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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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Ensemble models in forecasting financial markets
Karathanasopoulos, Andreas; Sovan, Mitra; Lo, Chia Chun; … - In: The journal of computational finance 23 (2019) 3, pp. 101-119
Persistent link: https://www.econbiz.de/10012162385
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A multi-objective optimization metaheuristic hybrid technique for forecasting the electricity consumption of the UAE : a grey wolf approach
Karathanasopoulos, Andreas; Lo, Chia Chun; Sovan, Mitra; … - In: Journal of forecasting 44 (2025) 1, pp. 242-252
Persistent link: https://www.econbiz.de/10015374016
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A hybrid Markov chain-tree valuation framework for stochastic volatility jump diffusion models
Nguyen, Duy - In: International journal of financial engineering 5 (2018) 4, pp. 1-30
Persistent link: https://www.econbiz.de/10012028829
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Does corruption grease or sand the wheels of firm productivity? : evidence of a non-linear relationship from a firm-level analysis in Vietnam
Ha, Van; Chau Trinh Nguyen; Tra Thi Thu Pham; Duy Nguyen - In: Journal of economic studies 51 (2024) 4, pp. 919-941
Persistent link: https://www.econbiz.de/10015048233
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Robust and nearly exact option pricing with bilateral gamma processes
Aguilar, Jean-Philippe; Kirkby, Justin - In: The journal of derivatives : JOD 30 (2022) 1, pp. 8-31
Persistent link: https://www.econbiz.de/10014231087
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Full‐fledged SABR Through Markov Chains
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: Wilmott 2019 (2019) 102, pp. 74-81
Persistent link: https://www.econbiz.de/10012274275
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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