Liming Feng

University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering

104 S. Mathews Avenue

Urbana, IL 61801

United States

SCHOLARLY PAPERS

9

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Top 27,191

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3,567

SSRN CITATIONS
Rank 15,900

SSRN RANKINGS

Top 15,900

in Total Papers Citations

25

CROSSREF CITATIONS

67

Scholarly Papers (9)

1.

Simulating Levy Processes from Their Characteristic Functions and Financial Applications

ACM Transactions on Modeling and Computer Simulation, Forthcoming
Number of pages: 33 Posted: 11 Jan 2012
Zisheng Chen, Liming Feng and Xiong Lin
Department of Industrial and Enterprise Systems Engineering, University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering and University of Illinois at Urbana-Champaign, Department of Mathematics
Downloads 661 (75,719)
Citation 5

Abstract:

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levy process, randomized quasi-Monte Carlo method, inverse transform method, Hilbert transform, analytic characteristic function, discrete Asian option, control variates

2.

Pricing Options in Jump-Diffusion Models: An Extrapolation Approach

Operations Research, Forthcoming
Number of pages: 38 Posted: 22 Jun 2007
Liming Feng and Vadim Linetsky
University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 622 (81,714)
Citation 4

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jump-diffusion process, partial integro-differential equation, finite element method, extrapolation, implicit-explicit scheme, barrier option, Bermudan option, Toeplitz matrix

3.

Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact

Operations Research, Forthcoming
Number of pages: 19 Posted: 28 Aug 2013 Last Revised: 12 Sep 2013
Jingnan Chen, Liming Feng, Jiming Peng and Yinyu Ye
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering, University of Houston and Independent
Downloads 602 (85,097)
Citation 1

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optimal de-leveraging, permanent and temporary price impact, non-convex quadratic program, Lagrangian method, break-point

4.

Inverting Analytic Characteristic Functions and Financial Applications

SIAM Journal on Financial Mathematics, 2013, 4(1), 372-398
Number of pages: 28 Posted: 06 Jun 2013
Liming Feng and Xiong Lin
University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering and University of Illinois at Urbana-Champaign, Department of Mathematics
Downloads 436 (126,198)
Citation 1

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sinc expansion, Fourier transform, Hilbert transform, trapezoidal rule, characteristic function, option pricing, extreme strike

5.

Computing Exponential Moments of the Discrete Maximum of a Levy Process and Lookback Options

Finance and Stochastics, Forthcoming
Number of pages: 27 Posted: 29 Aug 2008
Liming Feng and Vadim Linetsky
University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 332 (171,017)
Citation 6

Abstract:

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Levy processes, discrete maximum, exponential moments, Esscher transform, discrete lookback options, Fourier transform, Hilbert transform, Sinc expansion

6.

Quadratic Finite Element and Preconditioning for Options Pricing in the SVCJ Model

Journal of Computational Finance, Forthcoming
Number of pages: 20 Posted: 11 Jan 2012
Chongqing University, Xuzhou Normal University, University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering and University of Macau
Downloads 311 (183,177)

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stochastic volatility jump diffusion, barrier option, partial integro-differential equation, quadratic finite element, preconditioning, BiCGSTAB, modified incomplete LU preconditioner, block circulant preconditioner

7.

Pricing Bermudan Options in Lévy Process Models

SIAM Journal on Financial Mathematics, 4(1), pp. 474-493, 2013
Number of pages: 20 Posted: 06 Aug 2013
Liming Feng and Xiong Lin
University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering and University of Illinois at Urbana-Champaign, Department of Mathematics
Downloads 299 (191,074)
Citation 2

Abstract:

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Lévy process, Bermudan option, early exercise boundary, optimal stopping, Fourier transform, Hilbert transform, sinc methods, fast Fourier transform, analytic characteristic function

8.

On the Solution of Complementarity Problems Arising in American Options Pricing

Optimization Methods and Software, Forthcoming
Number of pages: 16 Posted: 06 Nov 2010
University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering, Northwestern University - Department of Industrial Engineering and Management Sciences, Instituto Tecnológico Autónomo de México (ITAM) and Northwestern University
Downloads 194 (290,565)
Citation 1

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American Options Pricing, Linear Complementarity, Projected SOR Method

9.

Monitoring Error of the Supremum of a Normal Jump Diffusion Process

Journal of Applied Probability, Forthcoming
Number of pages: 14 Posted: 13 Jul 2011
Ao Chen, Liming Feng and Renming Song
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering and affiliation not provided to SSRN
Downloads 110 (460,555)

Abstract:

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normal jump diffusion process, supremum, discrete monitoring, Spitzer's identity, Euler-Maclaurin formula, Riemann zeta function, Lerch transcendent