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Pricing American drawdown options under Markov models
Zhang, Xiang; Li, Lingfei; Zhang, Gongqiu - In: European journal of operational research : EJOR 293 (2021) 3, pp. 1188-1205
Persistent link: https://www.econbiz.de/10012533822
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Stochastic modeling in commodity markets and optimal stopping of symmetric markov processes
Li, Lingfei - 2012 - UMI 3508526
Persistent link: https://www.econbiz.de/10011819079
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Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market
Wu, Bo; Li, Lingfei - In: Journal of economic dynamics & control 158 (2024), pp. 1-28
Persistent link: https://www.econbiz.de/10014532362
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Speed and duration of drawdown under general Markov models
Li, Lingfei; Zeng, Pingping; Zhang, Gongqiu - In: Quantitative finance 24 (2024) 3/4, pp. 367-386
Persistent link: https://www.econbiz.de/10014552019
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Deep learning for enhanced index tracking
Dai, Zhiwen; Li, Lingfei - In: Quantitative finance 24 (2024) 5, pp. 569-591
Persistent link: https://www.econbiz.de/10014552105
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Rating frailty, Bayesian updates, and portfolio credit risk analysis
Bu, Shang; Guo, Nan; Li, Lingfei - In: Quantitative finance 22 (2022) 4, pp. 777-797
Persistent link: https://www.econbiz.de/10013367859
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Stressed distance to default and default risk
Guo, Nan; Li, Lingfei - In: The journal of credit risk : published quarterly by … 18 (2022) 3, pp. 29-48
Persistent link: https://www.econbiz.de/10013549662
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A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
Chen, Jie; Fan, Liaoyuan; Li, Lingfei; Zhang, Gongqiu - In: Review of derivatives research 25 (2022) 2, pp. 189-232
Persistent link: https://www.econbiz.de/10013457614
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A two-step framework for arbitrage-free prediction of the implied volatility surface
Zhang, Wenyong; Li, Lingfei; Zhang, Gongqiu - In: Quantitative finance 23 (2023) 1, pp. 21-34
Persistent link: https://www.econbiz.de/10013490950
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Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
Meier, Christian; Li, Lingfei; Zhang, Gongqiu - In: European journal of operational research : EJOR 305 (2023) 3, pp. 1292-1308
Persistent link: https://www.econbiz.de/10013498792