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Stochastic Volatility Model Mathematics
Laplace transform Mathematics
Stochastic models Engineering & Materials Science
Laplace transforms Engineering & Materials Science
Pricing Mathematics
Volatility Mathematics
Markov processes Engineering & Materials Science
Option Pricing Mathematics

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Research Output 2010 2019

  • 104 Citations
  • 6 h-Index
  • 34 Article

A general framework for time-changed Markov processes and applications

Cui, Z., Lars Kirkby, J. & Nguyen, D., Mar 1 2019, In : European Journal of Operational Research. 273, 2, p. 785-800 16 p.

Stevens Institute of Technology

Research output: Contribution to journalArticle

Markov Process
Markov processes
Continuous-time Markov Chain
Time Change
Additive Functionals
2 Citations (Scopus)

A general valuation framework for SABR and stochastic local volatility models

Cui, Z., Kirkby, J. L. & Nguyen, D., Jan 1 2018, In : SIAM Journal on Financial Mathematics. 9, 2, p. 520-563 44 p.

Stevens Institute of Technology

Research output: Contribution to journalArticle

Valuation
Volatility
Markov processes
Continuous-time Markov Chain
Stochastic models

An efficient and stable method for short maturity Asian options

Chatterjee, R., Cui, Z., Fan, J. & Liu, M., Dec 1 2018, In : Journal of Futures Markets. 38, 12, p. 1470-1486 17 p.

Stevens Institute of Technology

Research output: Contribution to journalArticle

Maturity
Asian options
Approximation
Hedging
Markov chain

An integral representation of elasticity and sensitivity for stochastic volatility models

Cui, Z., Nguyen, D. & Park, H., Mar 1 2018, In : Mathematics and Financial Economics. 12, 2, p. 249-274 26 p.

Stevens Institute of Technology

Research output: Contribution to journalArticle

Stochastic Volatility Model
Integral Representation
Elasticity
Heston Model
Vega

Closed-form variance swap prices under general affine GARCH models and their continuous-time limits

Badescu, A., Cui, Z. & Ortega, J. P., Jun 23 2018, (Accepted/In press) In : Annals of Operations Research. p. 1-31 31 p.

Stevens Institute of Technology

Research output: Contribution to journalArticle

GARCH model
Continuous time
Variance swap
Generalized autoregressive conditional heteroscedasticity
Innovation