Pingping Zeng

Southern University of Science and Technology

1088 Xueyuan Avenue

Nanshan District

Shenzhen, Guangdong

China

SCHOLARLY PAPERS

4

DOWNLOADS

495

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Pricing Contingent Convertible Bond with Idiosyncratic Risk

Wang, X., Yang, Z. & Zeng, P. (2023) Pricing contingent convertibles with idiosyncratic risk. International Journal of Economic Theory, 1–34. https://doi.org/10.1111/ijet.12372
Number of pages: 44 Posted: 16 Dec 2012 Last Revised: 03 Mar 2023
Xiaolin Wang, Zhaojun Yang and Pingping Zeng
Hunan University, Southern University of Science and Technology - Department of Finance and Southern University of Science and Technology
Downloads 224 (255,084)
Citation 1

Abstract:

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contingent convertible bond, capital structure, utility-based pricing, idiosyncratic risk, risk-taking incentive

2.

A Transform-Based Method for Pricing Asian Options under General Two-Dimensional Models

Number of pages: 34 Posted: 13 May 2023
Weinan Zhang and Pingping Zeng
Southern University of Science and Technology - Department of Mathematics and Southern University of Science and Technology
Downloads 128 (411,922)

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arithmetic Asian options, two-dimensional models, extended double spiral method, fast Fourier transform

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 74 (593,216)

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

Clustering Effect in Higher-Order Moments Across Various Timescales in the Cryptocurrency Market

Number of pages: 38 Posted: 20 Jul 2023
Hao Fan, Yahua Xu, Elie Bouri and Pingping Zeng
Wuhan University, Central University of Finance and Economics (CUFE) - China Economics and Management Academy, Lebanese American University and Southern University of Science and Technology
Downloads 48 (749,701)

Abstract:

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Clustering effect, Higher-order moments cascades, Cryptocurrencies, Wavelet Hidden Markov Tree Model, Market efficiency

Clustering Effect in Higher-Order Moments Across Various Timescales in the Cryptocurrency Market

Number of pages: 37 Posted: 26 Jan 2024
Yahua Xu, Hao Fan, Elie Bouri and Pingping Zeng
Central University of Finance and Economics (CUFE) - China Economics and Management Academy, Wuhan University, Lebanese American University and Southern University of Science and Technology
Downloads 21 (983,337)

Abstract:

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Clustering effect, Higher-order moments cascades, Cryptocurrencies, Wavelet Hidden Markov Tree Model, Market efficiency