Yu Tian
Yu Tian
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Calibrating and pricing with a stochastic-local volatility model
Y Tian, Z Zhu, G Lee, F Klebaner, K Hamza
Journal of Derivatives, 2015
322015
Pricing barrier and American options under the SABR model on the graphics processing unit
Y Tian, Z Zhu, FC Klebaner, K Hamza
Concurrency and Computation: Practice and Experience, 2012
182012
Dynamic Portfolio Optimization with Liquidity Cost and Market Impact: A Simulation-and-Regression Approach
R Zhang, N Langrené, Y Tian, Z Zhu, F Klebaner, K Hamza
Quantitative Finance, 2018
15*2018
Efficient portfolio valuation incorporating liquidity risk
Y Tian, R Rood, CW Oosterlee
Quantitative Finance 13 (10), 1575–1586, 2013
122013
The hybrid stochastic-local volatility model with applications in pricing FX options
Y Tian
Monash University, 2013
122013
Option pricing with the SABR model on the GPU
Y Tian, Z Zhu, FC Klebaner, K Hamza
2010 IEEE Workshop on High Performance Computational Finance, 1-8, 2010
122010
Skewed Target Range Strategy for Multi-Period Portfolio Optimization by a Two-Stage Least Squares Monte Carlo Method
R Zhang, N Langrené, Y Tian, Z Zhu, F Klebaner, K Hamza
Journal of Computational Finance, 2018
4*2018
Monte Carlo pricing scheme for a stochastic-local volatility model
G Lee, Y Tian, Z Zhu
2014 International Conference of Financial Engineering, 2014
32014
A hybrid stochastic volatility model incorporating local volatility
Y Tian, Z Zhu, F Klebaner, K Hamza
2012 Fourth International Conference on Computational and Information …, 2012
32012
Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization
R Zhang, N Langrené, Y Tian, Z Zhu, F Klebaner, K Hamza
arXiv preprint arXiv:1803.11467, 2018
22018
The Effects of Liquidity on Multi-period Portfolio Selection: A Case Study of American Sector ETFs
Rongju Zhang, Nicolas Langrené, Yu Tian, Zili Zhu, Fima Klebaner, Kais Hamza
4th Annual International Conference on Operations Research and Statistics, 2016
1*2016
Pricing window barrier options with a hybrid stochastic-local volatility model
Y Tian, Z Zhu, G Lee, T Lo, F Klebaner, K Hamza
2014 IEEE Conference on Computational Intelligence for Financial Engineering …, 2014
12014
Dynamic Volatility Management: From Conditional Volatility to Realized Volatility
R Zhang, N Langrené, Y Tian, Z Zhu
Forthcoming, Journal of Investment Strategies, 2019
2019
Using exotic option prices as control variates in Monte Carlo pricing under a local-stochastic volatility model
G Lee, Z Zhu, Y Tian
IAENG Transactions on Engineering Sciences, 2015
2015
Market liquidity risk and market risk management
Y Tian
Delft University of Technology, 2009
2009
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Articles 1–15