Yiqi Liu

University of Macau

P.O. Box 3001

Macau

University of Macau

PHD

Avenida da Universidade, Taipa

Macau, China

Taipa

Macau

SCHOLARLY PAPERS

3

DOWNLOADS

159

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

A Regression-Based Numerical Method for Forward-Backward Stochastic Differential Equations

Number of pages: 14 Posted: 24 Oct 2014
Deng Ding, Yiqi Liu and Yiqi Liu
University of Macau and University of MacauUniversity of Macau
Downloads 109 (319,475)

Abstract:

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Backward stochastic differential equations; Characteristic functions; Least-squares Monte Carlo methods.

2.

A Regression Method Based on Characteristic Functions for Numerical Solutions of Forward-Backward Stochastic Differential Equations

Number of pages: 8 Posted: 29 Jul 2014
Deng Ding, Yiqi Liu, Yiqi Liu, Zhijie Cao and Qiang Liu
University of Macau, University of MacauUniversity of Macau, University of Macau and University of Macau
Downloads 50 (491,905)

Abstract:

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Backward stochastic differential equations; Characteristic functions; Least-squares Monte Carlo methods.

3.

Inference on the Integrated Volatility with Multiple Records by Using Range

Posted: 25 Aug 2016
Yiqi Liu, Yiqi Liu, Wang Li and Zhi Liu
University of MacauUniversity of Macau, University of Macau and University of Macau

Abstract:

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Integrated volatility; High-frequency data; Multiple records; Range-based estimation