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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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Shortfall risk through Fenchel duality
Cui, Zhenyu; Deng, Jun - In: International journal of financial engineering 5 (2018) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10011923010
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VIX derivatives valuation and estimation based on closed-form series expansions
Zhao, Zhe; Cui, Zhenyu; Florescu, Ionuţ - In: International journal of financial engineering 5 (2018) 2, pp. 1-18
Persistent link: https://www.econbiz.de/10011923012
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An exact and explicit implied volatility inversion formula
Xia, Yuxuan; Cui, Zhenyu - In: International journal of financial engineering 5 (2018) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10011923068
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Options valuation and calibration for leveraged exchange-traded funds with Heston-Nandi and inverse Gaussian GARCH models
Cao, Hongkai; Chatterjee, Rupak; Cui, Zhenyu - In: International journal of financial engineering 6 (2019) 3, pp. 1-37
Persistent link: https://www.econbiz.de/10012314515