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Search: person:"Li, Shenghong"
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Option pricing theory
5
Optionspreistheorie
5
Stochastic process
5
Stochastischer Prozess
5
Volatility
5
Volatilität
5
Credit risk
3
Derivat
3
Derivative
3
Kreditrisiko
3
Survival Measure
3
Affine specification
2
Affine Specification
2
Börsenkurs
2
CDO
2
Capital structure
2
China
2
Contagion Model
2
Contagion model
2
Copula
2
Correlation skew
2
Credit Value Adjustment
2
Credit derivative
2
Credit value adjustment
2
Factor model
2
Kapitalstruktur
2
Kreditderivat
2
Option trading
2
Optionsgeschäft
2
Portfolio selection
2
Portfolio-Management
2
Share price
2
Stochastic Intensities and Interest
2
Stochastic correlation
2
Stochastic pre-intensities and interest
2
Survival measure
2
Theorie
2
Theory
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ARCH model
1
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Article
26
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Article in journal
13
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13
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English
15
Undetermined
14
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Li, Shenghong
27
Bao, Qunfang
9
Chen, Si
6
Yu, Jinping
5
Choi, Yoon
3
Gong, Donggeng
3
Liu, Guimei
3
Yang, Jingyang
3
Chen, Jianli
2
Jing, Bo
2
Lin, Wei
2
Liu, Zhen
2
Ma, Yong
2
Xu, Ruxing
2
Yang, Xiaofeng
2
Zhang, Jin E.
2
Chern, Shane
1
Huang, Wenli
1
LI, SHENGHONG
1
Li, Xin
1
Lou, Hao
1
Shenghong, Li
1
Tan, Xiaoyu
1
WANG, SHILIN
1
Wang, Chengxiang
1
Xu, Chong
1
Yan, Zhipeng
1
Yang, Chen
1
ZHAO, YUXIN
1
Zhang, Zili
1
Zhao, Gongmin
1
Zhao, Li
1
Zhao, Xuejun
1
Zhao, Yuxin
1
Zhipeng, Yan
1
Zhou, Juanmei
1
Zhou, Zhen
1
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
3
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Economic modelling
4
European journal of operational research : EJOR
4
MPRA Paper
3
Economic Modelling
2
European Journal of Operational Research
2
Finance research letters
2
Journal of Futures Markets
2
Research in International Business and Finance
2
Research in international business and finance
2
Advances in Complex Systems (ACS)
1
Applied economics letters
1
International review of economics & finance : IREF
1
Physica A: Statistical Mechanics and its Applications
1
Review of derivatives research
1
The North American journal of economics and finance : a journal of financial economics studies
1
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ECONIS (ZBW)
13
RePEc
11
OLC EcoSci
3
Other ZBW resources
2
Showing
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10
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29
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1
Price clustering in Bitcoin market : an extension
Li, Xin
;
Li, Shenghong
;
Xu, Chong
- In:
Finance research letters
32
(
2020
),
pp. 1-9
Persistent link: https://www.econbiz.de/10012430634
Saved in:
2
Consistent pricing of VIX options with the Hawkes jump-diffusion model
Jing, Bo
;
Li, Shenghong
;
Ma, Yong
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012821987
Saved in:
3
Dynamic price discovery in China's thermal coal future market
Yan, Zhipeng
;
Li, Shenghong
;
Zhao, Gongmin
;
Zhou, Juanmei
- In:
Applied economics letters
28
(
2021
)
4
,
pp. 255-259
Persistent link: https://www.econbiz.de/10012484949
Saved in:
4
Pricing VIX derivatives with free stochastic volatility model
Lin, Wei
;
Li, Shenghong
;
Chern, Shane
;
Zhang, Jin E.
- In:
Review of derivatives research
22
(
2019
)
1
,
pp. 41-75
Persistent link: https://www.econbiz.de/10012311659
Saved in:
5
Hedge ratio on Markov regime-switching diagonal Bekk-Garch model
Zhipeng, Yan
;
Shenghong, Li
- In:
Finance research letters
24
(
2018
),
pp. 49-55
Persistent link: https://www.econbiz.de/10011982461
Saved in:
6
Hedge fund leverage with stochastic market conditions
Zhao, Li
;
Huang, Wenli
;
Yang, Chen
;
Li, Shenghong
- In:
International review of economics & finance : IREF
57
(
2018
),
pp. 258-273
Persistent link: https://www.econbiz.de/10012033866
Saved in:
7
Pricing VIX options with volatility clustering
Jing, Bo
;
Li, Shenghong
;
Ma, Yong
- In:
Journal of Futures Markets
40
(
2020
)
6
,
pp. 928-944
Persistent link: https://www.econbiz.de/10012189120
Saved in:
8
The term structure of the VXX option smirk : Pricing VXX option with a two‐factor model and asymmetry jumps
Tan, Xiaoyu
;
Wang, Chengxiang
;
Lin, Wei
;
Zhang, Jin E.
; …
- In:
Journal of Futures Markets
41
(
2020
)
4
,
pp. 439-457
Persistent link: https://www.econbiz.de/10012406812
Saved in:
9
An efficient estimate and forecast of the implied volatility surface : a nonlinear Kalman filter approach
Chen, Si
;
Zhou, Zhen
;
Li, Shenghong
- In:
Economic modelling
58
(
2016
),
pp. 655-664
Persistent link: https://www.econbiz.de/10011647943
Saved in:
10
Mixed copula model with stochastic correlation for CDO pricing
Chen, Jianli
;
Liu, Zhen
;
Li, Shenghong
- In:
Economic modelling
40
(
2014
),
pp. 167-174
Persistent link: https://www.econbiz.de/10010425701
Saved in:
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