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Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest
Bao, Qunfang; Chen, Si; Li, Shenghong - In: Economic modelling 29 (2012) 2, pp. 471-477
Persistent link: https://www.econbiz.de/10009536792
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Pricing VXX option with default risk and positive volatility skew
Bao, Qunfang; Li, Shenghong; Gong, Donggeng - In: European journal of operational research : EJOR 223 (2012) 1, pp. 246-255
Persistent link: https://www.econbiz.de/10009613957
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An efficient estimate and forecast of the implied volatility surface : a nonlinear Kalman filter approach
Chen, Si; Zhou, Zhen; Li, Shenghong - In: Economic modelling 58 (2016), pp. 655-664
Persistent link: https://www.econbiz.de/10011647943
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Towards optimal workload-aware XML to relational schema mapping
Wang, Xiaoling; Luan, Jinfeng; Liu, Guimei; Zhou, Aoying - 2009
Persistent link: https://www.econbiz.de/10003848347
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A new concise representation of frequent itemsets using generators and a positive border
Liu, Guimei; Li, Jinyan; Wong, Limsoon - In: Knowledge and information systems : an international journal 17 (2008) 1, pp. 35-56
Persistent link: https://www.econbiz.de/10003781642
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Academic analytics
Chen, Si - 2014
Persistent link: https://www.econbiz.de/10010365150
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Consistent pricing of VIX options with the Hawkes jump-diffusion model
Jing, Bo; Li, Shenghong; Ma, Yong - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012821987
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Belief updating, debt pricing and financial decisions under asymmetric information
Xu, Ruxing; Li, Shenghong - In: Research in international business and finance 24 (2010) 2, pp. 123-137
Persistent link: https://www.econbiz.de/10003965031
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A note on "Monte Carlo analysis of convertible bonds with reset clause"
Yang, Jingyang; Choi, Yoon; Li, Shenghong; Yu, Jinping - In: European journal of operational research : EJOR 200 (2009/10) 3, pp. 924-925
Persistent link: https://www.econbiz.de/10003892409
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Mixed copula model with stochastic correlation for CDO pricing
Chen, Jianli; Liu, Zhen; Li, Shenghong - In: Economic modelling 40 (2014), pp. 167-174
Persistent link: https://www.econbiz.de/10010425701