4 citations · 7 across the 6 of their papers we have counts for
6 papers
Algorithmic Stability of Heavy-Tailed SGD with General Loss Functions
Anant Raj, Lingjiong Zhu, Mert Gürbüzbalaban +1
Heavy-tail phenomena in stochastic gradient descent (SGD) have been reported in several empirical studies. Experimental evidence in previous works suggests a strong interplay betwe…
Sensitivities of Asian options in the Black-Scholes model
Dan Pirjol, Lingjiong Zhu
We propose analytical approximations for the sensitivities (Greeks) of the Asian options in the Black-Scholes model, following from a small maturity/volatility approximation for th…
A delayed dual risk model
Lingjiong Zhu
In this paper, we study a dual risk model with delays in the spirit of Dassios-Zhao. When a new innovation occurs, there is a delay before the innovation turns into a profit. We ob…
Short Maturity Asian Options in Local Volatility Models
Dan Pirjol, Lingjiong Zhu
We present a rigorous study of the short maturity asymptotics for Asian options with continuous-time averaging, under the assumption that the underlying asset follows a local volat…
Discrete Sums of Geometric Brownian Motions, Annuities and Asian Options
Dan Pirjol, Lingjiong Zhu
The discrete sum of geometric Brownian motions plays an important role in modeling stochastic annuities in insurance. It also plays a pivotal role in the pricing of Asian options i…
Asymptotics for a Class of Self-Exciting Point Processes
Tzu-Wei Yang, Lingjiong Zhu
In this paper, we study a class of self-exciting point processes. The intensity of the point process has a nonlinear dependence on the past history and time. When a new jump occurs…