Guanghua Lian

University of California, Berkeley - Haas School of Business

545 Student Services Building, #1900

2220 Piedmont Avenue

Berkeley, CA 94720

United States

  • University of California, Berkeley - Haas School of Business

SCHOLARLY PAPERS

2

DOWNLOADS

249

TOTAL CITATIONS

4

Scholarly Papers (2)

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1.

Risk Measures for Variable Annuities: A Hermite Series Expansion Approach

Number of pages: 35 Posted: 05 Aug 2017
Zhenyu Cui, J.H. Kim, Guanghua Lian and Yanchu Liu
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, University of California, Berkeley - Haas School of Business and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 152 (419,496)

Abstract:

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Variable Annuity, GMDB, GMMB, Risk Measures, Value-At-Risk, Conditional-Tail-Expectation

2.

Integral Representation of Probability Density of Stochastic Volatility Models and Timer Options

Number of pages: 25 Posted: 08 Dec 2017
Zhenyu Cui, Justin Kirkby, Guanghua Lian and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), University of California, Berkeley - Haas School of Business and Marist College - Department of Mathematics
Downloads 97 (592,090)
Citation 4

Abstract:

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stochastic volatility, exact probability density,implied volatility, timer option