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Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility

Li, Danping; Shen, Yang; Zeng, Yan - In: Insurance / Mathematics & economics 78 (2018), pp. 72-86

Persistent link: https://www.econbiz.de/10011825217

Optimal investment and reinsurance strategies under 4/2 stochastic volatility model

Wang, Wenyuan; Muravey, Dmitry; Shen, Yang; Zeng, Yan - 2023

Persistent link: https://www.econbiz.de/10014336459

Effect of variance swap in hedging volatility risk

Shen, Yang - In: Risks : open access journal 8 (2020) 3/70, pp. 1-34

This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We consider two mean-variance portfolio selection problems under Heston's stochastic volatility model. In the first problem, the financial market is complete and contains three primitive...

Persistent link: https://www.econbiz.de/10012293125

Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model

Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 601-614

Persistent link: https://www.econbiz.de/10010227929

Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps

Zeng, Yan; Li, Danping; Gu, Ailing - In: Insurance / Mathematics & economics 66 (2016), pp. 138-152

Persistent link: https://www.econbiz.de/10011442729

Control variate methods and applications to Asian and basket options pricing under jump-diffusion models

Lai, Yongzeng; Li, Zhongfei; Zeng, Yan - In: IMA journal of management mathematics 26 (2015) 1, pp. 11-37

Persistent link: https://www.econbiz.de/10011376988

Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model

Shen, Yang; Siu, Tak Kuen - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 757-768

Persistent link: https://www.econbiz.de/10010227881

Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching

Shen, Yang; Siu, Tak Kuen - In: Operations research letters 41 (2013) 2, pp. 180-187

Persistent link: https://www.econbiz.de/10009727702

Pricing bond options under a Markovian regime-switching Hull-White model

Shen, Yang; Siu, Tak Kuen - In: Economic modelling 30 (2013), pp. 933-940

Persistent link: https://www.econbiz.de/10009710001

Longevity bond pricing under stochastic interest rate and mortality with regime-switching

Shen, Yang; Siu, Tak Kuen - In: Insurance / Mathematics & economics 52 (2013) 1, pp. 114-123

Persistent link: https://www.econbiz.de/10009718990