研究方向:

金融经济学,金融工程 

Papers can also be downloaded from my SSRN Author Page:

http://ssrn.com/author=1581550

发表论文:

Explicit Pathwise Expansion for Multivariate Diffusions with Applications. To appear in the Advances in Applied Probability, 2025. With Nan Chen, Nian Yang. 

An option pricing model with double-exponential jumps in returns and GARCH diffusion in volatilities, Operations Research Letters, 59,107253, 2025. With Chunhui Qiao, Nian Yang.

Non-Concave Utility Maximization with Portfolio Bounds. Management Science, 68(11):8368-8385, 2022. With Min Dai, Steven Kou, Shuaijie Qian.

Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps. Journal of Economic Dynamics and Control, 125, 104083. 2021. With Nian Yang. 

A New Delta Expansion for Multivariate Diffusions via the Ito-Taylor Expansion. Journal of Econometrics, 209(2), 256-288. 2019. With Nian Yang, Nan Chen. 

The survival probability of the SABR model: Asymptotics and Application. Quantitative Finance, 18(10), 1767-1779, 2018. With Nian Yang.

Approximate arbitrage-free option pricing under the SABR model. Journal of Economic Dynamics and Control, 83, 198-214, 2017. With Nian Yang, Nan Chen, Yanchu Liu.

Sensitivity Analysis of Nonlinear Behavior with Distorted Probability. Mathematical Finance, 27(1), 115-150, 2017. With Xi-Ren Cao.

 A Nonzero-Sum Game Approach to  Convertible Bonds : Tax Benefit, Bankruptcy Cost, and Early/Late Calls. Mathematical Finance, 23(1), 57-93, 2013. With Nan Chen, Min Dai.

Occupation Times of Jump-Diffusion Processes with Double-Exponential Jumps and the Pricing of Options. Mathematics of Operations Research. 35(2), 412-437, 2010. With Ning Cai, Nan Chen.

Pricing double-barrier options under a flexible jump diffusion model. Operations Research Letters 37(3), 163-167, 2009. With Ning Cai, Nan Chen. 

工作论文:

A General Framework for Portfolio Management: Reaching Goals while Avoiding Losses (2023). Available at SSRN: https://ssrn.com/abstract=3444836. With Jaksa Cvitanic, Steven Kou, Karyn Williams.

Mono-Linearity-Based Axiomatic Approach to Non-Linear Expected Utility (November 12, 2013). Available at SSRN: https://ssrn.com/abstract=2353740.  With Xi-Ren Cao.