2 citations · 3 across the 11 of their papers we have counts for
13 papers
Continuous Q-Score Matching: Diffusion Guided Reinforcement Learning for Continuous-Time Control
Chengxiu Hua, Jiawen Gu, Yushun Tang
Reinforcement learning (RL) has achieved significant success across a wide range of domains, however, most existing methods are formulated in discrete time. In this work, we introd…
Exploratory Utility Maximization Problem with Tsallis Entropy
Chen Ziyi, Gu Jia-wen
We study expected utility maximization problem with constant relative risk aversion utility function in a complete market under the reinforcement learning framework. To induce expl…
Optimal Liquidation Problems in a Randomly-Terminated Horizon
Qing-Qing Yang, Wai-Ki Ching, Jia-Wen Gu +1
In this paper, we study optimal liquidation problems in a randomly-terminated horizon. We consider the liquidation of a large single-asset portfolio with the aim of minimizing a co…
Generalized Optimal Liquidation Problems Across Multiple Trading Venues
Qing-Qing Yang, Wai-Ki Ching, Jia-Wen Gu +1
In this paper, we generalize the Almgren-Chriss's market impact model to a more realistic and flexible framework and employ it to derive and analyze some aspects of optimal liquida…
Interacting Default Intensity with Hidden Markov Process
Feng-Hui Yu, Wai-Ki Ching, Jia-Wen Gu +1
In this paper we consider a reduced-form intensity-based credit risk model with a hidden Markov state process. A filtering method is proposed for extracting the underlying state gi…
Trading Strategy with Stochastic Volatility in a Limit Order Book Market
Wai-Ki Ching, Jia-Wen Gu, Tak-Kuen Siu +1
In this paper, we employ the Heston stochastic volatility model to describe the stock's volatility and apply the model to derive and analyze the optimal trading strategies for deal…
On Optimal Pricing Model for Multiple Dealers in a Competitive Market
Wai-Ki Ching, Jia-Wen Gu, Qing-Qing Yang +1
In this paper, the optimal pricing strategy in Avellande-Stoikov's for a monopolistic dealer is extended to a general situation where multiple dealers are present in a competitive…
Optimal Portfolio Liquidation and Dynamic Mean-variance Criterion
Jia-Wen Gu, Mogens Steffensen
In this paper, we consider the optimal portfolio liquidation problem under the dynamic mean-variance criterion and derive time-consistent solutions in three important models. We gi…
On Correlated Defaults and Incomplete Information
Wai-Ki Ching, Jia-Wen Gu, Harry Zheng
In this paper, we study a continuous time structural asset value model for two correlated firms using a two-dimensional Brownian motion. We consider the situation of incomplete inf…
On Modeling Economic Default Time: A Reduced-Form Model Approach
Jia-Wen Gu, Bo Jiang, Wai-Ki Ching +1
In the aftermath of the global financial crisis, much attention has been paid to investigating the appropriateness of the current practice of default risk modeling in banking, fina…
On Infectious Model for Dependent Defaults
Jia-Wen Gu, Wai-Ki Ching, Tak-Kuen Siu +1
In this paper, we propose a two-sector Markovian infectious model, which is an extension of Greenwood's model. The central idea of this model is that the causality of defaults of t…
On Reduced Form Intensity-based Model with Trigger Events
Jia-Wen Gu, Wai-Ki Ching, Tak-Kuen Siu +1
Corporate defaults may be triggered by some major market news or events such as financial crises or collapses of major banks or financial institutions. With a view to develop a mor…
On Pricing Basket Credit Default Swaps
Jia-Wen Gu, Wai-Ki Ching, Tak-Kuen Siu +1
In this paper we propose a simple and efficient method to compute the ordered default time distributions in both the homogeneous case and the two-group heterogeneous case under the…