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On the optimal forecast with the fractional Brownian motion
Wang, Xiaohu; Zhang, Chen; Yu, Jun - 2022
Persistent link: https://www.econbiz.de/10013542217
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Finite sample comparison of alternative estimators for fractional Gaussian noise
Shi, Shuping; Yu, Jun; Zhang, Chen - 2022
Persistent link: https://www.econbiz.de/10013542219
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Order assignment and scheduling under processing and distribution time uncertainty
Li, Yantong; Côté, Jean-François; Coelho, Leandro C.; … - In: European journal of operational research : EJOR 305 (2023) 1, pp. 148-163
Persistent link: https://www.econbiz.de/10013478597
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On the spectral density of fractional Ornstein-Uhlenbeck process : approximation, estimation, and model comparison
Shi, Shuping; Yu, Jun; Zhang, Chen - 2023
Persistent link: https://www.econbiz.de/10014320456
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On the optimal forecast with the fractional Brownian motion
Wang, Xiaohu; Yu, Jun; Zhang, Chen - In: Quantitative finance 24 (2024) 2, pp. 337-346
Persistent link: https://www.econbiz.de/10014552006
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Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
Li, Zhongfei; Zeng, Yan; Lai, Yongzeng - In: Insurance / Mathematics & economics 51 (2012) 1, pp. 191-203
Persistent link: https://www.econbiz.de/10009558139
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Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
A, Chunxiang; Li, Zhongfei - In: Insurance / Mathematics & economics 61 (2015), pp. 181-196
Persistent link: https://www.econbiz.de/10010515891
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Dynamic portfolio selection with mispricing and model ambiguity
Yi, Bo; Viens, Frederi G.; Law, Baron; Li, Zhongfei - In: Annals of finance 11 (2015) 1, pp. 37-75
Persistent link: https://www.econbiz.de/10011376170
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Control variate methods and applications to Asian and basket options pricing under jump-diffusion models
Lai, Yongzeng; Li, Zhongfei; Zeng, Yan - In: IMA journal of management mathematics 26 (2015) 1, pp. 11-37
Persistent link: https://www.econbiz.de/10011376988
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Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 601-614
Persistent link: https://www.econbiz.de/10010227929