Hoi Ying Wong

Eur. J. Oper. Res., 2025

2023

Optimal expansion of business opportunity.

[BibT_eX]

[DOI]

Eur. J. Oper. Res., August, 2023

Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space.

[BibT_eX]

[DOI]

Kyunghyun Park

SIAM J. Control. Optim., June, 2023

Deep LOB trading: Half a second please!

[BibT_eX]

[DOI]

Jie Yin

Expert Syst. Appl., 2023

Efficient social distancing during the COVID-19 pandemic: Integrating economic and public health considerations.

[BibT_eX]

[DOI]

Kexin Chen

Eur. J. Oper. Res., 2023

2022

Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity.

[BibT_eX]

[DOI]

Kyunghyun Park

SIAM J. Financial Math., September, 2022

Optimal Retirement Under Partial Information.

[BibT_eX]

[DOI]

Kexin Chen

Junkee Jeon

Math. Oper. Res., 2022

Equilibrium pairs trading under delayed cointegration.

[BibT_eX]

[DOI]

Tingjin Yan

Autom., 2022

2021

Time-Inconsistency with Rough Volatility.

[BibT_eX]

[DOI]

Bingyan Han

SIAM J. Financial Math., 2021

2020

Deep-Learning Solution to Portfolio Selection with Serially Dependent Returns.

[BibT_eX]

[DOI]

Ka Ho Tsang

SIAM J. Financial Math., 2020

Financial Thought Experiment: A GAN-based Approach to Vast Robust Portfolio Selection.

[BibT_eX]

[DOI]

Lei Wang

Proceedings of the Twenty-Ninth International Joint Conference on Artificial Intelligence, 2020

2019

Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration.

[BibT_eX]

[DOI]

Kexin Chen

SIAM J. Financial Math., 2019

Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy.

[BibT_eX]

[DOI]

SIAM J. Financial Math., 2019

A linear programming model for selection of sparse high-dimensional multiperiod portfolios.

[BibT_eX]

[DOI]

Eur. J. Oper. Res., 2019

Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility.

[BibT_eX]

[DOI]

Tingjin Yan

Autom., 2019

2018

Robust dynamic pairs trading with cointegration.

[BibT_eX]

[DOI]

Oper. Res. Lett., 2018

Dynamic safety first expected utility model.

[BibT_eX]

[DOI]

Eur. J. Oper. Res., 2018

2016

Resolution of Degeneracy in Merton's Portfolio Problem.

[BibT_eX]

[DOI]

SIAM J. Financial Math., 2016

Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities.

[BibT_eX]

[DOI]

Jean-Pierre Fouque

SIAM J. Control. Optim., 2016

Non-zero-sum reinsurance games subject to ambiguous correlations.

[BibT_eX]

[DOI]

Chi Chung Siu

Oper. Res. Lett., 2016

2015

Dynamic cointegrated pairs trading: Mean-variance time-consistent strategies.

[BibT_eX]

[DOI]

J. Comput. Appl. Math., 2015

Variance swap with mean reversion, multifactor stochastic volatility and jumps.

[BibT_eX]

[DOI]

Shing Fung Chung

Eur. J. Oper. Res., 2015

Commodity derivatives pricing with cointegration and stochastic covariances.

[BibT_eX]

[DOI]

Eur. J. Oper. Res., 2015

2014

Mean-variance portfolio selection with correlation risk.

[BibT_eX]

[DOI]

J. Comput. Appl. Math., 2014

2013

Mean-variance principle of managing cointegrated risky assets and random liabilities.

[BibT_eX]

[DOI]

Oper. Res. Lett., 2013

Currency option pricing with Wishart process.

[BibT_eX]

[DOI]

Kwai Sun Leung

Hon-Yip Ng

J. Comput. Appl. Math., 2013

Valuation of stock loans using exponential phase-type Lévy models.

[BibT_eX]

[DOI]

Tat Wing Wong

Appl. Math. Comput., 2013

2012

Mean-variance asset-liability management: Cointegrated assets and insurance liability.

[BibT_eX]

[DOI]

Eur. J. Oper. Res., 2012

Structural model of credit migration.

[BibT_eX]

[DOI]

Ngai Hang Chan

Comput. Stat. Data Anal., 2012

2011

Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility.

[BibT_eX]

[DOI]

Yu Wai Lo

Oper. Res. Lett., 2011

Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process.

[BibT_eX]

[DOI]

J. Comput. Appl. Math., 2011

An artificial boundary method for the Hull-White model of American interest rate derivatives.

[BibT_eX]

[DOI]

Appl. Math. Comput., 2011

2010

Valuing American options under the CEV model by Laplace-Carson transforms.

[BibT_eX]

[DOI]

Oper. Res. Lett., 2010

2009

Option pricing with mean reversion and stochastic volatility.

[BibT_eX]

[DOI]

Yu Wai Lo

Eur. J. Oper. Res., 2009

2008

An Artificial Boundary Method for American Option Pricing under the CEV Model.

[BibT_eX]

[DOI]

SIAM J. Numer. Anal., 2008

2001

Pricing Algorithms of Multivariate Path Dependent Options.

[BibT_eX]

[DOI]

Yue Kuen Kwok