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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
Pricing Mathematics
Volatility Mathematics
Option Pricing Mathematics
Continuous-time Markov Chain Mathematics
Markov Process Mathematics
Heston Model Mathematics

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Research Output 2010 2019

  • 136 Citations
  • 7 h-Index
  • 36 Article
2 Citations (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
Arbitrage
Foreign exchange rates
Graph
Currency
Foreign exchange market
1 Citation (Scopus)

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

Badescu, A., Cui, Z. & Ortega, J. P., Nov 1 2019, In : Annals of Operations Research. 282, 1-2, p. 27-57 31 p.

Stevens Institute of Technology

Research output: Contribution to journalArticle

GARCH model
Continuous time
Variance swap
Generalized autoregressive conditional heteroscedasticity
Innovation

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
1 Citation (Scopus)

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