//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~person:"Cui, Zhenyu"
~subject:"Stochastic process"
~subject:"Volatility"
~type:"article"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Theorie"
Narrow search
Delete all filters
| 4 applied filters
Year of publication
From:
To:
Subject
All
Stochastic process
Volatility
Option pricing theory
32
Optionspreistheorie
32
Volatilität
22
Stochastischer Prozess
18
Option trading
11
Optionsgeschäft
11
Markov chain
9
Markov-Kette
9
Theorie
9
Theory
9
Derivat
7
Derivative
7
Stochastic volatility
6
Finance
5
ARCH model
4
ARCH-Modell
4
Continuous-time Markov chain
4
Statistical distribution
4
Statistische Verteilung
4
Black-Scholes model
3
Black-Scholes-Modell
3
Estimation theory
3
Greece
3
Griechenland
3
Heston model
3
Jump diffusion
3
Option pricing
3
Portfolio selection
3
Portfolio-Management
3
Risiko
3
Risikomanagement
3
Risk
3
Risk management
3
Schätztheorie
3
Swap
3
Variance swaps
3
stochastic volatility
3
American options
2
more ...
less ...
Online availability
All
Undetermined
21
Type of publication
All
Article
Book / Working Paper
28
Type of publication (narrower categories)
All
Article in journal
23
Aufsatz in Zeitschrift
23
Aufsatz im Buch
1
Book section
1
Language
All
English
24
Author
All
Cui, Zhenyu
Carr, Peter
36
Escudero, Laureano F.
35
Fabozzi, Frank J.
34
McAleer, Michael
32
Elliott, Robert J.
31
Benth, Fred Espen
30
Escobar, Marcos
30
Siu, Tak Kuen
30
Bollerslev, Tim
27
Madan, Dilip B.
27
Phillips, Peter C. B.
26
Gupta, Rangan
25
Wong, Wing Keung
25
Chiarella, Carl
24
Račev, Svetlozar T.
24
Gendreau, Michel
23
Andersen, Torben
21
Hainaut, Donatien
21
Wang, Xingchun
21
Wong, Hoi Ying
21
Yu, Jun
21
Christoffersen, Peter F.
20
Takahashi, Akihiko
19
Zhang, Jin E.
19
Mensi, Walid
18
Kim, Young Shin
17
Maggioni, Francesca
17
Todorov, Viktor
17
Wang, Yudong
17
Asai, Manabu
16
Aït-Sahalia, Yacine
16
Bayraktar, Erhan
16
Härdle, Wolfgang
16
Lin, Shih-kuei
16
Post, Thierry
16
Shapiro, Alexander
16
Taylor, Robert
16
Wallace, Stein W.
16
Wu, Liuren
16
more ...
less ...
Published in...
All
European journal of operational research : EJOR
3
International journal of financial engineering
3
International journal of theoretical and applied finance
2
Journal of economic dynamics & control
2
Quantitative finance
2
Application of operations research to financial markets
1
Applied mathematical finance
1
Finance research letters
1
Insurance / Mathematics & economics
1
Journal of banking & finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Mathematical methods of operations research : ZOR
1
Mathematics and financial economics
1
North American actuarial journal
1
The journal of derivatives : JOD
1
The journal of futures markets
1
more ...
less ...
Source
All
ECONIS (ZBW)
24
Showing
1
-
10
of
24
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
MacKay, Anne
;
Vachon, Marie-Claude
;
Cui, Zhenyu
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664
Saved in:
2
Sequential Itô-Taylor expansions and characteristic functions of stochastic volatility models
Ding, Kailin
;
Cui, Zhenyu
;
Liu, Yanchu
- In:
The journal of futures markets
43
(
2023
)
12
,
pp. 1750-1769
Persistent link: https://www.econbiz.de/10014433005
Saved in:
3
Analysis of Markov chain approximation for Asian options and occupation-time derivatives : Greeks and convergence rates
Yang, Wensheng
;
Ma, Jingtang
;
Cui, Zhenyu
- In:
Mathematical methods of operations research : ZOR
93
(
2021
)
2
,
pp. 359-412
Persistent link: https://www.econbiz.de/10012548535
Saved in:
4
CTMC integral equation method for American options under stochastic local volatility models
Ma, Jingtang
;
Yang, Wensheng
;
Cui, Zhenyu
- In:
Journal of economic dynamics & control
128
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012628259
Saved in:
5
A closed-form model-free implied volatility formula through delta families
Cui, Zhenyu
;
Kirkby, Justin
;
Nguyen, Duy
;
Taylor, Stephen
- In:
The journal of derivatives : JOD
28
(
2021
)
4
,
pp. 111-127
Persistent link: https://www.econbiz.de/10012612926
Saved in:
6
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
290
(
2021
)
3
,
pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
Saved in:
7
A general framework for time-changed Markov processes and applications
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
273
(
2019
)
2
,
pp. 785-800
Persistent link: https://www.econbiz.de/10011987591
Saved in:
8
Variance swaps valuation under non-affine GARCH models and their diffusion limits
Badescu, Alexandru
;
Chen, Yuyu
;
Couch, Matthew
;
Cui, Zhenyu
- In:
Quantitative finance
19
(
2019
)
2
,
pp. 227-246
Persistent link: https://www.econbiz.de/10012194650
Saved in:
9
Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
Andrikopoulos, Alexandru
;
Cui, Zhenyu
;
Ortega, Juan-Pablo
- In:
Application of operations research to financial markets
,
(pp. 27-57)
.
2019
Persistent link: https://www.econbiz.de/10012157341
Saved in:
10
Options valuation and calibration for leveraged exchange-traded funds with Heston-Nandi and inverse Gaussian GARCH models
Cao, Hongkai
;
Chatterjee, Rupak
;
Cui, Zhenyu
- In:
International journal of financial engineering
6
(
2019
)
3
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012314515
Saved in:
1
2
3
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->