Aihua Zhang

University of Leicester - Department of Mathematics

University Road

Leicester, LE1 7RG

United Kingdom

  • University of Leicester - Department of Mathematics

SCHOLARLY PAPERS

8

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88

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Scholarly Papers (8)

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1.

Pricing Asian Options with Stochastic Convenience Yield and Jumps

Number of pages: 32 Posted: 30 Jan 2020 Last Revised: 30 Jul 2020
Christian-Oliver Ewald, Yuexiang Wu and Aihua Zhang
University of Glasgow, University of Glasgow and University of Leicester - Department of Mathematics
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Asian Options, Stochastic Convenience Yield, Jump Diffusion, Derivatives

2.

New Findings on Key Factors Influencing the UK's Referendum on Leaving the EU

Posted: 03 Dec 2016 Last Revised: 30 Jul 2019
Aihua Zhang
University of Leicester - Department of Mathematics

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EU Referendum; Brexit; Turnout; Higher Education; Income; Birth of Country; Unemployment; Age; Sex; Social Grades; Multivariate Regression; Logit Model; Heat Maps; Campaign; Odds ratio

3.

On the Effects of Changing Mortality Patterns on Investment, Labour and Consumption under Uncertainty

Posted: 05 Apr 2012 Last Revised: 30 Jul 2019
Christian-Oliver Ewald and Aihua Zhang
University of Glasgow and University of Leicester - Department of Mathematics

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Lifecycles, consumption and investment, mortality risk, martingale method

4.

A New Method for the Calibration of Stochastic Volatility Models: The Malliavin Gradient Method

Quantitative Finance, Vol. 6, No. 2, pp. 147-158, April 2006
Posted: 16 Jan 2008
Christian-Oliver Ewald and Aihua Zhang
University of Glasgow and University of Leicester - Department of Mathematics

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Malliavin calculus, Monte Carlo simulation, Stochastic volatility models, Calibration, Gradient methods, Value at risk

5.

Optimal Investment for a Pension Fund Under Inflation Risk

Posted: 15 Jan 2008 Last Revised: 26 Jul 2019
Aihua Zhang
University of Leicester - Department of Mathematics

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Pension fund, inflation, optimal portfolio, Martingale method

6.

The Terminal Real Wealth Optimization Problem with Index Bond: Equivalence of Real and Nominal Portfolio Choices for CRRA utility

Posted: 14 Jan 2008 Last Revised: 30 Jul 2019
Aihua Zhang
University of Leicester - Department of Mathematics

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Index bond, real wealth, optimization and portfolio choices

7.

A Closed-Form Solution to the Continuous-Time Consumption Model with Endogenous Labor Income

OPTIMAL CONSUMPTION-PORTFOLIO CHOICES AND RETIREMENT PLANNING, PP. 1115-1148, Bodie, Z., Detemple, J.B., Otruba, S., Walter, S., EDS., J. Econ. Dyn. Control 28, 2004 , LABOR SUPPLY FLESIBILITY AND PORTFOLIO CHOICE IN A LIFE CYCLE MODEL, p. 427, Bodie, Z., Merton, R.C., Samuelson, W.F., eds., J. Econ. Dyn. Control 16
Posted: 07 Aug 2007 Last Revised: 30 Jul 2019
Aihua Zhang
University of Leicester - Department of Mathematics

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Consumption, Labor Supply, Portfolio, Euler equation, Martingale

8.

Optimal Management and Inflation Protection for Defined Contribution Pension Plans

Posted: 29 Mar 2007
Aihua Zhang, Ralf Korn and Christian-Oliver Ewald
University of Leicester - Department of Mathematics, University of Kaiserslautern - Department of Mathematics and University of Glasgow

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Pension mathematics, inflation, long-term investment