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. Forthcoming at Management Science,2021. 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:
Pi Portfolio Management: Reaching Goals While Avoiding Drawdowns (2020). Available at SSRN: https://ssrn.com/abstract=3444836. With Jaksa Cvitanic, Steven Kou, Karyn Williams.
Explicit Expansions for Multivariate Diffusions (2020). 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.
