1 citations · 2 across the 3 of their papers we have counts for
3 papers
Improved model-free bounds for multi-asset options using option-implied information and deep learning
Evangelia Dragazi, Shuaiqiang Liu, Antonis Papapantoleon
We consider the computation of model-free bounds for multi-asset options in a setting that combines dependence uncertainty with additional information on the dependence structure.…
Optimal Market Making in the Chinese Stock Market: A Stochastic Control and Scenario Analysis
Shiqi Gong, Shuaiqiang Liu, Danny D. Sun
Market making plays a crucial role in providing liquidity and maintaining stability in financial markets, making it an essential component of well-functioning capital markets. Desp…
GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations
Shuaiqiang Liu, Graziana Colonna, Lech A. Grzelak +1
Monte Carlo simulation is widely used to numerically solve stochastic differential equations. Although the method is flexible and easy to implement, it may be slow to converge. Mor…