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Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
Cui, Zhenyu; Feng, Runhuan; MacKay, Anne - In: North American actuarial journal 21 (2017) 3, pp. 458-483
Persistent link: https://www.econbiz.de/10011858078
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Nonparametric density estimation by B-spline duality
Cui, Zhenyu; Kirkby, Justin Lars; Nguyen, Duy - In: Econometric theory 36 (2020) 2, pp. 250-291
Persistent link: https://www.econbiz.de/10012193747
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Variance swaps valuation under non-affine GARCH models and their diffusion limits
Badescu, Alexandru; Chen, Yuyu; Couch, Matthew; Cui, Zhenyu - In: Quantitative finance 19 (2019) 2, pp. 227-246
Persistent link: https://www.econbiz.de/10012194650
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Detecting and identifying arbitrage in the spot foreign exchange market
Cui, Zhenyu; Qian, Wenhan; Taylor, Stephen; Zhu, Lingjiong - In: Quantitative finance 20 (2020) 1, pp. 119-132
Persistent link: https://www.econbiz.de/10012194858
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Revisiting advance disclosure of insider trading
Cui, Zhenyu; Deng, Jun; Lenkey, Stephen L. - In: Economics letters 182 (2019), pp. 78-81
Persistent link: https://www.econbiz.de/10012122434
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Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
Andrikopoulos, Alexandru; Cui, Zhenyu; Ortega, Juan-Pablo - In: Application of operations research to financial markets, (pp. 27-57). 2019
Persistent link: https://www.econbiz.de/10012157341
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Integral representations of probability density of stochastic volatility models and timer options
Cui, Zhenyu; Kirkby, J. Lars; Lian, Guanghua; Nguyen, Duy - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-32
Persistent link: https://www.econbiz.de/10011787421
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On the martingale property in stochastic volatility models based on time-homogeneous diffusions
Bernard, Carole; Cui, Zhenyu; McLeish, Don L. - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 194-223
Persistent link: https://www.econbiz.de/10011739452
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Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes
Lian, Guanghua; Zhu, Song-Ping; Elliott, Robert J.; … - In: Journal of banking & finance 75 (2017), pp. 167-183
Persistent link: https://www.econbiz.de/10011742159
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A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 262 (2017) 1, pp. 381-400
Persistent link: https://www.econbiz.de/10011785790