Yu Tian

Monash University

Melbourne, Victoria VIC 3800

Australia

SCHOLARLY PAPERS

11

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Scholarly Papers (11)

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 1,240 (15,300)

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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 556 (47,505)

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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 449 (62,130)

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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 439 (63,836)

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

5.

Dynamic Portfolio Optimization with Liquidity Cost and Market Impact: A Simulation-and-Regression Approach

Accepted by Quantitative Finance
Number of pages: 27 Posted: 01 Dec 2015 Last Revised: 21 Sep 2018
Commonwealth Scientific and Industrial Research Organization (CSIRO), 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 173 (170,106)

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dynamic portfolio optimization, multi-period asset allocation, transaction cost, liquidity cost, permanent market impact, least squares Monte Carlo

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 164 (178,128)

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

7.

Skewed Target Range Strategy for Multiperiod Portfolio Optimization Using a Two-Stage Least Squares Monte Carlo Method

Journal of Computational Finance, Forthcoming
Number of pages: 25 Posted: 22 Aug 2016 Last Revised: 14 Jun 2019
Commonwealth Scientific and Industrial Research Organization (CSIRO), 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 157 (184,810)

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target-based portfolio optimization, alternative performance measure, multiperiod portfolio optimization, least squares Monte Carlo, two-stage regression

8.

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 152 (189,971)

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

9.

Dynamic Volatility Management: From Conditional Volatility to Realized Volatility

Forthcoming, Journal of Investment Strategies
Number of pages: 21 Posted: 14 May 2019
Commonwealth Scientific and Industrial Research Organization (CSIRO), Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University and Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Downloads 30 (458,745)

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volatility management, volatility target, realized volatility, multi-period portfolio management, least squares Monte Carlo

10.

Skewed Target Range Strategy for Multiperiod Portfolio Optimization Using a Two-Stage Least Squares Monte Carlo Method

Journal of Computational Finance, Forthcoming
Number of pages: 31 Posted: 06 Jun 2019
Commonwealth Scientific and Industrial Research Organization (CSIRO), Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University, CSIRO, Monash University - School of Mathematical Sciences and Monash University
Downloads 1 (638,107)
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target-based portfolio optimization, alternative performance measure, multiperiod portfolio optimization, least squares Monte Carlo, two-stage regression

11.

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:

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