Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?
Published in European Journal of Operational Research, 2021
Posts by Collection
publications
Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data
Published in Journal of Empirical Finance, 2021
Financial uncertainty shocks and systemic risk: Revealing the risk spillover from the oil market to the stock market
Published in Applied Energy, 2025
Valuation of American options in ambiguous multifactor models
Published in SSRN, 2025
Revise and Resubmit in Quantitative Finance
A computational toolbox for evaluating commodity project investments under ambiguity
Published in SSRN, 2025
On the predictive power of food commodity futures prices in forecasting inflation
Published in Quantitative Finance, 2025
Efficient Valuation of Aluminium TAPOs under Jump-diffusion Dynamics with Stochastic Liquidity Risk
Published in SSRN, 2025
Numerical approximation of RBSDEs via regularization
Published in Preprint available soon, 2025
Robust valuation and optimal harvesting of forestry investments under catastrophe risk and parameter uncertainty
Published in European Journal of Operational Research, 2025
In Press
teaching
2014 Spring Teaching 1
, , 1900
title: “FEG402 Introductory Mathematical Finance” collection: teaching type: “Undergraduate course” venue: “School of Finance, Southwestern University of Finance and Economics” date: 2021-01-01
Teaching experience 2
Workshop, University 1, Department, 2015
This is a description of a teaching experience. You can use markdown like any other post.