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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  
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  
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  
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:  Zhang, Xin;  Xiong, Jie;  Shen, Yang
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  
Pricing Callable Bonds Based on Monte Carlo Simulation Techniques Journal article
Deng Ding, Qi Fu, Jacky So. Pricing Callable Bonds Based on Monte Carlo Simulation Techniques[J]. Technology and Investment, 2012, 3(2), 121--125.
Authors:  Deng Ding;  Qi Fu;  Jacky So
Favorite |  | Submit date：2019/07/23
Callable Bond  Monte Carlo Simulation  Cir Model  Embedded Option Pricing  
Fast exponential time integration scheme for option pricing with jumps Journal article
Lee,Spike T., Liu,Xin, Sun,Hai Wei. Fast exponential time integration scheme for option pricing with jumps[J]. Numerical Linear Algebra with Applications, 2012, 19(1), 87-101.
Authors:  Lee,Spike T.;  Liu,Xin;  Sun,Hai Wei
Favorite | TC[WOS]:17 TC[Scopus]:17 | Submit date：2019/05/27
Generating Function  Jump-diffusion  Option Pricing  Shift-and-invert Arnoldi Method  Toeplitz Matrix Exponential  
Efficient Option Pricing Methods Based on Fourier Series Expansions Journal article
Deng DING, Sio Chong U. Efficient Option Pricing Methods Based on Fourier Series Expansions[J]. Journal of Mathematical Research & Exposition, 2011, 31(1), 12-22.
Authors:  ; et al.
Favorite | TC[Scopus]:0