Cong Qin

Soochow University

No. 1 Shizi Street, Center for Financial Engineeri

Suzhou, 215006

China

SCHOLARLY PAPERS

8

DOWNLOADS

1,127

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (8)

1.

From Hotelling to Nakamoto: The Economics of Bitcoin Mining

Number of pages: 41 Posted: 18 Feb 2021
Min Dai, Wei Jiang, Steven Kou and Cong Qin
The Hong Kong Polytechnic University, Hong Kong University of Science and Technology, Boston University and Soochow University
Downloads 366 (154,729)

Abstract:

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Cryptocurrency, bitcoin mining, jump risk, transaction fees, inventory

Dynamic Trading with Realization Utility

Columbia Business School Research Paper No. 4021117
Number of pages: 67 Posted: 30 Jan 2022 Last Revised: 15 Sep 2023
Min Dai, Cong Qin and Neng Wang
The Hong Kong Polytechnic University, Soochow University and Columbia University - Columbia Business School, Finance
Downloads 226 (252,059)

Abstract:

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prospect theory; loss aversion; option value; disposition effect; leverage; time diversification

Portfolio Rebalancing with Realization Utility

NBER Working Paper No. w29821
Number of pages: 51 Posted: 07 Mar 2022 Last Revised: 26 Jun 2022
Min Dai, Cong Qin and Neng Wang
The Hong Kong Polytechnic University, Soochow University and Columbia University - Columbia Business School, Finance
Downloads 6 (1,146,958)

Abstract:

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3.

Asymptotic Analysis of Long-Term Investment with Two Illiquid and Correlated Assets

Number of pages: 33 Posted: 22 Mar 2021 Last Revised: 22 Jun 2022
Xinfu Chen, Min Dai, Wei Jiang and Cong Qin
Independent, The Hong Kong Polytechnic University, Hong Kong University of Science and Technology and Soochow University
Downloads 176 (317,592)

Abstract:

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4.

A Pricing Model of Airbag Options with Discrete Monitoring

Acta Mathemacae Applicatae Sinica, English Series
Number of pages: 40 Posted: 23 Sep 2022 Last Revised: 20 Jun 2023
Min Hu, Shuiyi Hu, Cong Qin and Fan Zhou
Center for Financial Engineering, University of Minnesota - Twin Cities - School of Mathematics, Soochow University and Center for Financial Engineering
Downloads 115 (449,352)

Abstract:

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Airbag option, discrete barriers, early exercise, risk management, closed-from solution

5.

Exhaustible Resources with Adjustment Costs: Spot and Futures Prices

Number of pages: 73 Posted: 26 Sep 2019
Min Dai, Steven Kou and Cong Qin
The Hong Kong Polytechnic University, Boston University and Soochow University
Downloads 100 (493,572)

Abstract:

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Exhaustible Resources, Exploration, Production Adjustment Costs

6.

A Continuous-Exercise Model for American Call Options with Hedging Constraints

Number of pages: 19 Posted: 04 Apr 2016 Last Revised: 16 Apr 2016
Cong Qin, Xinfu Chen, Xin Lai and Wanghui Yu
Soochow University, Independent, College of Science and Soochow University
Downloads 55 (689,740)
Citation 1

Abstract:

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American call options, continuous exercise, variational inequality, optimal exercise strategy, free boundary

7.

Realization Utility with Path-Dependent Reference Points

Forthcoming, SIAM Journal on Financial Mathematics
Number of pages: 50 Posted: 12 Apr 2021 Last Revised: 08 Jun 2022
Linghui Kong, Cong Qin and Xingye Yue
Soochow University, Soochow University and Soochow University
Downloads 44 (759,591)

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Realization Utility, Path-Dependent Reference Points, Variational Inequality, Penalty Method

8.

Portfolio Selection with a kth-to-default Credit-Linked Note

Number of pages: 61 Posted: 17 Nov 2023
Kangquan Zhi and Cong Qin
Xuzhou University of Technology and Soochow University
Downloads 39 (795,596)

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kth-to-default CLN, contagion risk, portfolio optimization