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ECONIS (ZBW)
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Speed and duration of drawdown under general Markov models
Li, Lingfei
;
Zeng, Pingping
;
Zhang, Gongqiu
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 367-386
Persistent link: https://www.econbiz.de/10014552019
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Deep learning for enhanced index tracking
Dai, Zhiwen
;
Li, Lingfei
- In:
Quantitative finance
24
(
2024
)
5
,
pp. 569-591
Persistent link: https://www.econbiz.de/10014552105
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3
Pricing and hedging autocallable products by Markov chain approximation
Cui, Yeda
;
Li, Lingfei
;
Zhang, Gongqiu
- In:
Review of derivatives research
27
(
2024
)
3
,
pp. 259-303
Persistent link: https://www.econbiz.de/10015133991
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4
Ornstein–Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models
Li, Lingfei
;
Mendoza-Arriaga, Rafael
- In:
Operations research letters
41
(
2013
)
5
,
pp. 521-525
Persistent link: https://www.econbiz.de/10010191968
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5
Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
Li, Lingfei
;
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
24
(
2014
)
2
,
pp. 289-330
Persistent link: https://www.econbiz.de/10010357373
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6
Discretely monitored first passage problems and barrier options : an eigenfunction expansion approach
Li, Lingfei
;
Linetsky, Vadim
- In:
Finance and stochastics
19
(
2015
)
4
,
pp. 941-977
Persistent link: https://www.econbiz.de/10011421097
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7
Analytical representations for the basic affine jump diffusion
Li, Lingfei
;
Mendoza-Arriaga, Rafael
;
Mitchell, Daniel
- In:
Operations research letters
44
(
2016
)
1
,
pp. 121-128
Persistent link: https://www.econbiz.de/10011455591
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8
Additive subordination and its applications in finance
Li, Jing
;
Li, Lingfei
;
Mendoza-Arriaga, Rafael
- In:
Finance and stochastics
20
(
2016
)
3
,
pp. 589-634
Persistent link: https://www.econbiz.de/10011531020
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9
Evaluating callable and putable bonds : an eigenfunction expansion approach
Lim, Dongjae
;
Li, Lingfei
;
Linetsky, Vadim
- In:
Journal of economic dynamics & control
36
(
2012
)
12
,
pp. 1888-1908
Persistent link: https://www.econbiz.de/10009701917
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10
Pure jump models for pricing and hedging VIX derivatives
Li, Jing
;
Li, Lingfei
;
Zhang, Gongqiu
- In:
Journal of economic dynamics & control
74
(
2017
),
pp. 28-55
Persistent link: https://www.econbiz.de/10011740472
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