In this paper, we develop a Markov chain-based approximation method to price arithmetic Asian options for short maturities under the case of geometric Brownian motion. It has the advantage of being a closed-form approximation involving only matrices. It is an accurate, efficient, and stable...

In this paper, we solve in closed-form for the optimal investment strategies in both equity derivatives and VIX derivatives in a stochastic volatility model with jumps. This is motivated by the recent developments of the VIX derivatives market, and the increasing adoption of VIX derivatives in...

Shape-From-Shading (SFS) is one unique and long-standing problem aiming to reconstruct shape/depth from only one image. The SFS problem can be regarded as an inverse process of image rendering, i.e., solving the Bi-directional Reflection Distribution Function (BRDF) model with the given image....