Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion.
J. Comput. Appl. Math., 2021
Optimal portfolio selection for a defined-contribution plan under two administrative fees and return of premium clauses.
J. Comput. Appl. Math., 2021
The Study on the Pricing of Credit Risk under the Fast Stochastic Volatility.
Proceedings of the International Conference on Identification, 2016