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Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion

Pirjol, Dan; Zhu, Lingjiong - In: Operations research letters 51 (2023) 3, pp. 346-352

Persistent link: https://www.econbiz.de/10014374962

Transform analysis for Hawkes processes with applications in dark pool trading

Gao, Xuefeng; Zhou, Xiang; Zhu, Lingjiong - In: Quantitative finance 18 (2018) 2, pp. 265-282

Persistent link: https://www.econbiz.de/10011905921

Small-noise limit of the quasi-Gaussian log-normal HJM model

Pirjol, Dan; Zhu, Lingjiong - In: Operations research letters 45 (2017) 1, pp. 6-11

Persistent link: https://www.econbiz.de/10011687046

Optimal batch size and process setting in light-emitting diode (LED) coproduction processes

Ghosh, Vashkar; Paul, Anand; Yang, Zhechao; Zhu, Lingjiong - In: Production and operations management : the flagship … 33 (2024) 5, pp. 1099-1115

Persistent link: https://www.econbiz.de/10014576987

A Reduced-Form Model for Level-1 Limit Order Books

Yang, Tzu-Wei - 2015

One popular approach to model the limit order books dynamics of the best bid and ask at level-1 is to use the reduced-form diffusion approximations. It is well known that the biggest contributing factor to the price movement is the imbalance of the best bid and ask. We investigate the data of...

Persistent link: https://www.econbiz.de/10013016710

Optimal Investment in a Dual Risk Model

Fahim, Arash - 2015

Dual risk models are popular for modeling a venture capital or high tech company, for which the running cost is deterministic and the profits arrive stochastically over time. Most of the existing literature on dual risk models concentrated on the optimal dividend strategies. In this paper, we...

Persistent link: https://www.econbiz.de/10013013621

Detecting and identifying arbitrage in the spot foreign exchange market

Cui, Zhenyu; Qian, Wenhan; Taylor, Stephen; Zhu, Lingjiong - In: Quantitative finance 20 (2020) 1, pp. 119-132

Persistent link: https://www.econbiz.de/10012194858

Explosion in the quasi-Gaussian HJM model

Pirjol, Dan; Zhu, Lingjiong - In: Finance and stochastics 22 (2018) 3, pp. 643-666

Persistent link: https://www.econbiz.de/10011945882

Explicit solution to the economic index of riskiness

Cui, Zhenyu; Wu, Cai; Zhu, Lingjiong - In: Economics letters 232 (2023), pp. 1-6

Persistent link: https://www.econbiz.de/10014464164

Optimal investment in a dual risk model

Fahim, Arash; Zhu, Lingjiong - In: Risks : open access journal 11 (2023) 2, pp. 1-29

Dual risk models are popular for modeling a venture capital or high-tech company, for which the running cost is deterministic and the profits arrive stochastically over time. Most of the existing literature on dual risk models concentrates on the optimal dividend strategies. In this paper, we...

Persistent link: https://www.econbiz.de/10014245631