Narrow search
Showing 1 - 5 of 5
Cover Image
Variance swaps valuation under non-affine GARCH models and their diffusion limits
Badescu, Alexandru; Chen, Yuyu; Couch, Matthew; Cui, Zhenyu - In: Quantitative finance 19 (2019) 2, pp. 227-246
Persistent link: https://www.econbiz.de/10012194650
Cover Image
Detecting and identifying arbitrage in the spot foreign exchange market
Cui, Zhenyu; Qian, Wenhan; Taylor, Stephen; Zhu, Lingjiong - In: Quantitative finance 20 (2020) 1, pp. 119-132
Persistent link: https://www.econbiz.de/10012194858
Cover Image
A Markov chain approximation scheme for option pricing under skew diffusions
Ding, Kailin; Cui, Zhenyu; Wang, Yongjin - In: Quantitative finance 21 (2021) 3, pp. 461-480
Persistent link: https://www.econbiz.de/10012483834
Cover Image
A new representation of the risk-neutral distribution and its applications
Cui, Zhenyu; Xu, Yuewu - In: Quantitative finance 22 (2022) 5, pp. 817-834
Persistent link: https://www.econbiz.de/10013367863
Cover Image
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
MacKay, Anne; Vachon, Marie-Claude; Cui, Zhenyu - In: Quantitative finance 23 (2023) 7/8, pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664