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Simulation-based algorithms for Markov decision processes
Fu, Michael; Hu, Jiaqiao; Marcus, Steven I. - 2007
Persistent link: https://www.econbiz.de/10003383997
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Jump-diffusion volatility models for variance swaps : an empirical performance analysis
Jin, Xing; Hong, Yi - In: International review of financial analysis 87 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014457699
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Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model
Fu, Michael; Li, Bingqing; Wu, Rongwen; Zhang, Tianqi - In: Frontiers of mathematical finance : FMF 1 (2022) 1, pp. 137-160
Persistent link: https://www.econbiz.de/10015373429
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Contagion network, portfolio credit risk, and financial crisis
Fu, Michael; Li, Bingqing; Li, Fei; Wu, Rongwen - In: European journal of operational research : EJOR 321 (2025) 3, pp. 942-957
Persistent link: https://www.econbiz.de/10015409939