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

7

DOWNLOADS
Rank 30,121

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Top 30,121

in Total Papers Downloads

1,187

CITATIONS

1

Scholarly Papers (7)

1.

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 (55,006)

Abstract:

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

2.

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 (58,029)
Citation 1

Abstract:

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

3.

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 (165,248)

Abstract:

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

4.

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 27 (310,663)

Abstract:

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

5.

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 (425,888)

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

6.

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 (173,952)

Abstract:

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

7.

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