Zhenyu Cui

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	すべて	2019 年以来
引用	1448	1262
h 指標	21	19
i10 指標	40	35

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Duy NguyenAssociate Professor, Marist College確認したメールアドレス: marist.edu
Justin Lars KirkbyGeorgia Institute of Technology確認したメールアドレス: gatech.edu
Carole BernardProfessor, Grenoble Ecole de Management, France確認したメールアドレス: grenoble-em.com
Lingjiong ZhuFlorida State University確認したメールアドレス: fsu.edu
Chihoon LeeStevens Institute of Technology確認したメールアドレス: stevens.edu
Yanchu LiuLingnan (University) College, Sun Yat-sen University確認したメールアドレス: mail.sysu.edu.cn
Alexandru BadescuProfessor, Department of Mathematics and Statistics, University of Calgary確認したメールアドレス: ucalgary.ca
Steve TaylorAsso. Tch. Professor of Finance, Stevens Institute of Technology確認したメールアドレス: stevens.edu
Juan-Pablo OrtegaNanyang Technological University確認したメールアドレス: ntu.edu.sg
Guanghua Lian確認したメールアドレス: berkeley.edu
Runhuan FengTsinghua University; University of Illinois at Urbana-Champaign確認したメールアドレス: sem.tsinghua.edu.cn
Hongkai Cao確認したメールアドレス: stevens.edu
Anne MackayAssociate Professor, Universite de Sherbrooke確認したメールアドレス: usherbrooke.ca
Yijie PengPeking University確認したメールアドレス: pku.edu.cn
Michael C. FuUniversity of Maryland確認したメールアドレス: umd.edu
Jiacheng FANHong Kong Polytechnic University確認したメールアドレス: polyu.edu.hk
Rupak ChatterjeeProfessor of Applied Physics, New York University確認したメールアドレス: nyu.edu
Bin ZouAssociate Professor, Department of Mathematics, University of Connecticut確認したメールアドレス: uconn.edu
Ruimeng HuAssociate Professor, University of California, Santa Barbara確認したメールアドレス: ucsb.edu
Song-Ping ZhuProfessor of Mathematics, University of Wollongong, Australia確認したメールアドレス: uow.edu.au

フォロー

Zhenyu Cui

Associate Professor, School of Business, Stevens Institute of Technology

確認したメールアドレス: stevens.edu - ホームページ

Financial Engineering Financial Technology Derivative pricing Insurance Analytics


タイトル引用回数順公開年順タイトル順	引用先引用先	年
A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps Z Cui, JL Kirkby, D Nguyen European Journal of Operational Research 262 (1), 381-400, 2017	100	2017
A general valuation framework for SABR and stochastic local volatility models Z Cui, JL Kirkby, D Nguyen SIAM Journal on Financial Mathematics 9 (2), 520-563, 2018	98	2018
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps JL Kirkby, D Nguyen, Z Cui Journal of Economic Dynamics and Control 80, 75-100, 2017	81	2017
Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps Z Cui, JL Kirkby, D Nguyen Insurance: Mathematics and Economics 74, 46-62, 2017	78	2017
Prices and asymptotics for discrete variance swaps C Bernard, Z Cui Applied Mathematical Finance 21 (2), 140-173, 2014	73	2014
A general framework for time-changed Markov processes and applications Z Cui, JL Kirkby, D Nguyen European Journal of Operational Research 273 (2), 785-800, 2019	61	2019
Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes Z Cui, L Chihoon, L Yanchu SSRN, 2016	60	2016
Pricing timer options C Bernard, Z Cui Journal of Computational Finance 15 (1), 2011	48	2011
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations Z Cui, JL Kirkby, D Nguyen European Journal of Operational Research 290 (3), 1046-1062, 2021	46	2021
Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model Z Cui, R Feng, A MacKay North American Actuarial Journal 21 (3), 458-483, 2017	42	2017
Continuous-time Markov chain and regime switching approximations with applications to options pricing Z Cui, J Lars Kirkby, D Nguyen Modeling, stochastic control, optimization, and applications, 115-146, 2019	39	2019
Closed-form variance swap prices under general affine GARCH models and their continuous-time limits A Badescu, Z Cui, JP Ortega Annals of Operations Research 282, 27-57, 2019	36	2019
Non-affine GARCH option pricing models, variance-dependent kernels, and diffusion limits A Badescu, Z Cui, JP Ortega Journal of Financial Econometrics 15 (4), 602-648, 2017	32	2017
On the Martingale Property in Stochastic Volatility Models Based on Time‐Homogeneous Diffusions C Bernard, Z Cui, D McLeish Mathematical Finance, 2013	28*	2013
Nonparametric density estimation by B-spline duality Z Cui, JL Kirkby, D Nguyen Econometric Theory 36 (2), 250-291, 2020	26	2020
Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes G Lian, SP Zhu, RJ Elliott, Z Cui Journal of Banking & Finance 75, 167-183, 2017	26	2017
A data-driven framework for consistent financial valuation and risk measurement Z Cui, JL Kirkby, D Nguyen European Journal of Operational Research 289 (1), 381-398, 2021	25	2021
Valuation of VIX and target volatility options with affine GARCH models H Cao, A Badescu, Z Cui, SK Jayaraman Journal of Futures Markets 40 (12), 1880-1917, 2020	24	2020
Impact of flexible periodic premiums on variable annuity guarantees C Bernard, Z Cui, S Vanduffel North American actuarial journal 21 (1), 63-86, 2017	22	2017
A Markov chain approximation scheme for option pricing under skew diffusions K Ding, Z Cui, Y Wang Quantitative Finance 21 (3), 461-480, 2021	21	2021

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