8 citations · 8 across the 19 of their papers we have counts for
5 papers · 1 filter
Robust asset pricing and superhedging duality under model uncertainty with and without short-sale constraints
Shuzhen Yang, Wenqing Zhang
We study asset pricing and hedging under model uncertainty in discrete time and finite states. For the single-period model, we characterize no-arbitrage by the existence of strictl…
Fixed-point iterative algorithm for SVI model
Shuzhen Yang, Wenqing Zhang
The stochastic volatility inspired (SVI) model is widely used to fit the implied variance smile. Presently, most optimizer algorithms for the SVI model have a strong dependence on…
A compensatory model for quantile estimation and application to VaR
Xiaoyuan Tian, Shuzhen Yang
Unlike the standard two-step workflow of estimating a time series distribution and extracting quantiles from it, this paper proposes a compensatory model to refine quantile estimat…
Discrete time multi-period mean-variance model: Bellman type strategy and Empirical analysis
Shuzhen Yang
In this paper, we attempt to introduce the Bellman principle for a discrete time multi-period mean-variance model. Based on this new take on the Bellman principle, we obtain a dyna…
Multi-time state mean-variance model in continuous time
Shuzhen Yang
In the continuous time mean-variance model, we want to minimize the variance (risk) of the investment portfolio with a given mean at terminal time. However, the investor can stop t…