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A gradual nonconvexification method for minimizing value-at-risk
Xi, Jiong; Coleman, Thomas F.; Li, Yuying; Tayal, Aditya - In: Journal of risk 16 (2013/2014) 3, pp. 23-47
Persistent link: https://www.econbiz.de/10013262924
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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
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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/10005201787
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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/10007869920
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Robustly hedging variable annuities with guarantees under jump and volatility risks
Coleman, T. F.; Kim, Y.; Li, Yuying; Patron, M. - In: The journal of risk and insurance : the journal of the … 74 (2007) 2, pp. 347-376
Persistent link: https://www.econbiz.de/10003483852
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Calibration and hedging under jump diffusion
He, Changhong; Kennedy, J. S.; Coleman, T. F.; Forsyth, … - In: Review of derivatives research 9 (2006) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10003441126
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Empirical evidence of the leverage effect in a stochastic volatility model : a realized volatility approach
Xu, Dinghai; Li, Yuying - 2010
Persistent link: https://www.econbiz.de/10003975439
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Empirical evidence of the leverage effect in a stochastic volatility model : a realized volatility approach
Xu, Dinghai; Li, Yuying - In: Frontiers of economics in China : selected publications … 7 (2012) 1, pp. 22-43
Persistent link: https://www.econbiz.de/10009681371
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Minimizing CVaR and VaR for a portfolio of derivatives
Alexander, S.; Coleman, T. F.; Li, Yuying - In: Journal of banking & finance 30 (2006) 2, pp. 583-605
Persistent link: https://www.econbiz.de/10003291325
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A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
Li, Yuying; Forsyth, Peter A. - In: Insurance / Mathematics & economics 86 (2019), pp. 189-204
Persistent link: https://www.econbiz.de/10012058861