Haining
Zhejiang
China
Zhejiang University/University of Illinois at Urbana-Champaign Institute
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diffusion market, mean-reverting model, arbitrage, technical analysis, self-financing strategies, universal portfolio
diffusion market model, stochastic volatility, volatility smile, implied volatiliy, implied parameters
portfolio strategies, currency exchange, soft peg, currency corridor, currency trading, speculations
Bond price, diffusion market models, Black-Scholes, stochastic volatility, implied volatility, implied forward risk-free rate
volatility smile, volatility skew, market models, Black-Scholes, diffusion market, stochastic volatility
Optimal portfolio, non-observable parameters, Kalman filter
discrete time market, mean-reverting model, arbitrage, technical analysis, self-financing strategies, universal portfolio
stochastic market, portfolio selection, forecasting, myopic strategies
bounded risk, portfolio selection, non-observable parameters, stochastic market models
Diffusion market model, stochastic volatility, volatility smile, Hamilton-Jacobi-Bellman equation
stochastic discrete time market, optimal portfolio, myopic strategies, exponential utility
Optimal portfolio, discrete time market, diffusion market, myopic strategies
econometrics, implied volatility, volatility index, approximation of missing data, dynamic forecasting, purified option prices
econometrics, continuous time price models, discretization, short time series, volatility estimation, non-parametric estimation
implied volatility, optimization, risk-free rate
discrete time market, multi-period market, serial correlation, optimal portfolio, mean variance portfolio, goal achieving
tochastic control, exotic options, passport options, controlled options, multi-exercise options, continuous time market models
volatility, multiple time-scales, sampling frequencies, equations with delay, stock price models
minimax problems, optimal portfolio, stochastic control
implied volatility surfaces, implied volatility layers, model uncertainty, interest rate term structure
equity liquidation, optimal strategy, contingent claim replication
interest rates, squared-root process, forecast, optimization
Optimal Portfolio, Mutual Fund Theorem, Continuous Time Market Models
martingale pricing, stochastic bond price, incomplete market, hedging error
financial time series, serial correlations, non-parametric methods, technical analysis, statistical validation
discrete time market, serial correlation, optimal portfolio, myopic strategies
annuities pricing, risk minimization, price disagreement, annuity puzzle
continuous market, uncertainty, optimal portfolio, minimax problems, saddle point
American options, exotic options, Irish options, pricing rules
American options, compound options, exotic options, multiple exercise, multiple rescissions, multiple stopping, pricing rules, Irish options
stochastic processes, Donsker Theorem, binomial approximation, discretisation of Ito equations, incomplete market, complete market
optimal portfolio, myopic strategies, discrete time market, diffusion market, discretization, first exit times
fractional Brownian motion, drift, optimal portfolio, mean-variance portfolio, programmed control
optimal portfolio, Mutual Fund Theorem, continuous time market models
parameter estimation, Black-Scholes, implied volatility, implied forward risk-free rate
market models, portfolio selection, fractional Brownian motion, arbitrage, arbitrage-free market
price statistics, market completeness, market incompleteness, forecasting
American options, multiple exercise, multiple rescissions, multiple stopping, exotic options, pricing rules, Irish options
nonparametric methods, spectral analysis, forecasting
