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Fingerprint Dive into the research topics where Zhenyu Cui is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

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

  • 117 Citations
  • 7 h-Index
  • 35 Article
1 Citation (Scopus)

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

Revisiting advance disclosure of insider trading

Cui, Z., Deng, J. & Lenkey, S. L., Sep 1 2019, In : Economics Letters. 182, p. 78-81 4 p.

Stevens Institute of Technology

Research output: Contribution to journalArticle

Insider trading
Disclosure
Multiple equilibria

Variance swaps valuation under non-affine GARCH models and their diffusion limits

Badescu, A., Chen, Y., Couch, M. & Cui, Z., Feb 1 2019, In : Quantitative Finance. 19, 2, p. 227-246 20 p.

Stevens Institute of Technology

Research output: Contribution to journalArticle

GARCH model
Variance swap
Generalized autoregressive conditional heteroscedasticity
Modeling
Volatility index
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