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Author ID: cui.zhenyu Recent zbMATH articles by "Cui, Zhenyu"
Published as: Cui, Zhenyu; Cui, Zhen-Yu
External Links: MGP
Documents Indexed: 46 Publications since 2010
Co-Authors: 39 Co-Authors with 31 Joint Publications
638 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

30 Publications have been cited 228 times in 114 Documents Cited by Year
A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps. Zbl 1403.91334
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy
30
2017
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps. Zbl 1401.91533
Kirkby, J. Lars; Nguyen, Duy; Cui, Zhenyu
28
2017
Prices and asymptotics for discrete variance swaps. Zbl 1396.91718
Bernard, Carole; Cui, Zhenyu
22
2014
Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps. Zbl 1394.91206
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy
21
2017
A general framework for time-changed Markov processes and applications. Zbl 1403.91335
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy
18
2019
A general valuation framework for SABR and stochastic local volatility models. Zbl 1410.91441
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy
17
2018
Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes. Zbl 1403.91336
Cui, Zhenyu; Lee, Chihoon; Liu, Yanchu
16
2018
On the martingale property in stochastic volatility models based on time-homogeneous diffusions. Zbl 1414.91432
Bernard, Carole; Cui, Zhenyu; McLeish, Don
11
2017
Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model. Zbl 1414.91176
Cui, Zhenyu; Feng, Runhuan; MacKay, Anne
9
2017
Continuous-time Markov chain and regime switching approximations with applications to options pricing. Zbl 1427.91295
Cui, Zhenyu; Lars Kirkby, J.; Nguyen, Duy
7
2019
Nearly exact option price simulation using characteristic functions. Zbl 1255.91425
Bernard, Carole; Cui, Zhenyu; McLeish, Don
6
2012
First hitting time of integral diffusions and applications. Zbl 1380.60073
Cui, Zhenyu; Nguyen, Duy
4
2017
Integral representation of probability density of stochastic volatility models and timer options. Zbl 1395.91436
Cui, Zhenyu; Kirkby, J. Lars; Lian, Guanghua; Nguyen, Duy
4
2017
Closed-form variance swap prices under general affine GARCH models and their continuous-time limits. Zbl 1430.91104
Badescu, Alexandru; Cui, Zhenyu; Ortega, Juan-Pablo
4
2019
Hybrid Laplace transform and finite difference methods for pricing American options under complex models. Zbl 1408.91235
Ma, Jingtang; Zhou, Zhiqiang; Cui, Zhenyu
3
2017
Impact of flexible periodic premiums on variable annuity guarantees. Zbl 1414.91165
Bernard, Carole; Cui, Zhenyu; Vanduffel, Steven
3
2017
Variance swaps valuation under non-affine GARCH models and their diffusion limits. Zbl 1420.91443
Badescu, Alexandru; Chen, Yuyu; Couch, Matthew; Cui, Zhenyu
3
2019
Nonparametric density estimation by B-spline duality. Zbl 1435.62131
Cui, Zhenyu; Kirkby, Justin Lars; Nguyen, Duy
3
2020
On the variance of single-run unbiased stochastic derivative estimators. Zbl 07290853
Cui, Zhenyu; Fu, Michael C.; Hu, Jian-Qiang; Liu, Yanchu; Peng, Yijie; Zhu, Lingjiong
3
2020
Comment on “Option pricing under the Merton model of the short rate” by Kung and Lee. Zbl 1200.91289
Cui, Zhenyu; Mcleish, Don
2
2010
A new proof of an Engelbert-Schmidt type zero-one law for time-homogeneous diffusions. Zbl 1296.60083
Cui, Zhenyu
2
2014
Stochastic areas of diffusions and applications. Zbl 1409.91132
Cui, Zhenyu; Ma, Jingtang
2
2016
A data-driven framework for consistent financial valuation and risk measurement. Zbl 07354060
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy
2
2021
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations. Zbl 07355314
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy
2
2021
Density of generalized Verhulst process and Bessel process with constant drift. Zbl 1376.60056
Cui, Zhenyu; Nguyen, Duy
1
2016
Omega diffusion risk model with surplus-dependent tax and capital injections. Zbl 1369.91080
Cui, Zhenyu; Nguyen, Duy
1
2016
Comment on “Modeling non-monotone risk aversion using SAHARA utility functions”. Zbl 1309.91051
Cui, Zhenyu
1
2014
Magnitude and speed of consecutive market crashes in a diffusion model. Zbl 1382.60065
Cui, Zhenyu; Nguyen, Duy
1
2018
Valuation of American strangles through an optimized lower-upper bound approach. Zbl 1413.91104
Ma, Jing-Tang; Li, Wen-Yuan; Cui, Zhen-Yu
1
2018
A Markov chain approximation scheme for option pricing under skew diffusions. Zbl 1466.91332
Ding, Kailin; Cui, Zhenyu; Wang, Yongjin
1
2021
A data-driven framework for consistent financial valuation and risk measurement. Zbl 07354060
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy
2
2021
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations. Zbl 07355314
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy
2
2021
A Markov chain approximation scheme for option pricing under skew diffusions. Zbl 1466.91332
Ding, Kailin; Cui, Zhenyu; Wang, Yongjin
1
2021
Nonparametric density estimation by B-spline duality. Zbl 1435.62131
Cui, Zhenyu; Kirkby, Justin Lars; Nguyen, Duy
3
2020
On the variance of single-run unbiased stochastic derivative estimators. Zbl 07290853
Cui, Zhenyu; Fu, Michael C.; Hu, Jian-Qiang; Liu, Yanchu; Peng, Yijie; Zhu, Lingjiong
3
2020
A general framework for time-changed Markov processes and applications. Zbl 1403.91335
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy
18
2019
Continuous-time Markov chain and regime switching approximations with applications to options pricing. Zbl 1427.91295
Cui, Zhenyu; Lars Kirkby, J.; Nguyen, Duy
7
2019
Closed-form variance swap prices under general affine GARCH models and their continuous-time limits. Zbl 1430.91104
Badescu, Alexandru; Cui, Zhenyu; Ortega, Juan-Pablo
4
2019
Variance swaps valuation under non-affine GARCH models and their diffusion limits. Zbl 1420.91443
Badescu, Alexandru; Chen, Yuyu; Couch, Matthew; Cui, Zhenyu
3
2019
A general valuation framework for SABR and stochastic local volatility models. Zbl 1410.91441
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy
17
2018
Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes. Zbl 1403.91336
Cui, Zhenyu; Lee, Chihoon; Liu, Yanchu
16
2018
Magnitude and speed of consecutive market crashes in a diffusion model. Zbl 1382.60065
Cui, Zhenyu; Nguyen, Duy
1
2018
Valuation of American strangles through an optimized lower-upper bound approach. Zbl 1413.91104
Ma, Jing-Tang; Li, Wen-Yuan; Cui, Zhen-Yu
1
2018
A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps. Zbl 1403.91334
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy
30
2017
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps. Zbl 1401.91533
Kirkby, J. Lars; Nguyen, Duy; Cui, Zhenyu
28
2017
Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps. Zbl 1394.91206
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy
21
2017
On the martingale property in stochastic volatility models based on time-homogeneous diffusions. Zbl 1414.91432
Bernard, Carole; Cui, Zhenyu; McLeish, Don
11
2017
Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model. Zbl 1414.91176
Cui, Zhenyu; Feng, Runhuan; MacKay, Anne
9
2017
First hitting time of integral diffusions and applications. Zbl 1380.60073
Cui, Zhenyu; Nguyen, Duy
4
2017
Integral representation of probability density of stochastic volatility models and timer options. Zbl 1395.91436
Cui, Zhenyu; Kirkby, J. Lars; Lian, Guanghua; Nguyen, Duy
4
2017
Hybrid Laplace transform and finite difference methods for pricing American options under complex models. Zbl 1408.91235
Ma, Jingtang; Zhou, Zhiqiang; Cui, Zhenyu
3
2017
Impact of flexible periodic premiums on variable annuity guarantees. Zbl 1414.91165
Bernard, Carole; Cui, Zhenyu; Vanduffel, Steven
3
2017
Stochastic areas of diffusions and applications. Zbl 1409.91132
Cui, Zhenyu; Ma, Jingtang
2
2016
Density of generalized Verhulst process and Bessel process with constant drift. Zbl 1376.60056
Cui, Zhenyu; Nguyen, Duy
1
2016
Omega diffusion risk model with surplus-dependent tax and capital injections. Zbl 1369.91080
Cui, Zhenyu; Nguyen, Duy
1
2016
Prices and asymptotics for discrete variance swaps. Zbl 1396.91718
Bernard, Carole; Cui, Zhenyu
22
2014
A new proof of an Engelbert-Schmidt type zero-one law for time-homogeneous diffusions. Zbl 1296.60083
Cui, Zhenyu
2
2014
Comment on “Modeling non-monotone risk aversion using SAHARA utility functions”. Zbl 1309.91051
Cui, Zhenyu
1
2014
Nearly exact option price simulation using characteristic functions. Zbl 1255.91425
Bernard, Carole; Cui, Zhenyu; McLeish, Don
6
2012
Comment on “Option pricing under the Merton model of the short rate” by Kung and Lee. Zbl 1200.91289
Cui, Zhenyu; Mcleish, Don
2
2010
all top 5

Cited by 176 Authors

22 Cui, Zhenyu
5 Ma, Jingtang
5 Zhu, Lingjiong
4 Yang, Ben-Zhang
3 Ahlip, Rehez
3 Bernard, Carole L.
3 Cao, Jiling
3 Huang, Nan-Jing
3 Li, Lingfei
3 Lian, Guanghua
3 Marazzina, Daniele
3 Pirjol, Dan
3 Roslan, Teh Raihana Nazirah
3 Yang, Wensheng
3 Zhang, Gongqiu
2 Badescu, Alexandru M.
2 Ballotta, Laura
2 Bégin, Jean-François
2 Cai, Ning
2 Ding, Kailin
2 Germano, Guido
2 Kim, Jeong-Hoon
2 Kirkby, Justin Lars
2 Kwok, Yue-Kuen
2 Li, Chenxu
2 Liu, Yanchu
2 Phelan, Carolyn E.
2 Rutkowski, Marek
2 Yu, Wenguang
2 Yue, Jia
2 Zhang, Wenjun
2 Zhang, Zhimin
2 Zhu, Songping
1 Abundo, Mario
1 Ai, Meiqiao
1 Alexander, Carol
1 Boyarchenko, Svetlana I.
1 Callegaro, Giorgia
1 Carr, Peter P.
1 Catalão, André
1 Chen, An
1 Chen, Yuyu
1 Chiarella, Carl
1 Choi, Jaehyuk
1 Coqueret, Guillaume
1 Corsaro, Stefania
1 Couch, Matthew
1 Criens, David
1 Czado, Claudia
1 De Gennaro Aquino, Luca
1 Deng, Guohe
1 Deng, Shijie
1 Desmettre, Sascha
1 Eberlein, Ernst W.
1 Escobar Anel, Marcos
1 Ferrari, Giorgio
1 Fiorin, Lucio
1 Fu, Michael C.
1 Fusai, Gianluca
1 Guillen, Montserrat
1 Guo, Zhidong
1 Han, Yuecai
1 He, Xinjiang
1 He, Zhijian
1 Heiny, Johannes
1 Heß, Markus
1 Hu, Yaozhong
1 Huang, Yao Tung
1 Huang, Yiming
1 Jeon, Junkee
1 Jin, Zhuo
1 Kahale, Nabil
1 Kalev, Petko S.
1 Kang, Jian-hao
1 Kawai, Reiichiro
1 Kim, See-Woo
1 Kim, Seong-Tae
1 Kou, Steven
1 Kouritzin, Michael A.
1 Kyriakou, Ioannis
1 Kyrkby, J. Lars
1 Lars Kirkby, J.
1 Lazar, Emese
1 le Courtois, Olivier
1 Lee, Chihoon
1 Lee, Jung-Kyung
1 Leobacher, Gunther
1 Levendorskiĭ, Sergeĭ Zakharovich
1 Li, Shenghong
1 Li, Shuanming
1 Li, Wenyuan
1 Ling, Zhichao
1 Liu, Allen P.
1 Liu, Guo
1 Liu, Shican
1 Lorig, Matthew J.
1 Lu, Xiaoping
1 Ma, Guiyuan
1 Mackay, Anne
1 Mamon, Rogemar S.
...and 76 more Authors
all top 5

Cited in 47 Serials

17 European Journal of Operational Research
9 Insurance Mathematics & Economics
8 International Journal of Theoretical and Applied Finance
7 Quantitative Finance
6 Journal of Computational and Applied Mathematics
5 Applied Mathematics and Computation
5 Journal of Economic Dynamics & Control
4 Applied Mathematical Finance
4 SIAM Journal on Financial Mathematics
2 Computers & Mathematics with Applications
2 Physica A
2 Operations Research Letters
2 Annals of Operations Research
2 INFORMS Journal on Computing
2 Communications in Nonlinear Science and Numerical Simulation
2 Methodology and Computing in Applied Probability
2 The ANZIAM Journal
2 Scandinavian Actuarial Journal
2 Decisions in Economics and Finance
2 Mathematics and Financial Economics
1 Advances in Applied Probability
1 Journal of Mathematical Analysis and Applications
1 Lithuanian Mathematical Journal
1 Chaos, Solitons and Fractals
1 Journal of the Korean Mathematical Society
1 Journal of Multivariate Analysis
1 Journal of Optimization Theory and Applications
1 Mathematics and Computers in Simulation
1 Operations Research
1 Statistics & Probability Letters
1 Journal of Statistical Computation and Simulation
1 Computational Statistics and Data Analysis
1 Computational and Applied Mathematics
1 Complexity
1 Electronic Journal of Probability
1 Bernoulli
1 Finance and Stochastics
1 Mathematical Finance
1 Mathematical Methods of Operations Research
1 Discrete Dynamics in Nature and Society
1 Econometric Theory
1 Discrete and Continuous Dynamical Systems. Series B
1 ASTIN Bulletin
1 International Journal of Stochastic Analysis
1 Annals of Finance
1 East Asian Journal on Applied Mathematics
1 Modern Stochastics. Theory and Applications

Citations by Year