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A Gaussian Process Based Method with Deep Kernel Learning for Pricing High-Dimensional American Options Journal article
Zhuang, Jirong, Ding, Deng, Lu, Weiguo, Wu, Xuan, Yuan, Gangnan. A Gaussian Process Based Method with Deep Kernel Learning for Pricing High-Dimensional American Options[J]. Computational Economics, 2025.
Authors:  Zhuang, Jirong;  Ding, Deng;  Lu, Weiguo;  Wu, Xuan;  Yuan, Gangnan
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:1.9/1.8 | Submit date：2025/01/22
Deep Kernel Learning  Gaussian Process  High-dimensional American Option  Machine Learning  Regression Based Monte Carlo Method  
A Preconditioned Policy–Krylov Subspace Method for Fractional Partial Integro-Differential HJB Equations in Finance Journal article
Chen, Xu, Gong, Xin Xin, Sun, Youfa, Lei, Siu Long. A Preconditioned Policy–Krylov Subspace Method for Fractional Partial Integro-Differential HJB Equations in Finance[J]. Fractal and Fractional, 2024, 8(6), 316.
Authors:  Chen, Xu;  Gong, Xin Xin;  Sun, Youfa;  Lei, Siu Long
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:3.6/3.5 | Submit date：2024/07/04
American Option Pricing  Banded Preconditioner  Fractional Partial Integro-differential Equation  Stability  Stock Loan  
FPGA based Implied Volatility Calculation with Multi-section Method Conference paper
Wang, Su, Huan, Hongxin, Wong, Seng Fat, Yen, Joseph. FPGA based Implied Volatility Calculation with Multi-section Method[C]. Institute of Electrical and Electronics Engineers Inc., USA:IEEE, 345 E 47TH ST, NEW YORK, NY 10017 USA, 2022, 507-514.
Authors:  Wang, Su;  Huan, Hongxin;  Wong, Seng Fat;  Yen, Joseph
Favorite | TC[WOS]:1 TC[Scopus]:1 | Submit date：2022/08/26
Option Pricing  Implied Volatility  Black-scholes Method  Fpga  Multi-section Method  Heterogeneous Computing  
A Bi-objective optimization model for contract design of humanitarian relief goods procurement considering extreme disasters Journal article
Chen, Yingzhen, Zhao, Qiuhong, Huang, Kai, Xi, Xunzhuo. A Bi-objective optimization model for contract design of humanitarian relief goods procurement considering extreme disasters[J]. Socio-Economic Planning Sciences, 2022, 81, 101214.
Authors:  Chen, Yingzhen;  Zhao, Qiuhong;  Huang, Kai;  Xi, Xunzhuo
Favorite | TC[WOS]:19 TC[Scopus]:22  IF:6.2/5.9 | Submit date：2022/05/13
Disaster Intensity  Humanitarian Relief  Supply Risk  Procurement  Combined Entrusted Reserve And Option Contract  Contract  Extreme Disaster  
The Effect of Stock Market Indexing on Option Price Efficiency Presentation
会议地点: University of New South Wales (Presented by Coauthor), 报告日期: 2021-10-01
Authors:  Eric C. Chang;  Li Ge;  Tse-Chun Lin;  Xiaorong Ma
Favorite |  | Submit date：2022/08/31
Stock Indexing Effect  Option Price Efficiency  Options Market Liquidity  Russell Index Reconstitution  Local Linear Regressions  
Improving the energy efficiency of petrochemical plant operations: A measurement and verification case study using a balanced wave optimizer Journal article
Chan, Man Hin Eve, Chu, Kar Kit, Chow, Hin Fung, Tsang, Chi Wing, Ho, Chi Kuen Danny, Ho, Shuk Kei. Improving the energy efficiency of petrochemical plant operations: A measurement and verification case study using a balanced wave optimizer[J]. Energies, 2019, 12(21), 4136.
Authors:  Chan, Man Hin Eve;  Chu, Kar Kit;  Chow, Hin Fung;  Tsang, Chi Wing;  Ho, Chi Kuen Danny; et al.
Favorite | TC[WOS]:7 TC[Scopus]:7  IF:3.0/3.0 | Submit date：2022/05/17
Compton Effect  Electrical Energy Reduction  Industrial Energy Audit  Ipmvp Option b  Motor Driven Pump  
The Effect of Stock Market Indexing on Option Market Quality Conference paper
Eric C. Chang, Li Ge, Tse-Chun Lin, Xiaorong Ma. The Effect of Stock Market Indexing on Option Market Quality[C]. 2019 International Conference of Taiwan Finance Association Conference Program, 2019 International Conference of Taiwan Finance Association Conference Program:2019 International Conference of Taiwan Finance Association Conference Program, 2019.
Authors:  Eric C. Chang;  Li Ge;  Tse-Chun Lin;  Xiaorong Ma
Favorite |  | Submit date：2022/08/31
Option  Indexing  Liquidity  Zero Trading Day  Institutional Investors  
Fast Laplace Transform Methods for Free-Boundary Problems of Fractional Diffusion Equations Journal article
Zhou,Zhiqiang, Ma,Jingtang, Sun,Hai wei. Fast Laplace Transform Methods for Free-Boundary Problems of Fractional Diffusion Equations[J]. Journal of Scientific Computing, 2018, 74(1), 49-69.
Authors:  Zhou,Zhiqiang;  Ma,Jingtang;  Sun,Hai wei
Favorite | TC[WOS]:21 TC[Scopus]:22  IF:2.8/2.7 | Submit date：2019/05/27
American Option Pricing  Fractional Diffusion Equations  Free-boundary Problems  Hyperbola Contour Integral  Laplace Transform Methods  Toeplitz Matrix  
Fast Laplace Transform Methods for Free-Boundary Problems of Fractional Diffusion Equations Journal article
Zhou, Z.Q., Ma, J.T., Sun, H. W.. Fast Laplace Transform Methods for Free-Boundary Problems of Fractional Diffusion Equations[J]. Journal of Scientific Computing, 2018, 49-69.
Authors:  Zhou, Z.Q.;  Ma, J.T.;  Sun, H. W.
Favorite | TC[WOS]:21 TC[Scopus]:22  IF:2.8/2.7 | Submit date：2022/07/25
American Option Pricing  Free-boundary Problems  Fractional Diffusion Equations  Laplace Transform Methods  Hyperbola Contour Integral  Toeplitz Matrix  
Bond and option pricing for interest rate model with clustering effects Journal article
Zhang, Xin, Xiong, Jie, Shen, Yang. Bond and option pricing for interest rate model with clustering effects[J]. QUANTITATIVE FINANCE, 2018, 18(6), 969-981.
Authors:  ; et al.
Favorite | TC[WOS]:6 TC[Scopus]:6  IF:1.5/2.2 | Submit date：2018/10/30
Interest Rate Modelling  Marked Point Process  Hawkes Processes  Bond Pricing  Bond Option