Zhenyu Cui

Stevens Institute of Technology - School of Business

SCHOLARLY PAPERS

69

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137

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86

Ideas:
“  I am currently working on financial systemic risk and insider trading.  ”

Scholarly Papers (69)

1.

Pricing Timer Options

Journal of Computational Finance, Vol. 15, No. 1, 2011
Number of pages: 37 Posted: 19 May 2010 Last Revised: 24 Jan 2012
Carole Bernard and Zhenyu Cui
Grenoble Ecole de Management and Stevens Institute of Technology - School of Business
Downloads 1,322 (18,115)
Citation 1

Abstract:

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Stochastic volatility, Volatility derivative, timer option, quadratic variation, correlation, Heston model, Hull and White model.

2.

A Closed-form Model-free Implied Volatility Formula through Delta Families

Journal of Derivatives, forthcoming
Number of pages: 24 Posted: 06 May 2020 Last Revised: 24 Jul 2020
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), Marist College - Department of Mathematics and New Jersey Institute of Technology
Downloads 438 (81,123)

Abstract:

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Dirac Delta function, delta sequence, implied volatility, model-free, SVI, SABR, Heston

3.

Circular Arbitrage Detection Using Graphs

Stevens Institute of Technology School of Business Research Paper
Number of pages: 8 Posted: 07 Nov 2018
Zhenyu Cui and Stephen Michael Taylor
Stevens Institute of Technology - School of Business and New Jersey Institute of Technology
Downloads 264 (141,463)

Abstract:

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Foreign Exchange, Arbitrage, Triangular Arbitrage, Max Plus Product

4.

Non-Affine GARCH Option Pricing Models, Variance Dependent Kernels, and Diffusion Limits

Number of pages: 54 Posted: 19 Dec 2015 Last Revised: 12 Jun 2017
University of Calgary, Stevens Institute of Technology - School of Business and Nanyang Technological University
Downloads 263 (142,006)
Citation 9

Abstract:

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non-affine GARCH models, non-Gaussian innovations, exponential linear variance dependent pricing kernel, bivariate diffusion limit, option pricing

5.

Nearly Exact Option Price Simulation Using Characteristic Functions

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 37 Posted: 23 Jul 2012
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and University of Waterloo
Downloads 258 (144,794)

Abstract:

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Characteristic function, Monte Carlo, Option pricing, Parisian option, Heston model

6.

Detecting Arbitrage in the Foreign Exchange Market

Stevens Institute of Technology School of Business Research Paper
Number of pages: 24 Posted: 05 May 2018
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business, New Jersey Institute of Technology and Florida State University
Downloads 256 (145,977)
Citation 1

Abstract:

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Foreign Exchange, Toxic Arbitrage, Triangular Arbitrage, Perron-Frobenius Theorem

7.

Prices and Asymptotics for Discrete Variance Swaps

Applied Mathematical Finance, Forthcoming
Number of pages: 44 Posted: 23 Jul 2012 Last Revised: 19 Jun 2013
Carole Bernard and Zhenyu Cui
Grenoble Ecole de Management and Stevens Institute of Technology - School of Business
Downloads 253 (147,687)
Citation 9

Abstract:

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Discrete variance swaps, Heston model, Hull-White model, Schoebel-Zhu model

8.

A Note on Exchange Options Under Stochastic Interest Rates

Number of pages: 7 Posted: 17 Jun 2010
Carole Bernard and Zhenyu Cui
Grenoble Ecole de Management and Stevens Institute of Technology - School of Business
Downloads 224 (166,128)
Citation 1

Abstract:

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Exchange options, Stochastic interest rates

9.

A General Valuation Framework for SABR and Stochastic Local Volatility Models

Number of pages: 44 Posted: 09 Mar 2019
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 193 (190,774)
Citation 11

Abstract:

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SABR, stochastic local volatility, quadratic local volatility, continuous-time Markov Chains, exotic options, American options, Asian options, option pricing, CTMC, occupation time derivatives, barrier options

10.

Systemic Risk and Optimal Fee Structure for Central Clearing Counterparty Under Partial Netting

Number of pages: 23 Posted: 28 Oct 2016 Last Revised: 18 Jan 2018
Zhenyu Cui, Qi Feng, Ruimeng Hu and Bin Zou
Stevens Institute of Technology - School of Business, University of Connecticut, University of California, Santa Barbara (UCSB) and University of Connecticut - Department of Mathematics
Downloads 159 (225,631)
Citation 2

Abstract:

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Clearing Counterparty (CCP), Clearing Fee, Optimization, Shortfall, Systemic Risk

11.

Comment on 'Option Pricing Under the Merton Model of the Short Rate'

Number of pages: 5 Posted: 05 Mar 2010
Don McLeish and Zhenyu Cui
University of Waterloo and Stevens Institute of Technology - School of Business
Downloads 153 (232,908)

Abstract:

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Stochastic interest rates, change of numeraire, Merton short rate model

12.

VIX Derivatives Valuation and Estimation Based on Closed-Form Series Expansions

Stevens Institute of Technology School of Business Research Paper
Number of pages: 26 Posted: 02 Oct 2017 Last Revised: 21 Apr 2018
Zhe Zhao, Zhenyu Cui and Ionut Florescu
Stevens Institute of Technology, Stevens Institute of Technology - School of Business and Stevens Institute of Technology - School of Business
Downloads 146 (242,061)
Citation 2

Abstract:

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VIX derivatives, Hermite series, Stochastic volatility, Heston model, Mean-reverting CEV model

13.

Comment on 'The Large-Maturity Smile for the Heston Model'

Number of pages: 9 Posted: 21 Mar 2012
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and University of Waterloo
Downloads 139 (251,866)

Abstract:

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Moment explosion, Heston model, Asymptotics for large maturity, Essential smoothness, Large deviations principle

14.

Variance Risk Premium and Return Predictability: Evidence from the Chinese SSE 50 ETF Options

Stevens Institute of Technology School of Business Research Paper
Number of pages: 23 Posted: 26 Jul 2019 Last Revised: 09 Dec 2019
Zhenyu Cui, Zhiyong Li, Ying Wu and Mei Yu
Stevens Institute of Technology - School of Business, University of International Business and Economics (UIBE), Stevens Institute of Technology - School of Business and University of International Business and Economics (UIBE)
Downloads 134 (259,186)

Abstract:

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Emerging market, Variance risk premium, Downside variance risk premium, Upside variance risk premium, Delta hedging

15.

Semi-explicit Optimal Pricing for Consumer Choice Models with Network Effects

Stevens Institute of Technology School of Business Research Paper
Number of pages: 25 Posted: 27 Dec 2016 Last Revised: 30 Oct 2019
Zhenyu Cui and Lingjiong Zhu
Stevens Institute of Technology - School of Business and Florida State University
Downloads 115 (289,956)

Abstract:

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Pricing, Choice Models, Multinomial Logit Choice, Network Effects, Revenue Management

16.

Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing

Number of pages: 32 Posted: 28 Jan 2019
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 113 (293,492)
Citation 1

Abstract:

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Markov Chain, Options Pricing, FFT

17.

Single-Transform Formulas for Pricing Asian Options in a General Approximation Framework under Markov Processes

Number of pages: 20 Posted: 20 Jan 2016 Last Revised: 09 Oct 2017
Zhenyu Cui, Chihoon Lee and Yanchu Liu
Stevens Institute of Technology - School of Business, Stevens Institute of Technology and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 112 (295,285)
Citation 11

Abstract:

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Finance, Asian option, Markov process, Continuous-Time Markov Chain, Laplace transform

18.

An Exact and Explicit Implied Volatility Inversion Formula

Number of pages: 26 Posted: 14 Feb 2018
Yuxuan Xia and Zhenyu Cui
Stevens Institute of Technology - School of Business and Stevens Institute of Technology - School of Business
Downloads 110 (299,077)
Citation 2

Abstract:

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Implied volatility, Taylor Series, Arbitrary Greeks, Lagrange inversion theorem, Operator Calculus

19.

A Unified Valuation Framework for Variance Swaps under Non-Affine Stochastic Volatility Models

Number of pages: 38 Posted: 10 Jan 2017
Alex Badescu, Matthew Couch and Zhenyu Cui
University of Calgary, University of Calgary - Department of Mathematics and Statistics and Stevens Institute of Technology - School of Business
Downloads 105 (308,791)
Citation 1

Abstract:

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Variance Swaps, Non-Gaussian GARCH Models, Extended Girsanov Principle, Diffusion Limits, CBOE VIX

20.

A Note on the Wang Transform for Stochastic Volatility Pricing Models

Number of pages: 14 Posted: 18 Oct 2015 Last Revised: 29 Jul 2016
University of Calgary, Stevens Institute of Technology - School of Business and Nanyang Technological University
Downloads 105 (308,791)

Abstract:

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distortion function, stochastic discount factor, generalized local risk-neutral valuation relationship, GARCH models, weak convergence, stochastic volatility

21.

A Laplace Space Approach to American Options

Number of pages: 28 Posted: 30 Mar 2016
Jingtang Ma, Zhenyu Cui and Wenyuan Li
School of Economic Mathematics and Collaborative Innovation Center of Financial Security, Stevens Institute of Technology - School of Business and Southwestern University of Finance and Economics (SWUFE) - School of Economic Mathematics
Downloads 102 (314,936)

Abstract:

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American option pricing, Time-homogeneous diffusions, Jump diffusions, Laplace transform, Option bounds, Early exercise boundary

22.

Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model

Number of pages: 36 Posted: 02 Nov 2016 Last Revised: 16 Nov 2016
Zhenyu Cui, Runhuan Feng and Anne MacKay
Stevens Institute of Technology - School of Business, University of Illinois at Urbana-Champaign and University of Quebec at Montreal (UQAM)
Downloads 93 (334,293)
Citation 6

Abstract:

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Variable Annuity, VIX Index, Dynamic Fee, Segregated Funds, Stochastic Volatility, Heston Model

23.

The Opportunity Cost of Hedging under Incomplete Information: Evidence from ETF/Ns

Number of pages: 32 Posted: 09 Jul 2020 Last Revised: 01 Jun 2021
Zhenyu Cui and Majeed Simaan
Stevens Institute of Technology - School of Business and Stevens Institute of Technology - School of Business
Downloads 89 (348,390)

Abstract:

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Portfolio Hedge, Parameter Uncertainty, Retail Investors, Inverse ETFs, Robinhood

24.

Impact of Flexible Periodic Premiums on Variable Annuity Guarantees

Number of pages: 35 Posted: 29 Feb 2016
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and Vrije Universiteit Brussel (VUB)
Downloads 86 (350,839)
Citation 1

Abstract:

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variable annuity, flexible premium, GMAB, GMDB, Asian options, conditioning

25.

Failure and Rescue in Central Clearing Counterparty Design

Stevens Institute of Technology School of Business Research Paper
Number of pages: 29 Posted: 25 Jul 2017 Last Revised: 16 Oct 2017
Zhenyu Cui, Chihoon Lee, Yanchu Liu and Kai Wang
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and Stevens Institute of Technology - School of Business
Downloads 81 (363,735)

Abstract:

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systemic risk, network model, central clearing counterparty, financial innovation

On the Martingale Property in Stochastic Volatility Models Based on Time-Homogeneous Diffusions

Mathematical Finance, Forthcoming
Number of pages: 30 Posted: 02 Oct 2013 Last Revised: 12 Jul 2014
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and University of Waterloo
Downloads 78 (375,659)

Abstract:

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Martingale property, Local martingale, Stochastic volatility, Engelbert-Schmidt zero-one law

On the Martingale Property in Stochastic Volatility Models Based on Time‐Homogeneous Diffusions

Mathematical Finance, Vol. 27, Issue 1, pp. 194-223, 2017
Number of pages: 30 Posted: 15 Jan 2017
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and University of Waterloo
Downloads 0
Citation 4
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Abstract:

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Martingale property, local martingale, stochastic volatility, Engelbert Schmidt zero‐one law

27.

A Markov Chain Approximation Scheme for Option Pricing Under Skew Diffusions

Stevens Institute of Technology School of Business Research Paper
Number of pages: 31 Posted: 25 Jun 2019
Kailin Ding, Zhenyu Cui and Yongjin Wang
Nankai University - School of Mathematical Sciences, Stevens Institute of Technology - School of Business and Nankai University - Business School
Downloads 72 (388,818)
Citation 3

Abstract:

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Skew diffusion, local time, continuous-time Markov chain, option pricing, target zone,psychological barriers

28.

An Efficient and Stable Method for Short Maturity Asian Options

Number of pages: 21 Posted: 10 Dec 2017
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management and Stevens Institute of Technology - School of Business
Downloads 66 (407,437)
Citation 4

Abstract:

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Arithmetic Asian option, Markov Chain, Stable Greeks, Volatility Regime

29.

First Hitting Time of Integral Diffusions and Applications

Number of pages: 16 Posted: 27 Feb 2017
Zhenyu Cui and Duy Nguyen
Stevens Institute of Technology - School of Business and Marist College - Department of Mathematics
Downloads 64 (413,896)
Citation 4

Abstract:

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First Hitting Time, Asian Options, Volatility Derivative, Stochastic Time Change, Laplace Transform

30.

Integral Representation of Vega for American Put Options

Number of pages: 10 Posted: 23 Aug 2016
Yanchu Liu, Zhenyu Cui and Ning Zhang
Lingnan (University) College, Sun Yat-sen University, Guangzhou, China., Stevens Institute of Technology - School of Business and Jiangxi University of Finance and Economics
Downloads 64 (413,896)

Abstract:

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American Put Options, Vega, Exercise Boundary, Integral Equation

31.

Nonparametric Density Estimation by B-spline Duality

Stevens Institute of Technology School of Business Research Paper
Number of pages: 39 Posted: 08 Apr 2019
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 62 (420,569)
Citation 3

Abstract:

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nonparametric density estimation, spline, empirical characteristic function, empirical density, fast Fourier transform, Levy processes, basis, PROJ, kernel density estimator

32.

Transform Analysis for Markov Processes and Applications: An Operator-based Approach

Stevens Institute of Technology School of Business Research Paper
Number of pages: 27 Posted: 07 Mar 2019
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and Florida State University
Downloads 60 (427,433)
Citation 2

Abstract:

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Transform analysis, Asset pricing, Occupation time, Markov Process, Finance

33.

Omega Diffusion Risk Model with Surplus-Dependent Tax and Capital Injections

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 27 Posted: 14 Mar 2016
Zhenyu Cui and Duy Nguyen
Stevens Institute of Technology - School of Business and Marist College - Department of Mathematics
Downloads 60 (427,433)
Citation 2

Abstract:

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Time-homogeneous diffusion, Az'ema-Yor process; occupation time, risk model with tax, Omega risk model, reflected diffusion

34.

Density of Generalized Verhulst Process and Bessel Process with Constant Drift

Number of pages: 12 Posted: 08 Apr 2016
Zhenyu Cui and Duy Nguyen
Stevens Institute of Technology - School of Business and Marist College - Department of Mathematics
Downloads 59 (430,958)

Abstract:

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Verhulst process, Exponential change of measure, geometric Brownian motion, Bessel process with constant drift

35.

Stochastic Areas of Diffusions and Applications in Risk Theory

Number of pages: 20 Posted: 02 Dec 2013
Zhenyu Cui
Stevens Institute of Technology - School of Business
Downloads 59 (430,958)
Citation 1

Abstract:

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Time-homogeneous diffusion, first passage time, occupation time, Azema-Yor stopping time, Omega risk model

36.

Efficient Simulation of Stochastic Differential Equations Based on Markov Chain Approximations With Applications

Number of pages: 49 Posted: 11 Sep 2020
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 55 (445,538)

Abstract:

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Simulation; SABR; stochastic local volatility; Markov chain; stochastic differential equation; finance

37.

Optimal Investment in Equity and VIX Derivatives

Number of pages: 76 Posted: 16 Jul 2020 Last Revised: 20 Jul 2020
University of Science and Technology of China (USTC) - Department of Statistics and Finance, Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business and affiliation not provided to SSRN
Downloads 54 (449,167)

Abstract:

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optimal investment, stochastic control, VIX derivatives, HJB equation, incomplete market

38.

Pricing Discretely Monitored Barrier Options Under Markov Processes Using a Markov Chain Approximation

Stevens Institute of Technology School of Business Research Paper
Number of pages: 44 Posted: 29 May 2019
Zhenyu Cui and Stephen Michael Taylor
Stevens Institute of Technology - School of Business and New Jersey Institute of Technology
Downloads 54 (449,167)
Citation 3

Abstract:

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Discrete Barrier Options, Continuous-Time Markov Chains, Integral Equations, Z−Transform, Markov Process

39.

Semi-Analytical Valuation for Discrete Barrier Options under Time-Dependent Lévy Processes

Number of pages: 51 Posted: 10 Jan 2017
University of South Australia - School of Commerce, University of Wollongong, University of Birmingham and Stevens Institute of Technology - School of Business
Downloads 54 (449,167)
Citation 4

Abstract:

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Discrete Barrier Options, Lévy Processes, Fourier-Cosine Series

40.

Closed-Form Variance Swap Prices under General Affine GARCH Models and Their Continuous-Time Limits

Number of pages: 30 Posted: 08 Aug 2017
University of Calgary, Stevens Institute of Technology - School of Business and Nanyang Technological University
Downloads 53 (452,905)
Citation 3

Abstract:

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Variance Swaps, Realized Variance, Affine GARCH Models, Variance Dependent Pricing Kernels, Diffusion Limits

41.

Omega Risk Model with Tax

Number of pages: 21 Posted: 31 Mar 2014
Zhenyu Cui
Stevens Institute of Technology - School of Business
Downloads 48 (472,606)

Abstract:

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Time-homogeneous diffusion, Azema-Yor process, occupation time, Laplace transform, risk model with tax, Omega risk model

42.

Partial Index Tracking enhanced Mean-Variance Portfolio

Number of pages: 24 Posted: 05 May 2021
Zhaokun Cai, Zhenyu Cui and Majeed Simaan
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business and Stevens Institute of Technology - School of Business
Downloads 46 (485,202)

Abstract:

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ortfolio Optimization, Index Tracking, Parameter Estimation Risk

43.

Lower-Upper Bound Approach for Pricing American Strangles

Number of pages: 21 Posted: 02 Jun 2016
Jingtang Ma, Wenyuan Li and Zhenyu Cui
School of Economic Mathematics and Collaborative Innovation Center of Financial Security, Southwestern University of Finance and Economics (SWUFE) - School of Economic Mathematics and Stevens Institute of Technology - School of Business
Downloads 46 (480,913)

Abstract:

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Option pricing, American strangle, lower and upper bounds

44.

Risk Measures for Variable Annuities: A Hermite Series Expansion Approach

Number of pages: 35 Posted: 05 Aug 2017
Zhenyu Cui, J.H. Kim, Guanghua Lian and Yanchu Liu
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, University of California, Berkeley - Haas School of Business and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 44 (489,568)

Abstract:

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Variable Annuity, GMDB, GMMB, Risk Measures, Value-At-Risk, Conditional-Tail-Expectation

A Data-Driven Framework for Consistent Financial Valuation and Risk Measurement

Number of pages: 51 Posted: 31 Jul 2020
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 24 (613,567)

Abstract:

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Finance, Risk Management, Data-Driven, Non-Parametric, Empirical Characteristic Function, Empirical Density, Model-Free

A Data-Driven Framework for Consistent Financial Valuation and Risk Measurement

Number of pages: 51 Posted: 01 Aug 2020
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 19 (650,521)
Citation 3

Abstract:

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Finance, Risk Management, Data-Driven, Non-Parametric, Empirical Characteristic Function, Empirical Density, Model-Free

46.

A General Framework for Discretely Sampled Realized Variance Derivatives in Stochastic Volatility Models with Jumps

European Journal of Operational Research, 262(1), 2017, pg. 381-400, Stevens Institute of Technology School of Business Research Paper
Number of pages: 43 Posted: 05 Jan 2018
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 42 (498,388)
Citation 11

Abstract:

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variance swap, volatility derivatives, regime-switching, jump diffusion, stochastic volatility, realized variance

47.

Equity-Linked Annuity Pricing with Cliquet-Style Guarantees in Regime-Switching and Stochastic Volatility Models with Jumps

Insurance: Mathematics and Economics, Vol. 74, 2017, Stevens Institute of Technology School of Business Research Paper
Number of pages: 36 Posted: 05 Jan 2018
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 40 (507,564)
Citation 8

Abstract:

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Life insurance, equity-linked annuity, cliquet, gurantee, stochastic volatility, regime-switching, jump diffusion

48.

Full-fledged SABR through Markov Chains

Stevens Institute of Technology School of Business Research Paper
Number of pages: 13 Posted: 14 Mar 2019
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 39 (512,148)
Citation 2

Abstract:

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SABR model, Markov chain, exotic options, calibration

49.

Options Valuation and Calibration for Leveraged Exchange-Traded Funds with Heston-Nandi and Inverse Gaussian GARCH Models

Number of pages: 31 Posted: 02 Jan 2019
Hongkai Cao, Rupak Chatterjee and Zhenyu Cui
Stevens Institute of Technology - School of Business, Department of Physics and Stevens Institute of Technology - School of Business
Downloads 39 (512,148)
Citation 1

Abstract:

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GARCH Model, LETF Options, Heston Nandi, Inverse Gaussian, Calibration

50.

On the Optimal Design of the Randomized Unbiased Monte Carlo Estimators

Stevens Institute of Technology School of Business Research Paper
Number of pages: 26 Posted: 01 May 2019
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, Florida State University and Stevens Institute of Technology - School of Business
Downloads 38 (516,874)
Citation 1

Abstract:

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simulation optimization, complexity, unbiased estimato, stochastic model applications

51.

Convergence Rate Analysis for the Continuous-Time Markov Chain Approximation of Occupation Time Derivatives and Asian Option Greeks

Stevens Institute of Technology School of Business Research Paper
Number of pages: 43 Posted: 09 Jan 2019 Last Revised: 08 May 2019
Jingtang Ma, Wensheng Yang and Zhenyu Cui
School of Economic Mathematics and Collaborative Innovation Center of Financial Security, School of Economic Mathematics, SWUFE and Stevens Institute of Technology - School of Business
Downloads 38 (516,874)
Citation 2

Abstract:

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Continuous-Time Markov Chains, Error Analysis, Non-Uniform Grids, Convergence Rates, Path-Dependent Options, Greeks, Matrix-Analytic Method, Laplace Inversion

52.

Pricing Continuously Monitored Barrier Options Under the Sabr Model: A Closed-Form Approximation

Number of pages: 26 Posted: 20 Dec 2017
Nian Yang, Yanchu Liu and Zhenyu Cui
Nanjing University - Department of Finance and Insurance, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and Stevens Institute of Technology - School of Business
Downloads 38 (516,874)

Abstract:

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SABR model, continuously monitored barrier options, survival density, closed-form approximation, stochastic volatility

53.

Comment on 'Modeling Non-Monotone Risk Aversion Using Sahara Utility Functions'

Journal of Economic Theory, Forthcoming
Number of pages: 3 Posted: 31 Mar 2014
Zhenyu Cui
Stevens Institute of Technology - School of Business
Downloads 38 (516,874)

Abstract:

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54.

Valuation of VIX and Target Volatility Options with Affine GARCH Models

Number of pages: 45 Posted: 13 Aug 2020
Stevens Institute of Technology - School of Business, University of Calgary, Stevens Institute of Technology - School of Business and University of Calgary - Department of Mathematics and Statistics
Downloads 36 (526,630)
Citation 2

Abstract:

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VIX Options, Target Volatility Options, Heston-Nandi GARCH Model, Inverse Gaussian Model, Joint Calibration

55.

A New Proof of the Engelbert-Schmidt Zero-One Law for Time-Homogeneous Diffusions

Forthcoming, Statistics and Probability Letters
Number of pages: 10 Posted: 09 Dec 2013 Last Revised: 17 Mar 2014
Zhenyu Cui
Stevens Institute of Technology - School of Business
Downloads 36 (526,630)
Citation 1

Abstract:

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Engelbert-Schmidt zero-one law, diffusion, integral functional

56.

A General Framework for Time-Changed Markov Processes and Applications

Stevens Institute of Technology School of Business Research Paper
Number of pages: 34 Posted: 29 Aug 2018
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 35 (531,760)
Citation 7

Abstract:

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Finance, Time Change, Markov Process, Option Pricing, Continuous-Time Markov Chains, Laplace Transform, Subordination, Variance Swaps, Bermudan Options

57.

A Unified Approach to Bermudan and Barrier Options Under Stochastic Volatility Models with Jumps

Journal of Economic Dynamics and Control, Vol. 80, 2017, Stevens Institute of Technology School of Business Research Paper
Number of pages: 41 Posted: 05 Jan 2018
Justin Kirkby, Duy Nguyen and Zhenyu Cui
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), Marist College - Department of Mathematics and Stevens Institute of Technology - School of Business
Downloads 35 (531,760)
Citation 6

Abstract:

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American options, Barrier options, Stochastic volatility, Regime switching, Jump diffusion, Frame projection

58.

Hybrid Laplace Transform and Finite Difference Methods for Pricing American Options under Complex Models

Computers & Mathematics with Applications, Volume 74, Issue 3, Pages 369-384, 1 August 2017
Number of pages: 23 Posted: 28 Sep 2017
Jingtang Ma, Zhiqiang Zhou and Zhenyu Cui
School of Economic Mathematics and Collaborative Innovation Center of Financial Security, Southwestern University of Finance and Economics (SWUFE) and Stevens Institute of Technology - School of Business
Downloads 32 (547,433)

Abstract:

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American Option Pricing, Finite Difference Methods, Laplace Transform Methods, Partial Differential Equations, Fractional Partial Differential Equations

59.

Convergence Analysis for Continuous-Time Markov Chain Approximation of Stochastic Local Volatility Models: Option Pricing and Greeks

Number of pages: 20 Posted: 04 Dec 2020
Jingtang Ma, Wensheng Yang and Zhenyu Cui
School of Economic Mathematics and Collaborative Innovation Center of Financial Security, School of Economic Mathematics, SWUFE and Stevens Institute of Technology - School of Business
Downloads 31 (552,821)
Citation 1

Abstract:

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Continuous-time Markov chains, stochastic local volatility models, option pric-ing, Greeks, convergence rates

60.

An Integral Representation for Elasticity and Sensitivity for Stochastic Volatility Models

Number of pages: 25 Posted: 12 Oct 2017
Zhenyu Cui, Duy Nguyen and Hyungbin Park
Stevens Institute of Technology - School of Business, Marist College - Department of Mathematics and Seoul National University
Downloads 31 (552,821)

Abstract:

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Sensitivity, elasticity, growth-rate risk, quantile, Greeks, exponential measure change, stochastic volatility models.

61.

Optimal Investment Problem Under Behavioral Setting: A Lagrange Duality Perspective

Number of pages: 50 Posted: 22 Mar 2021 Last Revised: 14 Apr 2021
affiliation not provided to SSRN, affiliation not provided to SSRN, Stevens Institute of Technology - School of Business, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management and affiliation not provided to SSRN
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Non-concave Utility, Probability Distortion, Concavification, Lagrange Duality, Relaxation Method

62.

Integral Representation of Probability Density of Stochastic Volatility Models and Timer Options

Number of pages: 25 Posted: 08 Dec 2017
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), University of California, Berkeley - Haas School of Business and Marist College - Department of Mathematics
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Citation 4

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stochastic volatility, exact probability density,implied volatility, timer option

63.

A Novel Sampling Method based on Orthogonal Polynomial Expansions and Applications

Number of pages: 20 Posted: 10 Jun 2021
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), Marist College - Department of Mathematics and New Jersey Institute of Technology
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integral transform, inverse transform method, orthogonal polynomial, sampling

64.

Discrete-time Variance-optimal Deep Hedging in Affine GARCH Models

Number of pages: 35 Posted: 29 Aug 2020
Hongkai Cao, Zhenyu Cui and Yanchu Liu
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
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Finance; Affine GARCH models; Variance-optimal hedge; Deep learning; Transaction costs, Target volatility options

65.

Shortfall Risk Through Fenchel Duality

Number of pages: 11 Posted: 04 Mar 2018
Zhenyu Cui and Jun Deng
Stevens Institute of Technology - School of Business and University of International Business and Economics (UIBE) - School of Banking and Finance
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shortfall risk, Fenchel duality,enlargement of filtration, risk measure, hedging

66.

Optimal Unbiased Estimation for Expected Cumulative Cost

Stevens Institute of Technology School of Business Research Paper
Number of pages: 13 Posted: 30 Apr 2018
Stevens Institute of Technology - School of Business, University of Maryland - College Park, Department of Industrial Engineering and Management, Peking University and Florida State University
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Citation 1

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unbiased simulation, optimal control, cumulative cost, efficiency of estimator

67.

Magnitude and Speed of Consecutive Market Crashes in a Diffusion Model

Number of pages: 20 Posted: 21 Dec 2016
Zhenyu Cui and Duy Nguyen
Stevens Institute of Technology - School of Business and Marist College - Department of Mathematics
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Citation 2

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Time-homogeneous diffusion, generalized drawdown process,drawdown, Laplace transform, Doob-Meyer decomposition

68.

Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models based on Markov Chain Approximations

Number of pages: 49 Posted: 02 Nov 2020
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
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Citation 3

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Simulation, SABR, stochastic local volatility, Markov chain

69.

Convergence of the Discrete Variance Swap in Time-Homogeneous Diffusion Models

Quantitative Finance Letters, Forthcoming
Posted: 01 Oct 2013 Last Revised: 09 May 2014
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and University of Waterloo

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Discrete variance swap, realized variance, quadratic variation, time-homogeneous diffusions