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Transform analysis for Hawkes processes with applications in dark pool trading

Gao, Xuefeng; Zhou, Xiang; Zhu, Lingjiong - In: Quantitative finance 18 (2018) 2, pp. 265-282

Persistent link: https://www.econbiz.de/10011905921

Optimal order execution using hidden orders

Chen, Yuanyuan; Gao, Xuefeng; Li, Duan - In: Journal of economic dynamics & control 94 (2018), pp. 89-116

Persistent link: https://www.econbiz.de/10012004233

Optimal market making in the presence of latency

Gao, Xuefeng; Wang, Yunhan - In: Quantitative finance 20 (2020) 9, pp. 1495-1512

Persistent link: https://www.econbiz.de/10012295618

Sublinear regret for learning POMDPs

Xiong, Yi; Chen, Ningyuan; Gao, Xuefeng; Zhou, Sean Xiang - In: Production and operations management : the flagship … 31 (2022) 9, pp. 3491-3504

Persistent link: https://www.econbiz.de/10013419338

A data-driven deep learning approach for options market making

Lai, Qianhui; Gao, Xuefeng; Li, Lingfei - In: Quantitative finance 23 (2023) 5, pp. 777-797

Persistent link: https://www.econbiz.de/10014304348

Order scoring, bandit learning and order cancellations

Gao, Xuefeng; Xu, Tianrun - In: Journal of economic dynamics & control 134 (2022), pp. 1-28

Persistent link: https://www.econbiz.de/10013384695

Asymptotically optimal control of make-to-stock systems

Gao, Xuefeng; Huang, Junfei - In: Mathematics of operations research 49 (2024) 2, pp. 948-985

Persistent link: https://www.econbiz.de/10014564924

Options with extreme strikes

Zhu, Lingjiong - In: Risks : open access journal 3 (2015) 3, pp. 234-249

In this short paper, we study the asymptotics for the price of call options for very large strikes and put options for very small strikes. The stock price is assumed to follow the Black-Scholes models. We analyze European, Asian, American, Parisian and perpetual options and conclude that the...

Persistent link: https://www.econbiz.de/10011300319

Short maturity options for Azéma-Yor martingales

Zhu, Lingjiong - In: International journal of financial engineering 2 (2015) 4, pp. 1-32

Persistent link: https://www.econbiz.de/10011493322

Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims

Zhu, Lingjiong - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 544-550

Persistent link: https://www.econbiz.de/10010227943