George L. Ye

Beijing Institute of Technology at Zhuhai

Dr.

6 Jinfeng Rd

Zhuhai, Guangdong 519088

China

  • Beijing Institute of Technology at Zhuhai

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    • Tel: +8618666930866
SCHOLARLY PAPERS

9

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Top 28,182

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3,826

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Scholarly Papers (9)

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1.

The Impact of Liquidity Risk on the Prices of Swaps with Default Risk

Number of pages: 21 Posted: 16 Aug 2001
George L. Ye
Beijing Institute of Technology at Zhuhai
Downloads 670 (82,767)

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derivatives, swaps, default risk, liquidity risk

2.

Are the Risk Averse Investors Rational? A Puzzle in the Mean-Varaince Model

Number of pages: 27 Posted: 19 Aug 2002
George L. Ye
Beijing Institute of Technology at Zhuhai
Downloads 604 (94,525)

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asset pricing, mean-variance model, portfolio selection, risk aversion

3.

Asian Options Versus Vanilla Options

Number of pages: 25 Posted: 10 Jan 2007
George L. Ye
Beijing Institute of Technology at Zhuhai
Downloads 593 (96,720)

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Asian option, exotic option

4.

Relationship between FinTech and Financial Engineering: A Review

Number of pages: 19 Posted: 01 Mar 2023 Last Revised: 04 Jul 2023
George L. Ye
Beijing Institute of Technology at Zhuhai
Downloads 546 (107,325)

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FinTech, Financial Engineering, innovation

5.

Pricing Asian Options Using Path Bundling

Number of pages: 50 Posted: 27 Sep 2001
Edwin H. Neave and George L. Ye
Queen's University - Smith School of Business and Beijing Institute of Technology at Zhuhai
Downloads 412 (150,429)

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options pricing, Asian options, numerical methods

6.

Asian Options Can Be More Expensive

Number of pages: 26 Posted: 06 May 2005
George L. Ye
Beijing Institute of Technology at Zhuhai
Downloads 369 (170,245)

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Asian option, exotic option, option pricing

7.

Bounds for Exotics

Number of pages: 36 Posted: 06 Aug 2003 Last Revised: 28 Jun 2015
George L. Ye
Beijing Institute of Technology at Zhuhai
Downloads 324 (195,947)

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exotic option, risk management, model risk, option price

8.

Forecasting Stock Exchange Opening with Foreign Stock Markets: Evidence from the NYSE and the SSE

Number of pages: 25 Posted: 12 Jun 2011
George L. Ye
Beijing Institute of Technology at Zhuhai
Downloads 182 (346,390)

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Emerging Stock Market, Chinese stock market,Stock Price Discovery, Market Microstructure

9.

A Paradox in the Markowitz Mean-Variance Model with Transaction Costs

Number of pages: 11 Posted: 30 Jun 2015
George L. Ye
Beijing Institute of Technology at Zhuhai
Downloads 126 (469,954)

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variance model, portfolio selection, risk aversion, transaction cost