Department of Financial and Actuarial Mathematics

Luo, J., Zhang, Y., Niu, Y., Luo, M., Sun, F., Tu, G., Chen, Z., Zhou, S., Gu, G., Cheng, X., Zhao, Y., Zhou, W. & Luo, Z., 20 Aug 2024, In: Medical Physics. n/a, n/a, 1 p.

Research output: Contribution to journal › Article › peer-review

Diversification's effect and manager experience on investment efficiency

Hsiao, H-F., Tang, J. & Wen, C., Mar 2024, In: Economic Analysis and Policy. 81, p. 890-900 11 p.

Research output: Contribution to journal › Article › peer-review

Empirical Study on Option Pricing under Markov Regime Switching Economics

Liu, D., Feb 2024, In: Ann. Appl. Math.. 40, p. 21-42

Research output: Contribution to journal › Article › peer-review

Open Access

Equilibrium condition-based optimization models for network-wide travel time estimation using limited observed data

Cao, S., Lam, W. H. K., Liu, K., Shao, H., Tam, M. L. & Wu, T., 31 Jan 2024, In: Transportmetrica A: Transport Science. 2304033.

Research output: Contribution to journal › Article › peer-review

Exact likelihood inference for Laplace distribution based on generalized hybrid censored samples

Zhu, X. & Balakrishnan, N., 2024, In: Communications in Statistics: Simulation and Computation. 53, 1, p. 259-272 14 p.

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Exploring Inner-Speech Recognition via Cross-Perception approach in EEG and fMRI

Qin, J., Zong, L. & Liu, F., 31 Aug 2024, In: Applied Sciences (Switzerland).

Research output: Contribution to journal › Article › peer-review

Extreme Behavior of Competing Risks with Random Sample Size

Bai, L., Hu, K., Wen, C., Tan, Z. & Ling, C., 21 Aug 2024, In: Axioms. 13, 08

Research output: Contribution to journal › Article › peer-review

Open Access

Financial uncertainty and stock market volatility

Jiang, Y., Liu, X. & Lu, Z., 2024, In: European Financial Management. 30, 3, p. 1618-1667

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Gradable ChatGPT Translation Evaluation

Jiao, H., Peng, B., Zong, L., Zhang, X. & Li, X., 2024, In: Procesamiento del Lenguaje Natural - SEPLN. 72, p. 73-85 13 p.

Research output: Contribution to journal › Article › peer-review

Green credit policy and corporate climate risk exposure

He, F., Duan, L., Cao, Y. & Wen, S., 1 May 2024, In: Energy Economics. 133, p. 107509 1 p.

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

High frequency volatility of oil futures in China: Components, modeling, and prediction

Hong, Y., Xu, X. & Yang, C., 2 Aug 2024, (E-pub ahead of print) In: Journal of Forecasting.

Research output: Contribution to journal › Article › peer-review

High frequency volatility of oil futures in China: Components, modeling and prediction

Hong, Y., Xu, X. & Yang, C., 6 Aug 2024, In: Journal of Forecasting. 2024

Research output: Contribution to journal › Article › peer-review

Implied Volatility is (almost) Past-Dependent : linear vs non-linear models

Wen, C., Zhai, J., Wang, Y. & Cao, Y., 30 Jun 2024, In: International Review of Financial Analysis. 95, Part B

Research output: Contribution to journal › Article › peer-review

Low-complexity algorithm for restless bandits with imperfect observations

Liu, K., Weber, R. & Zhang, C., 5 Sept 2024, In: Mathematical Methods of Operations Research.

Research output: Contribution to journal › Article › peer-review

LSTM-Based Coherent Mortality Forecasting for Developing Countries

Garrido, J., Shang, Y. & Xu, R., 1 Feb 2024, In: Risks. 12, 2, 24 p., 27.

Research output: Contribution to journal › Article › peer-review

Open Access

Margin trading and value relevance of earnings: Evidence from China

Zhang, X., Cao, Y. & Hao, J., Mar 2024, In: Finance Research Letters. 61, p. 104975 1 p.

Research output: Contribution to journal › Article › peer-review

Optimal dividend and capital injection control for a killed jump–diffusion process with two–sided jumps

Xu, R. & Liu, Y., 2 Feb 2024, (Submitted) In: Preprint.

Research output: Contribution to journal › Article › peer-review

Optimal ratcheting of dividends with capital injection

Wang, W., Xu, R. & Yan, K., 13 Aug 2024, In: Mathematics of Operations Research.

Research output: Contribution to journal › Article › peer-review

Open Access

Optimal stopping of the stable process with state-dependent killing

Xu, X., Watson, A. & van Schaik, K., Feb 2024, (E-pub ahead of print) In: Bernoulli.

Research output: Contribution to journal › Article

Option Pricing in The Approach of Integrating Market Risk Premium: An Application to OTM Options

Liu, D., May 2024, (Submitted) In: international journal of financial engineering.

Research output: Contribution to journal › Article › peer-review

Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean–variance mixture models

Abudurexiti, N., He, K., Hu, D., Rachev, S. T., Sayit, H. & Sun, R., May 2024, In: Annals of Operations Research. 336, 1-2, p. 945-966 22 p.

Research output: Contribution to journal › Article › peer-review

Open Access

3 Citations (Scopus)

Pricing Chinese Convertible Bonds with Learning-Based Monte Carlo Simulation Model

Zhu, J., Wen, C. & Li, R., 25 Mar 2024, In: Axioms. 13, 4, 218.

Research output: Contribution to journal › Article › peer-review

Reliability test for degradation data based on ranked set sampling

Zhang, W., Zhu, X., He, M. & Balakrishnan, N., 3 Sept 2024, In: Quality and Reliability Engineering International.

Research output: Contribution to journal › Article › peer-review

Study on Hybrid Neural Networks for Pricing Shanghai 50ETF Options

Liu, D., Jul 2024, (Submitted) In: Artificial Intelligence and Applications.

Research output: Contribution to journal › Article › peer-review

Super-replication of life-contingent options under the Black–Scholes framework

Ng, Z-A., Koh, Y-B., Loo, T-H. & Yang, H., 5 May 2024, In: Journal of Applied Probability. 15 p.

Research output: Contribution to journal › Article › peer-review

SVM-Jacobi for fitting linear combinations of exponential distributions with applications to finance and insurance

Han, X., Wei, B., Yang, H. & Zhao, Q., 25 Jul 2024, In: Applied Stochastic Models in Business and Industry. 31 p.

Research output: Contribution to journal › Article › peer-review

Tensor Decomposition-assisted Multiview Subgroup Analysis

Zhao, X., Zhou, L., Zhang, W. & Lin, H., 20 May 2024, In: Acta Mathematica Sinica, English Series.

Research output: Contribution to journal › Article › peer-review

The critical disordered pinning measure

Wei, R. & Yu, J., 5 Mar 2024, (Submitted) In: arXiv preprint: 2402.17642.

Research output: Contribution to journal › Article › peer-review

The Term Structure of Credit Default Swap Spreads and the Cross Section of Options Returns

Zhang, H., Shi, Y., Han, D., Liu, J. & Xu, Y., 2024, (Submitted) In: Journal of Futures Markets.

Research output: Contribution to journal › Article › peer-review

2023

An Asymptotic Result on Catastrophe Insurance Losses

Chen, Y. & Liu, J., 2023, (Accepted/In press) In: North American Actuarial Journal. 28, 2, p. 426-437 12 p.

Research output: Contribution to journal › Article › peer-review

An Empirical Analysis of the Effects of Energy Price Shocks for Sustainable Energy on the Macro-Economy of South Asian Countries

Karn, A. L., 2023, In: Energies. 16, 1

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

A novel model of the continual reassessment method in Phase I trial

Zhang, W., Lei, W. & Zhu, X., Mar 2023, (E-pub ahead of print) In: Scientific Reports. 13, 1, 5047.

Research output: Contribution to journal › Article › peer-review

Open Access

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Are Hybrid Neural Networks Promising Tools for Chinese Options?

Liu, D., 2023, (Submitted) In: Journal of Systems Science and Information.

Research output: Contribution to journal › Article › peer-review

A Survey of Systemic Risk in Banking Industry

Xie, D., Zhao, C. & Chen, Z., 10 Jul 2023, (Accepted/In press) In: International Journal of Electronic Finance.

Research output: Contribution to journal › Article › peer-review

A VAR-based factor decomposition to the term structure of treasury bonds

Zhao, M., Xie, D., Edwards, D. A. & Liu, Y., 17 Jan 2023, In: International Journal of Monetary Economics and Finance. 15, 6, p. 585-613 29 p.

Research output: Contribution to journal › Article › peer-review

Bayesian Mixture Copula Estimation and Selection with Applications

Liu, Y., Xie, D. & Yu, S., 15 Jun 2023, In: Analytics. 2, 2, p. 530-545 16 p.

Research output: Contribution to journal › Article › peer-review

Confluent Vandermonde with Arnoldi

Niu, Q., Zhang, H. & Zhou, Y., Jan 2023, In: Applied Mathematics Letters. 135, 108420.

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Correcting estimation bias in regime switching dynamic term structure models

Cho, S. & Liu, L., Oct 2023, In: Review of Quantitative Finance and Accounting. 61, 3, p. 1093-1127 35 p.

Research output: Contribution to journal › Article › peer-review

Correlation-based investment strategies: A comparison between Chinese and US stock markets

Zhang, Z., Xing, R., Liu, J. & Shao, Y., Dec 2023, In: Pacific Basin Finance Journal. 82, 102167.

Research output: Contribution to journal › Article › peer-review

Open Access

Customer centric hybrid recommendation system for E-Commerce applications by integrating hybrid sentiment analysis

Karn, A. L., 29 Mar 2023, In: Electronic Commerce Research.

Research output: Contribution to journal › Article › peer-review

64 Citations (Scopus)

Does machine learning help private sectors to alarm crises? Evidence from China's currency market

Wang, P. & Zong, L., 1 Feb 2023, In: Physica A: Statistical Mechanics and its Applications. 611, 128470.

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

How does investor sentiment impact stock volatility? New evidence from Shanghai A-shares market

Xie, D., Cui, Y. & Liu, Y., 6 Feb 2023, In: China Finance Review International. 13, 1, p. 1-19 20 p.

Research output: Contribution to journal › Article › peer-review

17 Citations (Scopus)

Department of Financial and Actuarial Mathematics

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