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A Newton method for American o...
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1
Reconstructing the unknown local volatility function
Coleman, Thomas F.
;
Li, Yuying
;
Verma, Arun
- In:
The journal of computational finance
2
(
1999
)
3
,
pp. 77-102
Persistent link: https://www.econbiz.de/10001638601
Saved in:
2
Learning minimum variance discrete hedging directly from the market
Nian Ke
;
Coleman, Thomas F.
;
Li, Yuying
- In:
Quantitative finance
18
(
2018
)
7
,
pp. 1115-1128
Persistent link: https://www.econbiz.de/10011911526
Saved in:
3
Derivative portfolio hedging based on CVaR
Alexander, Siddharth
;
Coleman, Thomas F.
;
Li, Yuying
- In:
Risk measures for the 21st century
,
(pp. 339-363)
.
2004
Persistent link: https://www.econbiz.de/10002081633
Saved in:
4
Min-max robust and CVaR robust mean-variance portfolios
Zhu, Lei
;
Coleman, Thomas F.
;
Li, Yuying
- In:
Journal of risk
11
(
2008/09
)
3
,
pp. 55-85
Persistent link: https://www.econbiz.de/10003844349
Saved in:
5
Estimating a hedge fund return model based on a small number of samples
Levchenkov, Dmitriy
;
Coleman, Thomas F.
;
Li, Yuying
- In:
INFOR : information systems and operational research
47
(
2009
)
1
,
pp. 43-58
Persistent link: https://www.econbiz.de/10003959539
Saved in:
6
Calibrating volatility function bounds for an uncertain volatility model
Coleman, Thomas F.
;
He, Changhong
;
Li, Yuying
- In:
The journal of computational finance
13
(
2009/10
)
4
,
pp. 63-93
Persistent link: https://www.econbiz.de/10003996075
Saved in:
7
Risk-minimization hedging under nonoptimal exercising
Levchenkov, Dmitriy
;
Coleman, Thomas F.
;
Li, Yuying
- In:
Journal of risk
13
(
2010/11
)
4
,
pp. 63-93
Persistent link: https://www.econbiz.de/10009233505
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8
Optimal execution under jump models for uncertain price impact
Moazeni, Somayeh
;
Coleman, Thomas F.
;
Li, Yuying
- In:
The journal of computational finance
16
(
2012/13
)
4
,
pp. 35-78
Persistent link: https://www.econbiz.de/10009776261
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9
Discrete hedging of American-type options using local risk minimization
Coleman, Thomas F.
;
Levchenkov, Dmitriy
;
Li, Yuying
- In:
Journal of banking & finance
31
(
2007
)
11
,
pp. 3398-3419
Persistent link: https://www.econbiz.de/10003577412
Saved in:
10
Total risk minimization using Monte Carlos simulations
Coleman, Thomas F.
;
Li, Yuying
;
Patron, Maria-Christina
- In:
Financial engineering
,
(pp. 593-635)
.
2008
Persistent link: https://www.econbiz.de/10003567761
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