Liming Feng

According to our database, Liming Feng authored at least 12 papers between 2008 and 2024.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2024

A Risk Diversification Strategy for Integrated Demand Response Under Imperfect Rationality.

Shunlin Zheng, Qi Qi, Yi Sun, Yaliang Liu, Liming Feng, Chao Quan

IEEE Trans. Smart Grid, July, 2024

2021

Diversity Evolutionary Policy Deep Reinforcement Learning.

Jian Liu, Liming Feng

Comput. Intell. Neurosci., 2021

2015

Optimal deleveraging with nonlinear temporary price impact.

Jingnan Chen, Liming Feng, Jiming Peng

Eur. J. Oper. Res., 2015

2014

Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact.

Jingnan Chen, Liming Feng, Jiming Peng, Yinyu Ye

Oper. Res., 2014

2013

Subspace Accelerated Matrix Splitting Algorithms for Asymmetric and Symmetric Linear Complementarity Problems.

Daniel P. Robinson, Liming Feng, Jorge Nocedal, Jong-Shi Pang

SIAM J. Optim., 2013

Pricing Bermudan Options in Lévy Process Models.

Liming Feng, Xiong Lin

SIAM J. Financial Math., 2013

Inverting Analytic Characteristic Functions and Financial Applications.

Liming Feng, Xiong Lin

SIAM J. Financial Math., 2013

2012

Simulating Lévy Processes from Their Characteristic Functions and Financial Applications.

Zisheng Chen, Liming Feng, Xiong Lin

ACM Trans. Model. Comput. Simul., 2012

2011

On the solution of complementarity problems arising in American options pricing.

Liming Feng, Vadim Linetsky, José Luis Morales, Jorge Nocedal

Optim. Methods Softw., 2011

Inverse transform method for simulating Levy processes and discrete Asian options pricing.

Zisheng Chen, Liming Feng, Xiong Lin

Proceedings of the Winter Simulation Conference 2011, 2011

2009

Computing exponential moments of the discrete maximum of a Lévy process and lookback options.

Liming Feng, Vadim Linetsky

Finance Stochastics, 2009

2008

Pricing Options in Jump-Diffusion Models: An Extrapolation Approach.

Liming Feng, Vadim Linetsky

Oper. Res., 2008