Similar Search Results

Optimal asset allocation with heterogeneous discounting and stochastic income under CEV model

Li, Danping; Lai, Yongzeng; Li, Lin - In: Journal of the Operational Research Society 71 (2020) 12, pp. 2013-2026

Persistent link: https://www.econbiz.de/10012314419

Exotic options pricing under special Lévy process models : a biased control variate method approach

Jia, Jiayi; Lai, Yongzeng; Li, Lin; Tan, Vinna - In: Finance research letters 34 (2020), pp. 1-4

Persistent link: https://www.econbiz.de/10012436769

Asset allocation for a DC pension fund with stochastic income and mortality risk : a multi-period mean–variance framework

Yao, Haixiang; Lai, Yongzeng; Ma, Qinghua; Jian, Minjie - In: Insurance / Mathematics & economics 54 (2014), pp. 84-92

Persistent link: https://www.econbiz.de/10010259667

Explicit approximate analytic formulas for timer option pricing with stochastic interest rates

Ma, Jingtang; Deng, Dongya; Lai, Yongzeng - In: The North American journal of economics and finance : a … 34 (2015), pp. 1-21

Persistent link: https://www.econbiz.de/10011539653

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

Optimal investment management for a defined contribution pension fund under imperfect information

Zhang, Ling; Zhang, Hao; Yao, Haixiang - In: Insurance / Mathematics & economics 79 (2018), pp. 210-224

Persistent link: https://www.econbiz.de/10011825476

Diagnostics of rational expectation financial bubbles with stochastic mean-reverting termination times

Lin, Li; Sornette, Didier - In: The European journal of finance 19 (2013) 5/6, pp. 344-365

Persistent link: https://www.econbiz.de/10010243610

The volatility-confined LPPL model : a consistent model of "explosive" financial bubbles with mean-reverting residuals

Lin, Li; Ren, R. E.; Sornette, Didier - In: International review of financial analysis 33 (2014), pp. 210-225

Persistent link: https://www.econbiz.de/10010520461

A consistent model of "explosive" financial bubbles with mean-reversing residuals

Lin, Li; Ren, Ruoen; Sornette, Didier - 2009

We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process and a stochastic conditional return which reflects nonlinear positive feedbacks and continuous updates of the investors' beliefs and sentiments. The conditional expected returns...

Persistent link: https://www.econbiz.de/10003970340

A Consistent Model of 'Explosive' Financial Bubbles with Mean-Reversing Residuals

li, Lin; Ren, Ruoen; Sornette, Didier - 2010

Persistent link: https://www.econbiz.de/10014195793