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A Reduced-Form Model for Level...
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A reduced-form model for level-1 limit order books
Yang, Tzu-Wei
;
Zhu, Lingjiong
- In:
Market microstructure and liquidity
2
(
2016
)
2
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011588249
Saved in:
2
Short maturity options for Azéma-Yor martingales
Zhu, Lingjiong
- In:
International journal of financial engineering
2
(
2015
)
4
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011493322
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3
A risk analysis for a system stabilized by a central agent
Garnier, Josselin
;
Papanicolaou, George
;
Yang, Tzu-Wei
- In:
Risk and decision analysis
6
(
2017
)
2
,
pp. 97-120
Persistent link: https://www.econbiz.de/10011743825
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4
Limit order trading with a mean reverting reference price
Ahuja, Saran
;
Papanicolaou, George
;
Ren, Weiluo
;
Yang, …
- In:
Risk and decision analysis
6
(
2017
)
2
,
pp. 121-136
Persistent link: https://www.econbiz.de/10011743827
Saved in:
5
Stocking under random demand and product variety : exact models and heuristics
Ghosh, Vashkar
;
Paul, Anand
;
Zhu, Lingjiong
- In:
Production and operations management : the flagship …
31
(
2022
)
3
,
pp. 1006-1032
Persistent link: https://www.econbiz.de/10013164032
Saved in:
6
On the optimal design of the randomized unbiased Monte Carlo estimators
Cui, Zhenyu
;
Lee, Chihoon
;
Zhu, Lingjiong
;
Zhu, Yunfan
- In:
Operations research letters
49
(
2021
)
4
,
pp. 477-484
Persistent link: https://www.econbiz.de/10012649016
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7
Operational risk management : a stochastic control framework with preventive and corrective controls
Xu, Yuqian
;
Zhu, Lingjiong
;
Pinedo, Michael
- In:
Operations research
68
(
2020
)
6
,
pp. 1804-1825
Persistent link: https://www.econbiz.de/10012392162
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8
On the variance of single-run unbiased stochastic derivative estimators
Cui, Zhenyu
;
Fu, Michael
;
Hu, Jian-Qiang
;
Liu, Yanchu
; …
- In:
INFORMS journal on computing : JOC
32
(
2020
)
2
,
pp. 390-407
Persistent link: https://www.econbiz.de/10012242769
Saved in:
9
Optimal unbiased estimation for expected cumulative discounted cost
Cui, Zhenyu
;
Fu, Michael
;
Peng, Yijie
;
Zhu, Lingjiong
- In:
European journal of operational research : EJOR
286
(
2020
)
2
,
pp. 604-618
Persistent link: https://www.econbiz.de/10012291551
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10
Small-noise limit of the quasi-Gaussian log-normal HJM model
Pirjol, Dan
;
Zhu, Lingjiong
- In:
Operations research letters
45
(
2017
)
1
,
pp. 6-11
Persistent link: https://www.econbiz.de/10011687046
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