finance and Economics (SWUFE) - School of Economic Mathematics and Stevens Institute of Technology - School of Business
Downloads 47 (491,939)

Abstract:

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Option pricing, American strangle, lower and upper bounds

A Data-Driven Framework for Consistent Financial Valuation and Risk Measurement

Number of pages: 51 Posted: 31 Jul 2020
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 24 (632,961)

Abstract:

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Finance, Risk Management, Data-Driven, Non-Parametric, Empirical Characteristic Function, Empirical Density, Model-Free

A Data-Driven Framework for Consistent Financial Valuation and Risk Measurement

Number of pages: 51 Posted: 01 Aug 2020
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 22 (647,992)
Citation 3

Abstract:

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Finance, Risk Management, Data-Driven, Non-Parametric, Empirical Characteristic Function, Empirical Density, Model-Free

46.

Full-fledged SABR through Markov Chains

Stevens Institute of Technology School of Business Research Paper
Number of pages: 13 Posted: 14 Mar 2019
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 45 (500,735)
Citation 2

Abstract:

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SABR model, Markov chain, exotic options, calibration

47.

A General Framework for Discretely Sampled Realized Variance Derivatives in Stochastic Volatility Models with Jumps

European Journal of Operational Research, 262(1), 2017, pg. 381-400, Stevens Institute of Technology School of Business Research Paper
Number of pages: 43 Posted: 05 Jan 2018
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 44 (505,252)
Citation 12

Abstract:

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variance swap, volatility derivatives, regime-switching, jump diffusion, stochastic volatility, realized variance

48.

Risk Measures for Variable Annuities: A Hermite Series Expansion Approach

Number of pages: 35 Posted: 05 Aug 2017
Zhenyu Cui, J.H. Kim, Guanghua Lian and Yanchu Liu
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, University of California, Berkeley - Haas School of Business and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 44 (505,252)

Abstract:

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Variable Annuity, GMDB, GMMB, Risk Measures, Value-At-Risk, Conditional-Tail-Expectation

49.

Pricing Continuously Monitored Barrier Options Under the Sabr Model: A Closed-Form Approximation

Number of pages: 26 Posted: 20 Dec 2017
Nian Yang, Yanchu Liu and Zhenyu Cui
Nanjing University - Department of Finance and Insurance, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and Stevens Institute of Technology - School of Business
Downloads 42 (514,299)

Abstract:

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SABR model, continuously monitored barrier options, survival density, closed-form approximation, stochastic volatility

50.

Valuation of VIX and Target Volatility Options with Affine GARCH Models

Number of pages: 45 Posted: 13 Aug 2020
Stevens Institute of Technology - School of Business, University of Calgary, Stevens Institute of Technology - School of Business and University of Calgary - Department of Mathematics and Statistics
Downloads 41 (518,986)
Citation 3

Abstract:

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VIX Options, Target Volatility Options, Heston-Nandi GARCH Model, Inverse Gaussian Model, Joint Calibration

51.

Convergence Rate Analysis for the Continuous-Time Markov Chain Approximation of Occupation Time Derivatives and Asian Option Greeks

Stevens Institute of Technology School of Business Research Paper
Number of pages: 43 Posted: 09 Jan 2019 Last Revised: 08 May 2019
Jingtang Ma, Wensheng Yang and Zhenyu Cui
School of Economic Mathematics and Collaborative Innovation Center of Financial Security, School of Economic Mathematics, SWUFE and Stevens Institute of Technology - School of Business
Downloads 41 (518,986)
Citation 3

Abstract:

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Continuous-Time Markov Chains, Error Analysis, Non-Uniform Grids, Convergence Rates, Path-Dependent Options, Greeks, Matrix-Analytic Method, Laplace Inversion

52.

Equity-Linked Annuity Pricing with Cliquet-Style Guarantees in Regime-Switching and Stochastic Volatility Models with Jumps

Insurance: Mathematics and Economics, Vol. 74, 2017, Stevens Institute of Technology School of Business Research Paper
Number of pages: 36 Posted: 05 Jan 2018
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 41 (518,986)
Citation 8

Abstract:

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Life insurance, equity-linked annuity, cliquet, gurantee, stochastic volatility, regime-switching, jump diffusion

53.

Comment on 'Modeling Non-Monotone Risk Aversion Using Sahara Utility Functions'

Journal of Economic Theory, Forthcoming
Number of pages: 3 Posted: 31 Mar 2014
Zhenyu Cui
Stevens Institute of Technology - School of Business
Downloads 40 (523,723)

Abstract:

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54.

Options Valuation and Calibration for Leveraged Exchange-Traded Funds with Heston-Nandi and Inverse Gaussian GARCH Models

Number of pages: 31 Posted: 02 Jan 2019
Hongkai Cao, Rupak Chatterjee and Zhenyu Cui
Stevens Institute of Technology - School of Business, Department of Physics and Stevens Institute of Technology - School of Business
Downloads 39 (528,615)
Citation 1

Abstract:

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GARCH Model, LETF Options, Heston Nandi, Inverse Gaussian, Calibration

55.

A Unified Approach to Bermudan and Barrier Options Under Stochastic Volatility Models with Jumps

Journal of Economic Dynamics and Control, Vol. 80, 2017, Stevens Institute of Technology School of Business Research Paper
Number of pages: 41 Posted: 05 Jan 2018
Justin Kirkby, Duy Nguyen and Zhenyu Cui
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), Marist College - Department of Mathematics and Stevens Institute of Technology - School of Business
Downloads 39 (528,615)
Citation 6

Abstract:

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American options, Barrier options, Stochastic volatility, Regime switching, Jump diffusion, Frame projection

56.

Convergence Analysis for Continuous-Time Markov Chain Approximation of Stochastic Local Volatility Models: Option Pricing and Greeks

Number of pages: 20 Posted: 04 Dec 2020
Jingtang Ma, Wensheng Yang and Zhenyu Cui
School of Economic Mathematics and Collaborative Innovation Center of Financial Security, School of Economic Mathematics, SWUFE and Stevens Institute of Technology - School of Business
Downloads 38 (533,398)
Citation 1

Abstract:

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Continuous-time Markov chains, stochastic local volatility models, option pric-ing, Greeks, convergence rates

57.

On the Optimal Design of the Randomized Unbiased Monte Carlo Estimators

Stevens Institute of Technology School of Business Research Paper
Number of pages: 26 Posted: 01 May 2019
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, Florida State University and Stevens Institute of Technology - School of Business
Downloads 38 (533,398)
Citation 1

Abstract:

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simulation optimization, complexity, unbiased estimato, stochastic model applications

58.

A General Framework for Time-Changed Markov Processes and Applications

Stevens Institute of Technology School of Business Research Paper
Number of pages: 34 Posted: 29 Aug 2018
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 38 (533,398)
Citation 8

Abstract:

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Finance, Time Change, Markov Process, Option Pricing, Continuous-Time Markov Chains, Laplace Transform, Subordination, Variance Swaps, Bermudan Options

59.

A New Proof of the Engelbert-Schmidt Zero-One Law for Time-Homogeneous Diffusions

Forthcoming, Statistics and Probability Letters
Number of pages: 10 Posted: 09 Dec 2013 Last Revised: 17 Mar 2014
Zhenyu Cui
Stevens Institute of Technology - School of Business
Downloads 38 (533,398)
Citation 1

Abstract:

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Engelbert-Schmidt zero-one law, diffusion, integral functional

60.

Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models based on Markov Chain Approximations

Number of pages: 49 Posted: 02 Nov 2020
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 35 (548,829)
Citation 3

Abstract:

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Simulation, SABR, stochastic local volatility, Markov chain

61.

Hybrid Laplace Transform and Finite Difference Methods for Pricing American Options under Complex Models

Computers & Mathematics with Applications, Volume 74, Issue 3, Pages 369-384, 1 August 2017
Number of pages: 23 Posted: 28 Sep 2017
Jingtang Ma, Zhiqiang Zhou and Zhenyu Cui
School of Economic Mathematics and Collaborative Innovation Center of Financial Security, Southwestern University of Finance and Economics (SWUFE) and Stevens Institute of Technology - School of Business
Downloads 35 (548,829)

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American Option Pricing, Finite Difference Methods, Laplace Transform Methods, Partial Differential Equations, Fractional Partial Differential Equations

62.

A Novel Sampling Method based on Orthogonal Polynomial Expansions and Applications

Number of pages: 20 Posted: 10 Jun 2021
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), Marist College - Department of Mathematics and New Jersey Institute of Technology
Downloads 34 (554,213)

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integral transform, inverse transform method, orthogonal polynomial, sampling

63.

Discrete-time Variance-optimal Deep Hedging in Affine GARCH Models

Number of pages: 35 Posted: 29 Aug 2020
Hongkai Cao, Zhenyu Cui and Yanchu Liu
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 34 (554,213)

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Finance; Affine GARCH models; Variance-optimal hedge; Deep learning; Transaction costs, Target volatility options

64.

An Integral Representation for Elasticity and Sensitivity for Stochastic Volatility Models

Number of pages: 25 Posted: 12 Oct 2017
Zhenyu Cui, Duy Nguyen and Hyungbin Park
Stevens Institute of Technology - School of Business, Marist College - Department of Mathematics and Seoul National University
Downloads 31 (570,605)

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Sensitivity, elasticity, growth-rate risk, quantile, Greeks, exponential measure change, stochastic volatility models.

65.

Integral Representation of Probability Density of Stochastic Volatility Models and Timer Options

Number of pages: 25 Posted: 08 Dec 2017
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), University of California, Berkeley - Haas School of Business and Marist College - Department of Mathematics
Downloads 30 (576,327)
Citation 4

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stochastic volatility, exact probability density,implied volatility, timer option

66.

Shortfall Risk Through Fenchel Duality

Number of pages: 11 Posted: 04 Mar 2018
Zhenyu Cui and Jun Deng
Stevens Institute of Technology - School of Business and University of International Business and Economics (UIBE) - School of Banking and Finance
Downloads 25 (607,595)

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shortfall risk, Fenchel duality,enlargement of filtration, risk measure, hedging

67.

Variance Comparison between Infinitesimal Perturbation Analysis and Likelihood Ratio Estimators to Stochastic Gradient

Number of pages: 13 Posted: 02 Jul 2021
Zhenyu Cui, Yanchu Liu and Ruodu Wang
Stevens Institute of Technology - School of Business, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 22 (628,178)

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Stochastic Gradient, Infinitesimal Perturbation Analysis, Likelihood Ratio, Variance Comparison, Option Delta

68.

Optimal Unbiased Estimation for Expected Cumulative Cost

Stevens Institute of Technology School of Business Research Paper
Number of pages: 13 Posted: 30 Apr 2018
Stevens Institute of Technology - School of Business, University of Maryland - College Park, Department of Industrial Engineering and Management, Peking University and Florida State University
Downloads 21 (635,204)
Citation 1

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unbiased simulation, optimal control, cumulative cost, efficiency of estimator

69.

Magnitude and Speed of Consecutive Market Crashes in a Diffusion Model

Number of pages: 20 Posted: 21 Dec 2016
Zhenyu Cui and Duy Nguyen
Stevens Institute of Technology - School of Business and Marist College - Department of Mathematics
Downloads 21 (635,204)
Citation 2

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Time-homogeneous diffusion, generalized drawdown process,drawdown, Laplace transform, Doob-Meyer decomposition

70.

Heterogeneous Agents and Learning in Continuous Time

Number of pages: 44 Posted: 12 Jul 2021
Chuan Ding, Yang Li and Zhenyu Cui
School of Economic Mathematics, School of Economic Mathematics and Stevens Institute of Technology - School of Business
Downloads 10 (717,526)

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Bayesian learning, Agent heterogeneity, Principal-agent model, Optimal contract

71.

Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models

Number of pages: 27 Posted: 18 Oct 2021
Jingtang Ma, Wensheng Yang and Zhenyu Cui
School of Economic Mathematics and Collaborative Innovation Center of Financial Security, School of Economic Mathematics, SWUFE and Stevens Institute of Technology - School of Business
Downloads 7 (749,149)

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Continuous-time Markov chain, rough stochastic local volatility models, semi- martingale approximation, option pricing

72.

SINH-Acceleration for B-Spline Projection with Option Pricing Applications

Number of pages: 45 Posted: 23 Oct 2021
University of Texas at Austin - Department of Economics, Calico Science Consulting, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Stevens Institute of Technology - School of Business
Downloads 6 (764,549)

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options pricing, Fourier, sinh-acceleration, barrier option, inversion, B-spline

73.

Convergence of the Discrete Variance Swap in Time-Homogeneous Diffusion Models

Quantitative Finance Letters, Forthcoming
Posted: 01 Oct 2013 Last Revised: 09 May 2014
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and University of Waterloo

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Discrete variance swap, realized variance, quadratic variation, time-homogeneous diffusions