研究方向:
金融经济学,金融工程
Papers can also be downloaded from my SSRN Author Page:
http://ssrn.com/author=1581550
发表论文:
Non-Concave Utility Maximization with Portfolio Bounds. Management Science, 68(11):8368-8385, 2022. With Min Dai, Steven Kou, Shuaijie Qian .
Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps. Journal of Economic Dynamics and Control, 125, 104083. 2021. With Nian Yang.
A New Delta Expansion for Multivariate Diffusions via the Ito-Taylor Expansion. Journal of Econometrics, 209(2), 256-288. 2019. With Nian Yang, Nan Chen.
The survival probability of the SABR model: Asymptotics and Application. Quantitative Finance, 18(10), 1767-1779, 2018. With Nian Yang.
Approximate arbitrage-free option pricing under the SABR model. Journal of Economic Dynamics and Control, 83, 198-214, 2017. With Nian Yang, Nan Chen, Yanchu Liu.
Sensitivity Analysis of Nonlinear Behavior with Distorted Probability. Mathematical Finance, 27(1), 115-150, 2017. With Xi-Ren Cao.
A Nonzero-Sum Game Approach to Convertible Bonds : Tax Benefit, Bankruptcy Cost, and Early/Late Calls. Mathematical Finance, 23(1), 57-93, 2013. With Nan Chen, Min Dai.
Occupation Times of Jump-Diffusion Processes with Double-Exponential Jumps and the Pricing of Options. Mathematics of Operations Research. 35(2), 412-437, 2010. With Ning Cai, Nan Chen.
Pricing double-barrier options under a flexible jump diffusion model. Operations Research Letters 37(3), 163-167, 2009. With Ning Cai, Nan Chen.
工作论文:
A General Framework for Portfolio Management: Reaching Goals while Avoiding Losses (2023). Available at SSRN: https://ssrn.com/abstract=3444836. With Jaksa Cvitanic, Steven Kou, Karyn Williams.
Explicit Pathwise Expansion for Multivariate Diffusions and Its Application to Equivalence of Density Expansions (2023). Available at SSRN: https://ssrn.com/abstract=3748893 . With Nian Yang.
Mono-Linearity-Based Axiomatic Approach to Non-Linear Expected Utility (November 12, 2013). Available at SSRN: https://ssrn.com/abstract=2353740. With Xi-Ren Cao.
