Ping Li

According to our database, Ping Li authored at least 11 papers between 2005 and 2017.

Collaborative distances:

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

2017

An empirical study of chance-constrained portfolio selection model.

Yingwei Han, Ping Li

Proceedings of the 5th International Conference on Information Technology and Quantitative Management, 2017

2015

Pricing of Basket Default Swaps Based on Factor Copulas and NIG.

Ping Li, Jie Liu, Xinyun Zhang, Guangdong Huang

Proceedings of the Third International Conference on Information Technology and Quantitative Management, 2015

2013

A Factor Model for the Calculation of Portfolio Credit VaR.

Ping Li, Xiaoxu Wang, Haibo Wang

Proceedings of the First International Conference on Information Technology and Quantitative Management, 2013

2012

A Copula-based Regime-switching Model for Rainbow Option Pricing.

Ping Li, Libo Yin

Proceedings of the Fifth International Conference on Business Intelligence and Financial Engineering, 2012

2010

Pricing of LIBOR futures by martingale method in Cox-Ingersoll-Ross model.

Ping Li, Peng Shi, Guangdong Huang, Xiao-Jun Shi

J. Syst. Sci. Complex., 2010

Credit Spread Option Pricing by Dynamic Copulas.

Ping Li, Guangdong Huang

Proceedings of the Fourth International Conference on Network and System Security, 2010

Financial Asset Price Forecasting Based on Intertransaction Association Rules Mining.

Ping Li, Wenjing Xing, Guangdong Huang

Proceedings of the International Conference on E-Business and E-Government, 2010

2007

A new algorithm based on copulas for VaR valuation with empirical calculations.

Gang Cheng, Ping Li, Peng Shi

Theor. Comput. Sci., 2007

2006

On Default Correlation and Pricing of Collateralized Debt Obligation by Copula Functions.

Ping Li, Hou-Sheng Chen, Xiaotie Deng, Shunming Zhang

Int. J. Inf. Technol. Decis. Mak., 2006

On Portfolio's Default-Risk-Adjusted Duration and Value: Model and Algorithm Based on Copulas.

Ping Li, Hou-Sheng Chen, Guangdong Huang, Xiao-Jun Shi

Proceedings of the Internet and Network Economics, Second International Workshop, 2006

2005

A New Algorithm Based on Copulas for Financial Risk Calculation with Applications to Chinese Stock Markets.

Ping Li, Peng Shi, Guangdong Huang

Proceedings of the Internet and Network Economics, First International Workshop, 2005