Opaque bank assets and optimal equity capital Journal of Economic Dynamics and Control 3 , Huang, and J. Pricing corporate debt with finite maturity and Chapter 11 proceedings Quantitative Finance 13 12 , Jiang and J. Chen, X.
Structured products. Optimal redeeming strategy of stock loans with finite maturity Mathematical Finance 21 4 , with Z. Guaranteed minimum withdrawal benefit in variable annuities Mathematical Finance 18 4 , with Y.
Kwok and J. Intensity-based framework and penalty formulation of optimal stopping problems Journal of Economic Dynamics and Control 31 12 with Y. Kwok and H. Optimal policies of call with notice period requirement for American warrants and convertible bonds Asia Pacific Financial Markets 12 4 with Y. Pricing beyond Black-Scholes.
Calibration of stochastic volatility models: A Tikhonov regularization approach Journal of Economic Dynamics and Control 64, with L. Tang and X. Superhedging under ratio constraint Journal of Economic Dynamics and Control 58, with Y.
Publications and Articles
Chen, J. Xu, and M. Pricing jump risk with utility indifference Quantitative Finance 9 2 , with L.
- Racconti veneti sognati (Italian Edition);
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- A aranha e a loja de balas (Tan Tan) (Portuguese Edition).
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- Essays in Honour of Eckhard Platen.
Path-dependent options. A lattice pricing algorithm for moving-average barrier options Journal of Economic Dynamics and Control 34 3 , with P. Li and J. Optimal multiple stopping models of reload options and shout options Journal of Economic Dynamics and Control 32 7 , with Y. A parabolic variational inequality arising from the valuation of strike reset options Journal of Differential Equations , with Z. Yang and F. Characterization of optimal stopping regions of American path dependent options Mathematical Finance 16 1 , with Y.
4 editions of this work
Options with combined reset rights on strike and maturity Journal of Economic Dynamics and Control 29 9 , with Y. Valuing employee reload options under time vesting requirement Quantitative Finance 5 1 , with Y. Quanto lookback options Mathematical Finance 14 3 , with H. Wong and Y. Optimal shouting policies of options with strike reset rights Mathematical Finance 14 3 , with Y.
Kwok and L. Options with multiple reset rights International Journal of Theoretical and Applied Finance 6 5 , with Y. Binomial tree methods. A modified binomial tree method for currency lookback options Acta Mathematica Sinica 16 3 , Convergence of binomial tree method for American options Partial differential equations and their applications Wuhan, , World Sci.
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