10 citations · 10 across the 3 of their papers we have counts for
4 papers
Sample Recycling Method -- A New Approach to Efficient Nested Monte Carlo Simulations
Runhuan Feng, Peng Li
Nested stochastic modeling has been on the rise in many fields of the financial industry. Such modeling arises whenever certain components of a stochastic model are stochastically…
Geometric Brownian motion with affine drift and its time-integral
Runhuan Feng, Pingping Jiang, Hans Volkmer
The joint distribution of a geometric Brownian motion and its time-integral was derived in a seminal paper by Yor (1992) using Lamperti's transformation, leading to explicit soluti…
Pandemic risk management: resources contingency planning and allocation
Xiaowei Chen, Wing Fung Chong, Runhuan Feng +1
Repeated history of pandemics, such as SARS, H1N1, Ebola, Zika, and COVID-19, has shown that pandemic risk is inevitable. Extraordinary shortages of medical resources have been obs…
Conditional Asian Options
Runhuan Feng, Hans W. Volkmer
Conditional Asian options are recent market innovations, which offer cheaper and long-dated alternatives to regular Asian options. In contrast with payoffs from regular Asian optio…