Yu Tian

Monash Uiversity

Clayton Campus

Melbourne, Victoria VIC3800

Australia

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 14,197

SSRN RANKINGS

Top 14,197

in Total Papers Downloads

2,594

CITATIONS

1

Scholarly Papers (8)

1.

The Hybrid Stochastic-Local Volatility Model with Applications in Pricing FX Options

Number of pages: 146 Posted: 24 Feb 2014 Last Revised: 07 May 2016
Yu Tian
Monash Uiversity
Downloads 591 (19,550)

Abstract:

local volatility, stochastic volatility, leverage function, calibration, exotic options pricing

2.

Market Liquidity Risk and Market Risk Management

Number of pages: 66 Posted: 23 Mar 2010
Yu Tian
Monash Uiversity
Downloads 446 (44,370)

Abstract:

Liquidity Risk, Market Risk, Portfolio Theory, MSDC Models, Risk Measures

3.

A Hybrid Stochastic Volatility Model Incorporating Local Volatility

2012 Fourth International Conference on Computational and Information Sciences (ICCIS)
Number of pages: 4 Posted: 04 Jun 2012 Last Revised: 28 Jan 2014
Monash Uiversity, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University and Monash University
Downloads 380 (53,350)

Abstract:

implied volatility, local volatility, stochastic-local volatility, leverage function

4.

Pricing Barrier and American Options under the SABR model on the GPU

Concurrency and Computation: Practice and Experience, 2011
Number of pages: 15 Posted: 04 Aug 2010 Last Revised: 10 Apr 2011
Monash Uiversity, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University and Monash University
Downloads 371 (56,652)
Citation 1

Abstract:

CUDA, SABR model, quasi-Monte Carlo, barrier options, American options, GPU memory usage

5.

Efficient Portfolio Valuation Incorporating Liquidity Risk

Quantitative Finance, Oct, 2013
Number of pages: 19 Posted: 27 Jan 2011 Last Revised: 28 Jan 2014
Monash Uiversity, Barclays and Center for Mathematics and Computer Science (CWI)
Downloads 134 (160,113)

Abstract:

Liquidity Risk, Portfolio Valuation, Ladder MSDC, Liquidation Sequence, Exponential MSDC, Approximation

6.

Pricing Window Barrier Options with a Hybrid Stochastic-Local Volatility Model

2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics
Number of pages: 8 Posted: 20 Nov 2013 Last Revised: 23 Feb 2014
Monash Uiversity, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University and Monash University
Downloads 117 (164,788)

Abstract:

stochastic-local volatility, leverage function, window barrier, Monte Carlo, finite difference

7.

Dynamic Portfolio Optimisation with Intermediate Costs: A Least-Squares Monte Carlo Simulation Approach

Number of pages: 29 Posted: 01 Dec 2015 Last Revised: 06 Jan 2016
Monash University - School of Mathematical Sciences, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash Uiversity, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University - School of Mathematical Sciences and Monash University
Downloads 0 (184,618)

Abstract:

portfolio selection, liquidity risk, marginal supply-demand curve, least-squares Monte Carlo, stochastic dynamic programming

8.

Calibrating and Pricing with a Stochastic-Local Volatility Model

Journal of Derivatives, Spring 2015, Vol. 22, No. 3: pp. 21-39, DOI: 10.3905/jod.2015.22.3.021
Posted: 30 Nov 2012 Last Revised: 17 Mar 2015
Monash Uiversity, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University and Monash University

Abstract:

local volatility, stochastic volatility, leverage function, calibration, exotic options pricing