Chenxu Li

Peking University - Guanghua School of Management

Guanghua School of Management

Beijing, 100871

China

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 40,039

SSRN RANKINGS

Top 40,039

in Total Papers Downloads

1,801

SSRN CITATIONS
Rank 49,347

SSRN RANKINGS

Top 49,347

in Total Papers Citations

7

CROSSREF CITATIONS

6

Scholarly Papers (5)

1.

Implied Stochastic Volatility Models

Number of pages: 51 Posted: 01 Jun 2017 Last Revised: 21 Feb 2019
Princeton University - Department of Economics, Peking University - Guanghua School of Management and Princeton University - Bendheim Center for Finance
Downloads 1,451 (19,577)
Citation 1

Abstract:

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implied volatility surface, stochastic volatility, option pricing, closed-form expansion

2.

Wealth Effect on Portfolio Allocation in Incomplete Markets

Swiss Finance Institute Research Paper No. 20-22
Number of pages: 71 Posted: 22 Apr 2020 Last Revised: 30 Aug 2021
Chenxu Li, O. Scaillet and Yiwen Shen
Peking University - Guanghua School of Management, Swiss Finance Institute - University of Geneva and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 134 (308,265)

Abstract:

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optimal portfolio choice, stochastic volatility, incomplete market, wealth-dependent utility, closed-form

3.

Estimating Jump-Diffusions Using Closed-Form Likelihood Expansions -- Online Supplementary Material

Number of pages: 27 Posted: 11 Jul 2016
Chenxu Li and Dachuan Chen
Peking University - Guanghua School of Management and Nankai University
Downloads 133 (310,055)
Citation 3

Abstract:

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maximum-likelihood estimation, jump-diffusion, discrete observations, transition density, expansion

4.

A Closed-Form Expansion Approach for Pricing Discretely Monitored Variance Swaps - Online Supplementary Material

Number of pages: 13 Posted: 16 May 2015
Chenxu Li and Xiaocheng Li
Peking University - Guanghua School of Management and Imperial College Business School
Downloads 82 (428,389)
Citation 2

Abstract:

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variance swaps, discretely monitored, jump-diffusion models, stochastic volatility, closed-form expansion

5.

Bessel Processes, Stochastic Volatility, and Timer Options

Mathematical Finance, Vol. 26, Issue 1, pp. 122-148, 2016
Number of pages: 27 Posted: 13 Jan 2016
Chenxu Li
Peking University - Guanghua School of Management
Downloads 1 (937,603)

Abstract:

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timer options, volatility derivatives, realized variance, stochastic volatility models, Bessel processes