2 citations · 2 across the 5 of their papers we have counts for
5 papers
RIDGE: An Autonomous Framework for Validation and Method Discovery in LLM-Generated Option Pricing
Liexin Cheng, Xue Cheng, Shuaiqiang Liu +1
Automated code generation is becoming an important tool in quantitative finance, where large language models can generate option pricing implementations directly from mathematical…
Fast Learning in Quantitative Finance with Extreme Learning Machine
Liexin Cheng, Xue Cheng, Shuaiqiang Liu
A critical factor in adopting machine learning for time-sensitive financial tasks is computational speed, including model training and inference. This paper demonstrates that a bro…
Joint Pricing in SPX and VIX Derivative Markets with Composite Change of Time Models
Liexin Cheng, Xue Cheng, Xianhua Peng
The Chicago Board Options Exchange Volatility Index (VIX) is calculated from SPX options and derivatives of VIX are also traded in market, which leads to the so-called ``consistent…
Understanding Short-Term Implied Volatility Dynamics: A Model-Independent Approach Beyond Stochastic Volatility
Liexin Cheng, Xue Cheng
This paper examines the short-term asymptotic behavior of the implied volatility surface, focusing on the at-the-money (ATM) skew and curvature. Rather than committing to a specifi…
CatBoost model with synthetic features in application to loan risk assessment of small businesses
Haoxue Wang, Liexin Cheng
Loan risk for small businesses has long been a complex problem worthy of exploring. Predicting the loan risk can benefit entrepreneurship by developing more jobs for the society. C…