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Analytical Expressions to Counterparty Credit Risk Exposures for Interest Rate Derivatives 期刊论文
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2022, 卷号: 38, 期号: 2, 页码: 254-270
Authors:  Li, Shuang;  Peng, Cheng;  Bao, Ying;  Zhao, Yan-long;  Cao, Zhen
Favorite  |  View/Download:2/0  |  Submit date:2022/06/21
forward rate agreement  counterparty credit risk  expected exposure  potential future exposure  
Sample average approximation of CVaR-based hedging problem with a deep-learning solution 期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2021, 卷号: 56, 页码: 14
Authors:  Peng, Cheng;  Li, Shuang;  Zhao, Yanlong;  Bao, Ying
Favorite  |  View/Download:38/0  |  Submit date:2021/04/26
Conditional Value-at-Risk  Hedging strategies  Deep learning  Theoretical guarantee  Sample average approximation  Uniform convergence  
Explicit expressions to counterparty credit exposures for Forward and European Option 期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2020, 卷号: 52, 页码: 14
Authors:  Li, Shuang;  Peng, Cheng;  Bao, Ying;  Zhao, Yanlong
Favorite  |  View/Download:39/0  |  Submit date:2020/05/24
Counterparty credit exposure  Explicit expressions  Forward  European Option  
Arbitrage-free conditions for implied volatility surface by Delta 期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2019, 卷号: 48, 页码: 819-834
Authors:  Wang, Ximei;  Zhao, Yanlong;  Bao, Ying
Favorite  |  View/Download:51/0  |  Submit date:2020/01/10
Implied volatility surface  Foreign exchange market  Arbitrage-free condition  Deltas  
基于局部波动率模型的上证50etf期权定价研究 期刊论文
系统工程理论与实践, 2019, 页码: 2487-2501
Authors:  王西梅;  赵延龙;  史若诗;  包莹
Favorite  |  View/Download:41/0  |  Submit date:2020/05/24
基于择券和择时的国债期货定价 期刊论文
系统科学与数学, 2019, 卷号: 039, 期号: 003, 页码: 341
Authors:  李爽;  包莹;  彭程;  赵延龙
Favorite  |  View/Download:46/0  |  Submit date:2020/01/10
外汇欧式期权在市场不完备下的对冲误差分析 期刊论文
系统工程理论与实践, 2019, 卷号: 39.0, 期号: 011, 页码: 2739-2749
Authors:  彭程;  李爽;  包莹;  赵延龙
Favorite  |  View/Download:37/0  |  Submit date:2021/01/14
外汇欧式期权  Delta对冲  对冲误差  摩擦系数  
Parameter estimates of Heston stochastic volatility model with MLE and consistent EKF algorithm 期刊论文
SCIENCE CHINA-INFORMATION SCIENCES, 2018, 卷号: 61, 期号: 4, 页码: 17
Authors:  Wang, Ximei;  He, Xingkang;  Bao, Ying;  Zhao, Yanlong
Favorite  |  View/Download:61/0  |  Submit date:2018/07/30
Heston model  stochastic volatility model  parameter estimation  normal maximum likelihood estimation  pseudo maximum likelihood estimation  consistent extended Kalman filter  
parameterestimatesofhestonstochasticvolatilitymodelwithmleandconsistentekfalgorithm 期刊论文
sciencechinainformationscience, 2018, 卷号: 61, 期号: 4, 页码: 17
Authors:  Wang Ximei;  He Xingkang;  Bao Ying;  Zhao Yanlong
Favorite  |  View/Download:47/0  |  Submit date:2020/01/10
两种万维网搜索算法的比较 期刊论文
应用数学学报, 2005, 卷号: 028, 期号: 004, 页码: 577
Authors:  朱子虎;  包莹
Favorite  |  View/Download:13/0  |  Submit date:2020/01/10