Pingping Jiang

Nankai University - School of Mathematical Sciences

Weijin Road #94

Tianjin, 300071

China

  • Nankai University - School of Mathematical Sciences

SCHOLARLY PAPERS

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Scholarly Papers (3)

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1.

Modeling Financial Market Movement with Winning Streaks: Sticky Maximum Process

Number of pages: 34 Posted: 03 Apr 2020 Last Revised: 08 Feb 2021
Runhuan Feng, Pingping Jiang and Hans Volkmer
University of Illinois at Urbana-Champaign, Nankai University - School of Mathematical Sciences and University of Wisconsin Milwaukee
Downloads 186 (249,259)

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sticky maximum process; sticky diffusion process; financial market movement; option valuation; stochastic process inference

2.

Analytical Solvability and Exact Simulation of Stochastic Volatility Models with Jumps

Number of pages: 51 Posted: 16 Aug 2021 Last Revised: 13 Sep 2021
Pingping Zeng, Ziqing Xu, Pingping Jiang and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST) - Department of Mathematics, affiliation not provided to SSRN, Nankai University - School of Mathematical Sciences and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 138 (319,712)

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stochastic volatility models with Levy jumps; conditional characteristic function; Hilbert transform method; interpolation; enhanced Hilbert interpolation method; almost exact simulation; weighted variance swaps; variance options

3.

Analytical Solvability and Exact Simulation in Models with Affine Stochastic Volatility and Levy Jumps

Number of pages: 46 Posted: 21 Oct 2022 Last Revised: 09 Nov 2022
Pingping Zeng, Ziqing Xu, Pingping Jiang and Yue Kuen Kwok
Southern University of Science and Technology, affiliation not provided to SSRN, Nankai University - School of Mathematical Sciences and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 21 (770,529)

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analytical solvability, exact simulation, stochastic volatility, Levy jumps, Hilbert transform method, interpolation, path-dependent derivatives