Wen Cheng

Pennsylvania State University - Department of Mathematics

University Park

State College, PA 16802

United States

http://www.math.psu.edu/cheng

SCHOLARLY PAPERS

4

DOWNLOADS

617

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Scholarly Papers (4)

1.

Closed-Form Asymptotics for Local Volatility Models

Number of pages: 30 Posted: 12 Oct 2009 Last Revised: 23 Apr 2010
Pennsylvania State University - Department of Mathematics, Barclays Capital, Pennsylvania State University, Pennsylvania State University, University Park and Department of Mathematics
Downloads 304 (97,629)

Abstract:

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derivative pricing, local volatility models, closed form solutions, asymptotics

2.

Evolution of High Frequency Systematic Trading: A Performance-Driven Gradient Boosting Model

Quantitative Finance
Number of pages: 18 Posted: 07 Sep 2017
Quest Partners LLC, Pennsylvania State University - Department of Mathematics, University of Cincinnati - Department of Business Analytics and Anhui Agricultural University
Downloads 194 (154,278)

Abstract:

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Gradient Boosting, High Frequency, TAQ, Systematic Trading, Predictability

3.

The CEV Model Revisited

Number of pages: 12 Posted: 29 Aug 2014 Last Revised: 09 Sep 2014
Wen Cheng and Tianyou Zhang
Pennsylvania State University - Department of Mathematics and Pennsylvania State University
Downloads 71 (321,172)

Abstract:

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CEV Model

4.

Closed Form Pricing for Commodity Spread Options with High Correlation

Number of pages: 22 Posted: 04 Dec 2014
Wen Cheng
Pennsylvania State University - Department of Mathematics
Downloads 48 (391,728)

Abstract:

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commodity spread options