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~person:"Caporin, Massimiliano"
~person:"Cui, Zhenyu"
~subject:"Stochastic process"
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Stochastic process
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Caporin, Massimiliano
Cui, Zhenyu
McAleer, Michael
66
Asai, Manabu
37
Koopman, Siem Jan
35
Todorov, Viktor
34
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31
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29
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25
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25
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23
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21
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20
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19
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19
Yu, Jun
19
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18
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17
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17
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17
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ECONIS (ZBW)
46
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1
Proximity-structured multivariate
volatility
models
Caporin, Massimiliano
;
Paruolo, Paolo
- In:
Econometric reviews
34
(
2015
)
1/5
,
pp. 559-593
Persistent link: https://www.econbiz.de/10011373256
Saved in:
2
Nearly exact option price simulation using characteristic functions
Bernard, Carole
;
Cui, Zhenyu
;
McLeish, Don L.
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009685897
Saved in:
3
A note on the Wang transform for stochastic
volatility
pricing models
Badescu, Alexandru
;
Cui, Zhenyu
;
Ortega, Juan-Pablo
- In:
Finance research letters
19
(
2016
),
pp. 189-196
Persistent link: https://www.econbiz.de/10011657622
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
On the martingale property in stochastic
volatility
models based on time-homogeneous diffusions
Bernard, Carole
;
Cui, Zhenyu
;
McLeish, Don L.
- In:
Mathematical finance : an international journal of …
27
(
2017
)
1
,
pp. 194-223
Persistent link: https://www.econbiz.de/10011739452
Saved in:
8
Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes
Lian, Guanghua
;
Zhu, Song-Ping
;
Elliott, Robert J.
; …
- In:
Journal of banking & finance
75
(
2017
),
pp. 167-183
Persistent link: https://www.econbiz.de/10011742159
Saved in:
9
Variable annuities with VIX-linked fee structure under a Heston-type stochastic
volatility
model
Cui, Zhenyu
;
Feng, Runhuan
;
MacKay, Anne
- In:
North American actuarial journal
21
(
2017
)
3
,
pp. 458-483
Persistent link: https://www.econbiz.de/10011858078
Saved in:
10
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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