22 citations · 37 across the 10 of their papers we have counts for
11 papers
Reinforcement Learning for Jump-Diffusions, with Financial Applications
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
We study continuous-time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump-diffusion processes. We formulate an entropy-regularized e…
A General Approach for Lookback Option Pricing under Markov Models
Gongqiu Zhang, Lingfei Li
We propose a very efficient method for pricing various types of lookback options under Markov models. We utilize the model-free representations of lookback option prices as integra…
Data-driven Hedging of Stock Index Options via Deep Learning
Jie Chen, Lingfei Li
We develop deep learning models to learn the hedge ratio for S&P500 index options directly from options data. We compare different combinations of features and show that a feedforw…
A General Approach for Parisian Stopping Times under Markov Processes
Gongqiu Zhang, Lingfei Li
We propose a method based on continuous time Markov chain approximation to compute the distribution of Parisian stopping times and price Parisian options under general one-dimensio…
Simulation of Multidimensional Diffusions with Sticky Boundaries via Markov Chain Approximation
Christian Meier, Lingfei Li, Gongqiu Zhang
We develop a new simulation method for multidimensional diffusions with sticky boundaries. The challenge comes from simulating the sticky boundary behavior, for which standard meth…
A Two-Step Framework for Arbitrage-Free Prediction of the Implied Volatility Surface
Wenyong Zhang, Lingfei Li, Gongqiu Zhang
We propose a two-step framework for predicting the implied volatility surface over time without static arbitrage. In the first step, we select features to represent the surface and…
Markov Chain Approximation of One-Dimensional Sticky Diffusions
Christian Meier, Lingfei Li, Gongqiu Zhang
We develop continuous time Markov chain (CTMC) approximation of one-dimensional diffusions with a lower sticky boundary. Approximate solutions to the action of the Feynman-Kac oper…
The stability and rapid exponential stabilization of heat equation in non-cylindrical domain
Lingfei Li, Yujing Tang, Hang Gao
This paper is devoted to the study of the stability and stabilizability of heat equation in non-cylindrical domain. The interesting thing is that there is a class of initial values…
Parametric Inference for Discretely Observed Subordinate Diffusions
Weiwei Guo, Lingfei Li
Subordinate diffusions are constructed by time changing diffusion processes with an independent Lévy subordinator. This is a rich family of Markovian jump processes which exhibit a…
Evaluating Callable and Putable Bonds: An Eigenfunction Expansion Approach
Dongjae Lim, Lingfei Li, Vadim Linetsky
We propose an efficient method to evaluate callable and putable bonds under a wide class of interest rate models, including the popular short rate diffusion models, as well as thei…
Time-Changed Ornstein-Uhlenbeck Processes And Their Applications In Commodity Derivative Models
Lingfei Li, Vadim Linetsky
This paper studies subordinate Ornstein-Uhlenbeck (OU) processes, i.e., OU diffusions time changed by Lévy subordinators. We construct their sample path decomposition, show that th…