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Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching

Chen, Zhiping; Wang, Liyuan; Chen, Ping; Yao, Haixiang - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-33

Persistent link: https://www.econbiz.de/10012153045

Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes

Zhao, Yongxia; Chen, Ping; Yang, Hailiang - In: Insurance / Mathematics & economics 74 (2017), pp. 135-146

Persistent link: https://www.econbiz.de/10011712427

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

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

Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability

Yao, Haixiang; Li, Zhongfei; Li, Duan - In: European journal of operational research : EJOR 252 (2016) 3, pp. 837-851

Persistent link: https://www.econbiz.de/10011472346

First- and second-order Greeks in the Heston model

Chan, Jiun Hong; Joshi, Mark S.; Zhu, Dan - In: Journal of risk 17 (2014/2015) 4, pp. 19-69

Persistent link: https://www.econbiz.de/10013262933

An exact method for the sensitivity analysis of systems simulated by rejection techniques

Joshi, Mark S.; Zhu, Dan - In: European journal of operational research : EJOR 254 (2016) 3, pp. 875-888

Persistent link: https://www.econbiz.de/10011521858

First and Second Order Greeks in the Heston Model

Chan, Jiun Hong - 2014

In this paper, we present an efficient approach to compute the first and the second order price sensitivities in the Heston model using the algorithmic differentiation approach. Issues related to the applicability of the pathwise method are discussed in this paper as most existing numerical...

Persistent link: https://www.econbiz.de/10013068956

High-dimensional conditionally Gaussian state space models with missing data

Chan, Joshua; Poon, Aubrey; Zhu, Dan - In: Journal of econometrics 236 (2023) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10014332310

Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models

Ai, Meiqiao; Zhang, Zhimin; Zhu, Dan - In: Scandinavian actuarial journal 2023 (2023) 4, pp. 330-358

Persistent link: https://www.econbiz.de/10014336388