PhD in Applied Mathematics
Brown University, 1986
Article
Article
Article
Signaling game models of equity financing under information asymmetry and finite project life
Article
Article
Real options signaling game models for dynamic acquisition under information asymmetry
Article
Saddlepoint Approximation Methods in Financial Engineering
Book
Numerical Pricing of CoCo Bonds with Parisian Trigger Feature Using the Fortet Method
Article
Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals
Article
Enhanced Equity-credit Modelling for Contingent Convertibles
Article
Article
Real Options Game Models of R&D Competition between Asymmetric Firms with Spillovers
Article
Article
Article
Article
Game Options Analysis of the Information Role of Call Policies in Convertible Bonds
Article
Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models
Article
Pricing options on discrete realized variance with partially exact and bounded approximations
Article
Stochastic control model for R&D race in a mixed duopoly with spillovers and knowledge stocks
Article
Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
Article
Closed form pricing formulas for discretely sampled generalized variance swaps
Article
Article
Game Option Models of Convertible Bonds: Determinants of Call Policies
Article
Numerical Algorithms for Research and Development Stochastic Control Models
Article
Article
Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance
Article
Patent-investment games under asymmetric information
Article
Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
Article
Convexity meets replication: Hedging of swap derivatives and annuity options
Article
OPTIMAL ARBITRAGE STRATEGIES ON STOCK INDEX FUTURES UNDER POSITION LIMITS
Article
Real options game analysis of sleeping patents
Article
Lattice Methods For Path-Dependent Options
Article
Applied Complex Variables for Scientists and Engineers
Book
Efficient Options Pricing Using the Fast Fourier Transform
Book chapter
Article
Employee stock option valuation with repricing features
Article
Finite-time dividend-ruin models
Article
Guaranteed minimum withdrawal benefit in variable annuities
Article
Optimal multiple stopping models of reload options and shout options
Article
Mathematical models of financial derivatives
Book
Article
Intensity-based framework and penalty formulation of optimal stopping problems
Article
Real options in strategic investment games between two asymmetric firms
Article
Article
Valuation of guaranteed annuity options in affine term structure models
Article
American options with lookback payoff
Article
Characterization of optimal stopping regions of American Asian and lookback options
Article
Optimal execution strategy of liquidation
Article
Pricing participating policies with rate guarantees
Article
Credit default swap valuation with counterparty risk
Article
Integral price formulas for lookback options
Article
Optimal policies of call with notice period requirement
Article
Options with combined reset rights on strike and maturity
Article
Valuation of employee reload options using utility maximization approach
Article
Valuing employee reload options under the time vesting requirement
Article
Anatomy of option features in convertible bonds
Article
Article
Optimal shouting policies of options with strike reset right
Article
Article
Reset and withdrawal rights in dynamic fund protection
Article
Article
Discussion on pricing perpetual fund protection with withdrawal option
Article
Interaction of the conversion and call rights
Article
Jump diffusion models for risky debts: Quality spread differentials
Article
Multi-asset barrier options and occupation time derivatives
Article
No arbitrage approach for pricing credit spread derivatives
Article
Options with multiple reset rights
Article
Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks
Article
Optimal calling policies in convertible bonds
Conference paper
Contingent claim approach for analyzing the credit risk of defaultable currency swaps
Article
Applied Complex Variables for Scientists and Engineers
Book
Accuracy and reliability considerations of option pricing algorithms
Article
Early exercise policies of American floating strike and fixed strike lookback options
Article
Pricing algorithms for options with exotic path dependence
Article
Pricing algorithms of multivariate path dependent options
Article
Effects of callable feature on early exercise policy
Article
Article
Convergence Analysis of a Staggered Pressure Correction Scheme for Viscous Incompressible Flows
Article
Second order projection algorithms for viscous incompressible flow simulation
Article
Vortex Dynamics in the Studies of Looping in Tropical Cyclone Tracks
Article
Accuracy and Stability Analysis of Numerical Schemes for the Shallow Water Model
Article
Numerical simulation of electrochemical diffusion-migration model with reaction at electrodes
Article
Fourier Analysis of Iterative Schemes for Solving the Biharmonic Equation
Article
Fractional Step Algorithm for Solving a Multi‐Dimensional Diffusion‐Migration Equation
Article
LINEAR HYDRODYNAMICAL STABILITY OF 2-LAYER INCLINED FLOW WITH VISCOSITY AND DENSITY STRATIFICATIONS
Article
Numerical Quadrature Formulas through the Theory of Analytic Functions
Article
First Asian Computational Fluid Dynamics Conference. Hong Kong, January 1995. Volumes 1, 2 & 3
Conference paper
Gravity due to a body with rotational symmetry about a vertical axis
Article
Article
Modified quadrature formula for integrand with nearby poles
Article
Article
Article
Article
Analysis of computer extended series
Article
Applications of MACSYMA to Solutions of Ordinary Differential Equations
Article
Contour integrals for gravity computation of horizontal 2 1 2-D bodies with variable density
Article
Gravity gradient tensors due to a polyhedron with polygonal facets
Article
Location and structure of the nearest singularity of a perturbation series
Article
PADE AND UPWINDING FINITE-DIFFERENCE SCHEMES FOR THE QUANTUM-MECHANICAL EQUATION OF MOTION
Article
Singularities in gravity computation for vertical cylinders and prisms
Article
Theoretical considerations for finite difference algorithms for simulation of gas-particle flows
Conference paper
The use of the Euler functions for error estimates of the trapezoidal and Simpson's quadratures
Article
A regular perturbation method for subcritical flow over a two-dimensional airfoil
Article
An Algorithm for the numerical inversion of Laplace transforms
Article
Conjugate complex variables method for the computation of gravity anomalies
Article
Motion of an artificial satellite about the earth
Article
On some aspects of the transonic controversy
Article
Game Options Analysis of the Information Role of Call Policies in Convertible Bonds
Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models
Pricing options on discrete realized variance with partially exact and bounded approximations
Stochastic control model for R&D race in a mixed duopoly with spillovers and knowledge stocks
Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
Closed form pricing formulas for discretely sampled generalized variance swaps
Game Option Models of Convertible Bonds: Determinants of Call Policies
Numerical Algorithms for Research and Development Stochastic Control Models
Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance
Discussion on pricing perpetual fund protection with withdrawal option
Jump diffusion models for risky debts: Quality spread differentials
Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks
Fourier Analysis of Iterative Schemes for Solving the Biharmonic Equation
Fractional Step Algorithm for Solving a Multi‐Dimensional Diffusion‐Migration Equation
LINEAR HYDRODYNAMICAL STABILITY OF 2-LAYER INCLINED FLOW WITH VISCOSITY AND DENSITY STRATIFICATIONS
Numerical Quadrature Formulas through the Theory of Analytic Functions
Applications of MACSYMA to Solutions of Ordinary Differential Equations
Contour integrals for gravity computation of horizontal 2 1 2-D bodies with variable density
Gravity gradient tensors due to a polyhedron with polygonal facets
Location and structure of the nearest singularity of a perturbation series
PADE AND UPWINDING FINITE-DIFFERENCE SCHEMES FOR THE QUANTUM-MECHANICAL EQUATION OF MOTION
Singularities in gravity computation for vertical cylinders and prisms
Numerical Pricing of CoCo Bonds with Parisian Trigger Feature Using the Fortet Method
Article
Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals
Article
Enhanced Equity-credit Modelling for Contingent Convertibles
Article
Article
Real Options Game Models of R&D Competition between Asymmetric Firms with Spillovers
Article
Article
Article
Article
Game Options Analysis of the Information Role of Call Policies in Convertible Bonds
Article
Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models
Article
Pricing options on discrete realized variance with partially exact and bounded approximations
Article
Stochastic control model for R&D race in a mixed duopoly with spillovers and knowledge stocks
Article
Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
Article
Closed form pricing formulas for discretely sampled generalized variance swaps
Article
Article
Game Option Models of Convertible Bonds: Determinants of Call Policies
Article
Numerical Algorithms for Research and Development Stochastic Control Models
Article
Article
Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance
Article
Patent-investment games under asymmetric information
Article
Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
Article
Convexity meets replication: Hedging of swap derivatives and annuity options
Article
OPTIMAL ARBITRAGE STRATEGIES ON STOCK INDEX FUTURES UNDER POSITION LIMITS
Article
Real options game analysis of sleeping patents
Article
Lattice Methods For Path-Dependent Options
Article
Applied Complex Variables for Scientists and Engineers
Book
Efficient Options Pricing Using the Fast Fourier Transform
Book chapter
Article
Employee stock option valuation with repricing features
Article
Finite-time dividend-ruin models
Article
Guaranteed minimum withdrawal benefit in variable annuities
Article
Optimal multiple stopping models of reload options and shout options
Article
Mathematical models of financial derivatives
Book
Article
Intensity-based framework and penalty formulation of optimal stopping problems
Article
Real options in strategic investment games between two asymmetric firms
Article
Article
Valuation of guaranteed annuity options in affine term structure models
Article
American options with lookback payoff
Article
Characterization of optimal stopping regions of American Asian and lookback options
Article
Optimal execution strategy of liquidation
Article
Pricing participating policies with rate guarantees
Article
Credit default swap valuation with counterparty risk
Article
Integral price formulas for lookback options
Article
Optimal policies of call with notice period requirement
Article
Options with combined reset rights on strike and maturity
Article
Valuation of employee reload options using utility maximization approach
Article
Valuing employee reload options under the time vesting requirement
Article
Anatomy of option features in convertible bonds
Article
Article
Optimal shouting policies of options with strike reset right
Article
Article
Reset and withdrawal rights in dynamic fund protection
Article
Article
Discussion on pricing perpetual fund protection with withdrawal option
Article
Interaction of the conversion and call rights
Article
Jump diffusion models for risky debts: Quality spread differentials
Article
Multi-asset barrier options and occupation time derivatives
Article
No arbitrage approach for pricing credit spread derivatives
Article
Options with multiple reset rights
Article
Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks
Article
Optimal calling policies in convertible bonds
Conference paper
Contingent claim approach for analyzing the credit risk of defaultable currency swaps
Article
Applied Complex Variables for Scientists and Engineers
Book
Accuracy and reliability considerations of option pricing algorithms
Article
Early exercise policies of American floating strike and fixed strike lookback options
Article
Pricing algorithms for options with exotic path dependence
Article
Pricing algorithms of multivariate path dependent options
Article
Effects of callable feature on early exercise policy
Article
Article
Convergence Analysis of a Staggered Pressure Correction Scheme for Viscous Incompressible Flows
Article
Second order projection algorithms for viscous incompressible flow simulation
Article
Vortex Dynamics in the Studies of Looping in Tropical Cyclone Tracks
Article
Accuracy and Stability Analysis of Numerical Schemes for the Shallow Water Model
Article
Numerical simulation of electrochemical diffusion-migration model with reaction at electrodes
Article
Fourier Analysis of Iterative Schemes for Solving the Biharmonic Equation
Article
Fractional Step Algorithm for Solving a Multi‐Dimensional Diffusion‐Migration Equation
Article
LINEAR HYDRODYNAMICAL STABILITY OF 2-LAYER INCLINED FLOW WITH VISCOSITY AND DENSITY STRATIFICATIONS
Article
Numerical Quadrature Formulas through the Theory of Analytic Functions
Article
First Asian Computational Fluid Dynamics Conference. Hong Kong, January 1995. Volumes 1, 2 & 3
Conference paper
Gravity due to a body with rotational symmetry about a vertical axis
Article
Article
Modified quadrature formula for integrand with nearby poles
Article
Article
Article
Article
Analysis of computer extended series
Article
Applications of MACSYMA to Solutions of Ordinary Differential Equations
Article
Contour integrals for gravity computation of horizontal 2 1 2-D bodies with variable density
Article
Gravity gradient tensors due to a polyhedron with polygonal facets
Article
Location and structure of the nearest singularity of a perturbation series
Article
PADE AND UPWINDING FINITE-DIFFERENCE SCHEMES FOR THE QUANTUM-MECHANICAL EQUATION OF MOTION
Article
Singularities in gravity computation for vertical cylinders and prisms
Article
Theoretical considerations for finite difference algorithms for simulation of gas-particle flows
Conference paper
The use of the Euler functions for error estimates of the trapezoidal and Simpson's quadratures
Article
A regular perturbation method for subcritical flow over a two-dimensional airfoil
Article
An Algorithm for the numerical inversion of Laplace transforms
Article
Conjugate complex variables method for the computation of gravity anomalies
Article
Motion of an artificial satellite about the earth
Article
On some aspects of the transonic controversy
Article
No Publications |
MAFS5220 | Quantitative Risk Management |
MAFS6010B | Simulation and Optimization in Quantitative Finance |
MAFS6100K | Independent Project |
MAFS6100J | Independent Project |
MAFS5030 | Quantitative Modeling of Derivatives Securities |
MAFS6100J | Independent Project |
MATH6510C | Derivatives Pricing Models |
MAFS6100I | Independent Project |
MAFS5220 | Quantitative Risk Management |
MAFS6010B | Simulation and Optimization in Quantitative Finance |
MAFS6100H | Independent Project |
MATH4321 | Game Theory |
RMBI4210 | Quantitative Methods for Risk Management |
No Teaching Assignments |
XU, Ziqing
Mathematics
LIU, Zhetian
Mathematics
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