Zili Zhu

Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)

Dr

Gate 5 Normanby Road

Clayton

Melbourne, Australian Capital Territory 3168

Australia

SCHOLARLY PAPERS

10

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1,904

SSRN CITATIONS
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SSRN RANKINGS

Top 45,309

in Total Papers Citations

10

CROSSREF CITATIONS

5

Scholarly Papers (10)

1.

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 471 (84,168)

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

2.

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 466 (85,263)
Citation 5

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

3.

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 197 (209,874)
Citation 3

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

4.

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 197 (209,874)
Citation 2

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

5.

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 160 (250,876)

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

6.

Using a stochastic economic scenario generator to analyse uncertain superannuation and retirement outcomes

Number of pages: 40 Posted: 22 May 2019 Last Revised: 04 Aug 2020
CSIRO Data61, Monash Business School, Monash University - Department of Econometrics and Business Statistics, Monash University - Department of Econometrics & Business Statistics, 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) and Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Downloads 144 (273,287)

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superannuation, Economic Scenarios Generator, SUPA model, Monte Carlo simulation, accumulation, decumulation, Age Pension, retirement income

7.

Switching to Non-Affine Stochastic Volatility: A Closed-Form Expansion for the Inverse Gamma Model

International Journal of Theoretical and Applied Finance, Vol. 19, No. 5, 2016
Number of pages: 30 Posted: 10 Jul 2015 Last Revised: 27 Oct 2016
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) and Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Downloads 135 (287,307)
Citation 1

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stochastic volatility, Inverse Gamma, volatility expansion, closed-form pricing, log-normal, mean-reverting SABR

8.

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 134 (288,939)

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

9.

Introducing Two Mixing Fractions to a Lognormal Local-Stochastic Volatility Model

Journal of Computational Finance, Vol. 24, No. 3
Number of pages: 18 Posted: 03 Feb 2021
Geoffrey Lee, Bowie Owens and Zili Zhu
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), CSIRO Data61 and Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Downloads 0 (878,334)
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exotic option pricing, local-stochastic volatility, mixing fraction, foreign exchange.

10.

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

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