Yu Tian

Monash University

Melbourne, Victoria VIC 3800

Australia

SCHOLARLY PAPERS

9

DOWNLOADS
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Top 14,213

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2,680

CITATIONS

1

Scholarly Papers (9)

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 University
Downloads 591 (18,840)

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 University
Downloads 446 (45,515)

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 University, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University and Monash University
Downloads 380 (54,700)

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 University, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University and Monash University
Downloads 371 (57,870)
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 University, Barclays and Center for Mathematics and Computer Science (CWI)
Downloads 134 (163,855)

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 University, 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 (163,855)

Abstract:

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

7.

Sharp Target Range Strategies with Application to Dynamic Portfolio Selection

29th Australasian Finance and Banking Conference 2016
Number of pages: 28 Posted: 22 Aug 2016 Last Revised: 15 May 2017
Monash University - School of Mathematical Sciences, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University - School of Mathematical Sciences and Monash University
Downloads 0 (443,079)

Abstract:

portfolio optimization, fund management, target strategy, performance measure, volatility target, risk measure, risk management, dynamic portfolio selection, dynamic programming, least-squares Monte Carlo, stochastic control

8.

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 University, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University - School of Mathematical Sciences and Monash University
Downloads 0 (178,840)

Abstract:

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

9.

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 University, 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