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Zili Zhu

SSRN Author Rank: 29,933 by Downloads

 Dr
 

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


 Gate 5 Normanby Road
 Clayton
 Melbourne, Australian Capital Territory 3168
 Australia
 61 3 95458003 (Phone)
 61 3 9545 8080 (Fax)
 email address

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. Zili Zhu's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
1,103
Total
Citations
1
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
A Hybrid Stochastic Volatility Model Incorporating Local Volatility | Show Abstract | Download This Paper | Open PDF in Browser |
2012 Fourth International Conference on Computational and Information Sciences (ICCIS)
Number of Pages in PDF File: 4
Tian, Yu
Monash Uiversity
Zhu, Zili
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Klebaner, Fima
Monash University
Hamza, Kais
Monash University
Posted:
04 Jun 12
Last Revised:
28 Jan 14
380
(53,332)
 

2.  
Pricing Barrier and American Options under the SABR model on the GPU | Show Abstract | Download This Paper | Open PDF in Browser |
Concurrency and Computation: Practice and Experience, 2011
Number of Pages in PDF File: 15
Tian, Yu
Monash Uiversity
Zhu, Zili
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Klebaner, Fima
Monash University
Hamza, Kais
Monash University
Posted:
04 Aug 10
Last Revised:
10 Apr 11
371
(55,691)
1

3.  
Pricing Window Barrier Options with a Hybrid Stochastic-Local Volatility Model | Show Abstract | Download This Paper | Open PDF in Browser |
2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics
Number of Pages in PDF File: 8
Tian, Yu
Monash Uiversity
Zhu, Zili
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Lee, Geoffrey
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Lo, Thomas
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Klebaner, Fima
Monash University
Hamza, Kais
Monash University
Posted:
20 Nov 13
Last Revised:
23 Feb 14
117
(162,322)
 

4.  
Switching to Non-Affine Stochastic Volatility: A Closed-Form Expansion for the Inverse Gamma Model | Show Abstract | Download This Paper | Open PDF in Browser |
International Journal of Theoretical and Applied Finance, Vol. 19, No. 5, 2016
Number of Pages in PDF File: 30
Langrené, Nicolas
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Lee, Geoffrey
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Zhu, Zili
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Posted:
10 Jul 15
Last Revised:
27 Oct 16
27
(303,705)
 

5.  
Zhang, Rongju
Monash University - School of Mathematical Sciences
Langrené, Nicolas
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Tian, Yu
Monash Uiversity
Zhu, Zili
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Klebaner, Fima
Monash University - School of Mathematical Sciences
Hamza, Kais
Monash University
Posted:
01 Dec 15
Last Revised:
06 Jan 16
0
(194,181)
 

6.  
Calibrating and Pricing with a Stochastic-Local Volatility Model | Show Abstract |
Journal of Derivatives, Spring 2015, Vol. 22, No. 3: pp. 21-39, DOI: 10.3905/jod.2015.22.3.021
Tian, Yu
Monash Uiversity
Zhu, Zili
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Lee, Geoffrey
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Klebaner, Fima
Monash University
Hamza, Kais
Monash University
Posted:
30 Nov 12
Last Revised:
17 Mar 15
 


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