All Stories

  1. Efficient pricing and Greeks estimation for variable annuities under a multivariate OUSV model

    Article • Insurance Mathematics and Economics, March 2026, Elsevier

    Dr Zhenyu Cui

  2. A general valuation framework for rough stochastic local volatility models and applications

    Article • European Journal of Operational Research, April 2025, Elsevier

    Dr Zhenyu Cui

  3. Multi-block linearized alternating direction method for sparse fused Lasso modeling problems

    Article • Applied Mathematical Modelling, January 2025, Elsevier

    Dr Zhenyu Cui

  4. Optimal investment problem under behavioral setting: A Lagrange duality perspective

    Article • Journal of Economic Dynamics and Control, November 2023, Elsevier

    Dr Zhenyu Cui

  5. Sequential Itô–Taylor expansions and characteristic functions of stochastic volatility models

    Article • Journal of Futures Markets, August 2023, Wiley

    Dr Zhenyu Cui

  6. Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation

    Article • Quantitative Finance, June 2023, Taylor & Francis

    Dr Zhenyu Cui

  7. Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach

    Article • Journal of Futures Markets, November 2022, Wiley

    Kailin Ding, Dr Zhenyu Cui

  8. An efficient general simulation method for diffusions

    Article • ACM Transactions on Modeling and Computer Simulation, August 2022, ACM (Association for Computing Machinery)

    Kailin Ding, Dr Zhenyu Cui

  9. Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times

    Article • Probability in the Engineering and Informational Sciences, June 2022, Cambridge University Press

    Dr Zhenyu Cui

  10. Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: Option pricing and Greeks

    Article • Journal of Computational and Applied Mathematics, April 2022, Elsevier

    Dr Zhenyu Cui

  11. A new representation of the risk-neutral distribution and its applications

    Article • Quantitative Finance, January 2022, Taylor & Francis

    Dr Zhenyu Cui

  12. The opportunity cost of hedging under incomplete information: Evidence from ETF/Ns

    Article • Journal of Futures Markets, July 2021, Wiley

    Dr Zhenyu Cui

  13. CTMC integral equation method for American options under stochastic local volatility models

    Article • Journal of Economic Dynamics and Control, July 2021, Elsevier

    Dr Zhenyu Cui

  14. Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates

    Article • Mathematical Methods of Operations Research, January 2021, Springer Science + Business Media

    Dr Zhenyu Cui

  15. LAPLACE BOUNDS APPROXIMATION FOR AMERICAN OPTIONS

    Article • Probability in the Engineering and Informational Sciences, October 2020, Cambridge University Press

    Dr Zhenyu Cui

  16. Valuation of VIX and target volatility options with affine GARCH models

    Article • Journal of Futures Markets, September 2020, Wiley

    Dr Zhenyu Cui

  17. A Markov chain approximation scheme for option pricing under skew diffusions

    Article • Quantitative Finance, July 2020, Taylor & Francis

    Dr Zhenyu Cui

  18. An efficient and stable method for short maturity Asian options

    Article • Journal of Futures Markets, July 2018, Wiley

    Dr Zhenyu Cui

  19. Single-Transform Formulas for Pricing Asian Options in a General Approximation Framework under Markov Processes

    Article • European Journal of Operational Research, October 2017, Elsevier

    Dr Zhenyu Cui

  20. Valuation of American Strangles Through an Optimized Lower–Upper Bound Approach

    Article • Journal of the Operations Research Society of China, August 2017, Springer Science + Business Media

    Dr Zhenyu Cui

  21. Hybrid Laplace transform and finite difference methods for pricing American options under complex models

    Article • Computers & Mathematics with Applications, August 2017, Elsevier

    Dr Zhenyu Cui

  22. ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS

    Article • Mathematical Finance, December 2014, Wiley

    Dr Zhenyu Cui

  23. Comment on “Modeling non-monotone risk aversion using SAHARA utility functions” [J. Econ. Theory 146 (2011) 2075–2092]

    Article • Journal of Economic Theory, September 2014, Elsevier

    Dr Zhenyu Cui

  24. A new proof of an Engelbert–Schmidt type zero–one law for time-homogeneous diffusions

    Article • Statistics & Probability Letters, June 2014, Elsevier

    Dr Zhenyu Cui

  25. Convergence of the discrete variance swap in time-homogeneous diffusion models

    Article • Quantitative Finance Letters, May 2014, Taylor & Francis

    Dr Zhenyu Cui

  26. NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS

    Article • International Journal of Theoretical and Applied Finance, November 2012, World Scientific Pub Co Pte Lt

    Dr Zhenyu Cui

  27. Correction note for ‘The large-maturity smile for the Heston model’

    Article • Finance and Stochastics, August 2012, Springer Science + Business Media

    Dr Zhenyu Cui

  28. Comment on “Option pricing under the Merton model of the short rate” by Kung and Lee [Math. Comput. Simul. 80 (2009) 378–386]

    Article • Mathematics and Computers in Simulation, September 2010, Elsevier

    Dr Zhenyu Cui

  29. Omega Risk Model with Tax

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Zhenyu Cui

  30. Stochastic Areas of Diffusions and Applications in Risk Theory

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Zhenyu Cui

  31. Prices and Asymptotics for Discrete Variance Swaps

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Zhenyu Cui

  32. Nearly Exact Option Price Simulation Using Characteristic Functions

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Zhenyu Cui

  33. A Note on Exchange Options Under Stochastic Interest Rates

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Zhenyu Cui

  34. Convergence of the Discrete Variance Swap in Time-Homogeneous Diffusion Models

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Zhenyu Cui

  35. On the Martingale Property in Stochastic Volatility Models Based on Time-Homogeneous Diffusions

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Zhenyu Cui

  36. A New Proof of the Engelbert-Schmidt Zero-One Law for Time-Homogeneous Diffusions

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Zhenyu Cui

  37. Comment on 'The Large-Maturity Smile for the Heston Model'

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Zhenyu Cui

  38. Comment on 'Option Pricing Under the Merton Model of the Short Rate'

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Zhenyu Cui