Wenjun Zhang
Auckland University of Technology
H-index: 11
Oceania-New Zealand
Top articles of Wenjun Zhang
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Analyzing and forecasting electricity price using regime‐switching models: The case of New Zealand market | Journal of Forecasting | Gaurav Kapoor Nuttanan Wichitaksorn Wenjun Zhang | 2023/12 |
Pricing path-dependent options under stochastic volatility via Mellin transform | Journal of Risk and Financial Management | Jiling Cao Xi Li Wenjun Zhang | 2023/10/20 |
Forecasting Half-Hourly Electricity Prices using a Mixed-Frequency Structural VAR Framework | Available at SSRN 4473100 | Gaurav Kapoor Nuttanan Wichitaksorn Mengheng Li Wenjun Zhang | 2023/6/8 |
Valuation of barrier and lookback options under hybrid CEV and stochastic volatility | Mathematics and Computers in Simulation | Jiling Cao Jeong-Hoon Kim Xi Li Wenjun Zhang | 2023/6/1 |
Valuation of European options with stochastic interest rates and transaction costs | International Journal of Computer Mathematics | Jiling Cao Biyuan Wang Wenjun Zhang | 2022/2/1 |
Robust portfolio optimization under hybrid CEV and stochastic volatility | 대한수학회지 | Jiling Cao Beidi Peng Wenjun Zhang | 2022/11 |
Optimal portfolio choices under the SVCEV model with exponential utility | AIP Conference Proceedings | Beidi Peng Jiling Cao Wenjun Zhang | 2021/11/18 |
Dynamic portfolio choice and information trading with recursive utility | Economic Modelling | Xingjiang Chen Xinfeng Ruan Wenjun Zhang | 2021/5/1 |
Pricing variance swaps under hybrid CEV and stochastic volatility | Journal of Computational and Applied Mathematics | Jiling Cao Jeong-Hoon Kim Wenjun Zhang | 2021/4/1 |
Inferring information from the s&p 500, cboe vix, and cboe skew indices | Journal of Futures Markets | Jiling Cao Xinfeng Ruan Wenjun Zhang | 2020/6/30 |
GARCH option pricing models and the variance risk premium | Journal of Risk and Financial Management | Wenjun Zhang Jin E Zhang | 2020/3/9 |
Pricing VIX derivatives with infinite‐activity jumps | Journal of Futures Markets | Jiling Cao Xinfeng Ruan Shu Su Wenjun Zhang | 2020/3/11 |
The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure | 대한수학회지 | Jiling Cao Teh Raihana Nazirah Roslan Wenjun Zhang | 2020/1 |
Rough stochastic elasticity of variance and option pricing | Finance Research Letters | Jiling Cao Jeong-Hoon Kim See-Woo Kim Wenjun Zhang | 2020/11/1 |
