Zhenyu Cui
Stevens Institute of Technology
H-index: 19
North America-United States
Top articles of Zhenyu Cui
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Multi-block alternating direction method of multipliers for ultrahigh dimensional quantile fused regression | Computational Statistics & Data Analysis | Xiaofei Wu Hao Ming Zhimin Zhang Zhenyu Cui | 2024/4/1 |
Implied Willow Tree | The Journal of Derivatives | Bing Dong Wei Xu Zhenyu Cui Wolfgang Schadner Damian F Abasto | 2024/1/5 |
A general valuation framework for rough stochastic local volatility models and applications | Wensheng Yang Jingtang Ma Zhenyu Cui | 2024/4/17 | |
Valuation of Guaranteed Lifelong Withdrawal Benefit with Long-term Care Option | Yang Yang Shaoying Chen Zhenyu Cui Zhimin Zhang | 2024/4/1 | |
Volatility Spillovers between Bitcoin and Chinese Financial Markets | Procedia Computer Science | Ping Li Jiahong Li Lixin Huang Zhenyu Cui | 2023/1/1 |
Tighter bounds for implied volatility based on the Dirac delta family method | Zhenyu Cui Yanchu Liu Yuhang Yao | 2023/8/16 | |
VIX Options Valuation via Continuous-time Markov Chain Approximation and Ito-Taylor Expansion | Zhenyu Cui Chihoon Lee Mingzhe Liu Cai Wu | 2023/11/7 | |
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation | Quantitative Finance | Anne MacKay Marie-Claude Vachon Zhenyu Cui | 2023/8/3 |
Explicit solution to the economic index of riskiness | Economics Letters | Zhenyu Cui Cai Wu Lingjiong Zhu | 2023/11/1 |
Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times | Probability in the Engineering and Informational Sciences | Jiayi Xie Wenguang Yu Zhimin Zhang Zhenyu Cui | 2023/4 |
Variance Optimality of Empirical Martingale Simulation Estimators | Available at SSRN | Zhenyu Cui Yanchu Liu Ruodu Wang Cai Wu Lingjiong Zhu | 2023/10/17 |
Sequential Itô–Taylor expansions and characteristic functions of stochastic volatility models | Journal of Futures Markets | Kailin Ding Zhenyu Cui Yanchu Liu | 2023/12 |
Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk | Journal of Computational and Applied Mathematics | Wei Zhong Zhenyu Cui Zhimin Zhang | 2023/4/1 |
Understanding how heterogeneous agents affect Principal's returns: Perspectives from short-termism and Bayesian learning | Journal of Management Science and Engineering | Chuan Ding Yang Li Zhenyu Cui | 2023/9/1 |
A unified consensus-based parallel ADMM algorithm for high-dimensional regression with combined regularizations | arXiv preprint arXiv:2311.12319 | Xiaofei Wu Zhimin Zhang Zhenyu Cui | 2023/11/21 |
Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach | Journal of Futures Markets | Kailin Ding Zhenyu Cui Xiaoguang Yang | 2023/2 |
An exact explicit solution to the adjustment coefficient in risk theory | Zhenyu Cui Cai Wu | 2023/8/18 | |
A unified fused Lasso approach for sparse and blocky feature selection in regression and classification | arXiv preprint arXiv:2311.11068 | Xiaofei Wu Rongmei Liang Zhimin Zhang Zhenyu Cui | 2023/11/18 |
A new representation of the risk-neutral distribution and its applications | Quantitative Finance | Zhenyu Cui Yuewu Xu | 2022/5/4 |
Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and Greeks | Journal of Computational and Applied Mathematics | Jingtang Ma Wensheng Yang Zhenyu Cui | 2022/4/1 |
Co-Authors
