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Zhen, Fang - In: Economic modelling 90 (2020), pp. 32-42

Persistent link: https://www.econbiz.de/10012428025

The Skewness Implied in the Heston Model and its Application

Zhang, Jin E. - 2016

In this paper, we provide an exact formula for the skewness of stock returns implied in the Heston (1993) model by using a moment-computing approach. We compute the moments of Ito integrals by using Ito's Lemma skillfully. The model's affine property allows us to obtain analytical formulas for...

Persistent link: https://www.econbiz.de/10012989388

Risk aversion, informative noise trading, and long-lived information

Zhou, Deqing; Zhen, Fang - In: Economic modelling 97 (2021), pp. 247-254

Persistent link: https://www.econbiz.de/10012793421

Testing and forecasting price jumps with return moments

Zhen, Fang; Ruan, Xinfeng; Zhang, Jin E. - In: International review of finance : the official journal … 25 (2025) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10015334594

Optimal liquidation of financial derivatives

Chen, Jingnan - In: Finance research letters 34 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012436500

Optimal leveraged portfolio selection under quasi-elastic market impact

Edirisinghe, Chanaka; Chen, Jingnan; Jeong, Jaehwan - In: Operations research 71 (2023) 5, pp. 1558-1576

Persistent link: https://www.econbiz.de/10014393151

Optimal deleveraging with nonlinear temporary price impact

Chen, Jingnan; Feng, Liming; Peng, Jiming - In: European journal of operational research : EJOR 244 (2015) 1, pp. 240-247

Persistent link: https://www.econbiz.de/10010531946

Investor sentiment, property nature and corporate investment efficiency : based on the mediation mechanism in credit financing

Huang, Hongbin; Jin, Guanghui; Chen, Jingnan - In: China finance review international 6 (2016) 1, pp. 56-76

Persistent link: https://www.econbiz.de/10011722593

Analytical results and efficient algorithm for optimal portfolio deleveraging with market impact

Chen, Jingnan; Feng, Liming; Peng, Jiming; Ye, Yinyu - In: Operations research 62 (2014) 1, pp. 195-206

Persistent link: https://www.econbiz.de/10010338535

Market or limit orders?

Mitchell, Daniel; Chen, Jingnan - In: Quantitative finance 20 (2020) 3, pp. 447-461

Persistent link: https://www.econbiz.de/10012194901