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A closed-form model-free implied volatility formula through delta families
Cui, Zhenyu; Kirkby, Justin; Nguyen, Duy; Taylor, Stephen - In: The journal of derivatives : JOD 28 (2021) 4, pp. 111-127
Persistent link: https://www.econbiz.de/10012612926
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Omega diffusion risk model with surplus-dependent tax and capital injections
Cui, Zhenyu; Nguyen, Duy - In: Insurance / Mathematics & economics 68 (2016), pp. 150-161
Persistent link: https://www.econbiz.de/10011492639
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A general framework for time-changed Markov processes and applications
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 273 (2019) 2, pp. 785-800
Persistent link: https://www.econbiz.de/10011987591
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Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: Insurance / Mathematics & economics 74 (2017), pp. 46-62
Persistent link: https://www.econbiz.de/10011712358
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A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 262 (2017) 1, pp. 381-400
Persistent link: https://www.econbiz.de/10011785790
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A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
Kirkby, J. Lars; Nguyen, Duy; Cui, Zhenyu - In: Journal of economic dynamics & control 80 (2017), pp. 75-100
Persistent link: https://www.econbiz.de/10011817629
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Integral representations of probability density of stochastic volatility models and timer options
Cui, Zhenyu; Kirkby, J. Lars; Lian, Guanghua; Nguyen, Duy - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-32
Persistent link: https://www.econbiz.de/10011787421
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Nonparametric density estimation by B-spline duality
Cui, Zhenyu; Kirkby, Justin Lars; Nguyen, Duy - In: Econometric theory 36 (2020) 2, pp. 250-291
Persistent link: https://www.econbiz.de/10012193747
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A data-driven framework for consistent financial valuation and risk measurement
Cui, Zhenyu; Kirby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 289 (2021) 1, pp. 381-398
Persistent link: https://www.econbiz.de/10012416736
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Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 290 (2021) 3, pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249