Edit Profile (opens in new tab) Cui, Zhenyu Compute Distance To: Compute Author ID: 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 all top 5 Co-Authors 2 single-authored 6 Ma, Jingtang 5 Bernard, Carole L. 5 Zhu, Lingjiong 4 Liu, Yanchu 4 McLeish, Donald L. 3 Lee, Chihoon 3 Yang, Wensheng 2 Badescu, Alexandru M. 2 Fu, Michael C. 2 Peng, Yijie 2 Zhu, Yunfan 1 Boyarchenko, Svetlana I. 1 Chen, Yuyu 1 Couch, Matthew 1 Deng, Jun 1 Ding, Kailin 1 Feng, Qi 1 Feng, Runhuan 1 Forde, Martin 1 Hu, Ruimeng 1 Jacquier, Antoine 1 Kirkby, Justin Lars 1 Kyrkby, J. Lars 1 Lars Kirkby, J. 1 Lenkey, Stephen L. 1 Levendorskiĭ, Sergeĭ Zakharovich 1 Li, Wenyuan 1 Lian, Guanghua 1 Mackay, Anne 1 Mijatović, Aleksandar 1 Ortega, Juan-Pablo 1 Park, Hyungbin 1 Qian, Wenhan 1 Vanduffel, Steven 1 Wang, Ruodu 1 Wang, Yongjin 1 Xie, Jingui 1 Zhou, Zhiqiang 1 Zou, Bin all top 5 Serials 6 European Journal of Operational Research 3 Operations Research Letters 3 International Journal of Theoretical and Applied Finance 3 Quantitative Finance 2 Insurance Mathematics & Economics 2 Statistics & Probability Letters 2 Journal of Economic Dynamics & Control 2 North American Actuarial Journal 1 Computers & Mathematics with Applications 1 Journal of Mathematical Analysis and Applications 1 Lithuanian Mathematical Journal 1 Wave Motion 1 Journal of Computational and Applied Mathematics 1 Journal of Economic Theory 1 Mathematics and Computers in Simulation 1 Siberian Mathematical Journal 1 Annals of Operations Research 1 Economics Letters 1 Applied Mathematical Finance 1 INFORMS Journal on Computing 1 Finance and Stochastics 1 Mathematical Finance 1 Mathematical Methods of Operations Research 1 Methodology and Computing in Applied Probability 1 Econometric Theory 1 Stochastic Models 1 Journal of University of Science and Technology of China 1 Mathematics and Financial Economics 1 SIAM Journal on Financial Mathematics 1 Journal of the Operations Research Society of China all top 5 Fields 34 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 23 Probability theory and stochastic processes (60-XX) 8 Numerical analysis (65-XX) 6 Operations research, mathematical programming (90-XX) 5 Statistics (62-XX) 2 Integral transforms, operational calculus (44-XX) 1 Partial differential equations (35-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Fluid mechanics (76-XX) 1 Biology and other natural sciences (92-XX) 1 Systems theory; control (93-XX) Publications by Year all cited Publications top 5 cited Publications 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 1403.91334Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy 30 2017 A unified approach to Bermudan and barrier options under stochastic volatility models with jumps. Zbl 1401.91533Kirkby, J. Lars; Nguyen, Duy; Cui, Zhenyu 28 2017 Prices and asymptotics for discrete variance swaps. Zbl 1396.91718Bernard, Carole; Cui, Zhenyu 22 2014 Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps. Zbl 1394.91206Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy 21 2017 A general framework for time-changed Markov processes and applications. Zbl 1403.91335Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy 18 2019 A general valuation framework for SABR and stochastic local volatility models. Zbl 1410.91441Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy 17 2018 Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes. Zbl 1403.91336Cui, Zhenyu; Lee, Chihoon; Liu, Yanchu 16 2018 On the martingale property in stochastic volatility models based on time-homogeneous diffusions. Zbl 1414.91432Bernard, Carole; Cui, Zhenyu; McLeish, Don 11 2017 Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model. Zbl 1414.91176Cui, Zhenyu; Feng, Runhuan; MacKay, Anne 9 2017 Continuous-time Markov chain and regime switching approximations with applications to options pricing. Zbl 1427.91295Cui, Zhenyu; Lars Kirkby, J.; Nguyen, Duy 7 2019 Nearly exact option price simulation using characteristic functions. Zbl 1255.91425Bernard, Carole; Cui, Zhenyu; McLeish, Don 6 2012 First hitting time of integral diffusions and applications. Zbl 1380.60073Cui, Zhenyu; Nguyen, Duy 4 2017 Integral representation of probability density of stochastic volatility models and timer options. Zbl 1395.91436Cui, 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 1430.91104Badescu, Alexandru; Cui, Zhenyu; Ortega, Juan-Pablo 4 2019 Hybrid Laplace transform and finite difference methods for pricing American options under complex models. Zbl 1408.91235Ma, Jingtang; Zhou, Zhiqiang; Cui, Zhenyu 3 2017 Impact of flexible periodic premiums on variable annuity guarantees. Zbl 1414.91165Bernard, Carole; Cui, Zhenyu; Vanduffel, Steven 3 2017 Variance swaps valuation under non-affine GARCH models and their diffusion limits. Zbl 1420.91443Badescu, Alexandru; Chen, Yuyu; Couch, Matthew; Cui, Zhenyu 3 2019 Nonparametric density estimation by B-spline duality. Zbl 1435.62131Cui, Zhenyu; Kirkby, Justin Lars; Nguyen, Duy 3 2020 On the variance of single-run unbiased stochastic derivative estimators. Zbl 07290853Cui, 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 1200.91289Cui, Zhenyu; Mcleish, Don 2 2010 A new proof of an Engelbert-Schmidt type zero-one law for time-homogeneous diffusions. Zbl 1296.60083Cui, Zhenyu 2 2014 Stochastic areas of diffusions and applications. Zbl 1409.91132Cui, Zhenyu; Ma, Jingtang 2 2016 A data-driven framework for consistent financial valuation and risk measurement. Zbl 07354060Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy 2 2021 Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations. Zbl 07355314Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy 2 2021 Density of generalized Verhulst process and Bessel process with constant drift. Zbl 1376.60056Cui, Zhenyu; Nguyen, Duy 1 2016 Omega diffusion risk model with surplus-dependent tax and capital injections. Zbl 1369.91080Cui, Zhenyu; Nguyen, Duy 1 2016 Comment on “Modeling non-monotone risk aversion using SAHARA utility functions”. Zbl 1309.91051Cui, Zhenyu 1 2014 Magnitude and speed of consecutive market crashes in a diffusion model. Zbl 1382.60065Cui, Zhenyu; Nguyen, Duy 1 2018 Valuation of American strangles through an optimized lower-upper bound approach. Zbl 1413.91104Ma, Jing-Tang; Li, Wen-Yuan; Cui, Zhen-Yu 1 2018 A Markov chain approximation scheme for option pricing under skew diffusions. Zbl 1466.91332Ding, Kailin; Cui, Zhenyu; Wang, Yongjin 1 2021 A data-driven framework for consistent financial valuation and risk measurement. Zbl 07354060Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy 2 2021 Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations. Zbl 07355314Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy 2 2021 A Markov chain approximation scheme for option pricing under skew diffusions. Zbl 1466.91332Ding, Kailin; Cui, Zhenyu; Wang, Yongjin 1 2021 Nonparametric density estimation by B-spline duality. Zbl 1435.62131Cui, Zhenyu; Kirkby, Justin Lars; Nguyen, Duy 3 2020 On the variance of single-run unbiased stochastic derivative estimators. Zbl 07290853Cui, 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 1403.91335Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy 18 2019 Continuous-time Markov chain and regime switching approximations with applications to options pricing. Zbl 1427.91295Cui, Zhenyu; Lars Kirkby, J.; Nguyen, Duy 7 2019 Closed-form variance swap prices under general affine GARCH models and their continuous-time limits. Zbl 1430.91104Badescu, Alexandru; Cui, Zhenyu; Ortega, Juan-Pablo 4 2019 Variance swaps valuation under non-affine GARCH models and their diffusion limits. Zbl 1420.91443Badescu, Alexandru; Chen, Yuyu; Couch, Matthew; Cui, Zhenyu 3 2019 A general valuation framework for SABR and stochastic local volatility models. Zbl 1410.91441Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy 17 2018 Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes. Zbl 1403.91336Cui, Zhenyu; Lee, Chihoon; Liu, Yanchu 16 2018 Magnitude and speed of consecutive market crashes in a diffusion model. Zbl 1382.60065Cui, Zhenyu; Nguyen, Duy 1 2018 Valuation of American strangles through an optimized lower-upper bound approach. Zbl 1413.91104Ma, 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 1403.91334Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy 30 2017 A unified approach to Bermudan and barrier options under stochastic volatility models with jumps. Zbl 1401.91533Kirkby, 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 1394.91206Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy 21 2017 On the martingale property in stochastic volatility models based on time-homogeneous diffusions. Zbl 1414.91432Bernard, Carole; Cui, Zhenyu; McLeish, Don 11 2017 Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model. Zbl 1414.91176Cui, Zhenyu; Feng, Runhuan; MacKay, Anne 9 2017 First hitting time of integral diffusions and applications. Zbl 1380.60073Cui, Zhenyu; Nguyen, Duy 4 2017 Integral representation of probability density of stochastic volatility models and timer options. Zbl 1395.91436Cui, 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 1408.91235Ma, Jingtang; Zhou, Zhiqiang; Cui, Zhenyu 3 2017 Impact of flexible periodic premiums on variable annuity guarantees. Zbl 1414.91165Bernard, Carole; Cui, Zhenyu; Vanduffel, Steven 3 2017 Stochastic areas of diffusions and applications. Zbl 1409.91132Cui, Zhenyu; Ma, Jingtang 2 2016 Density of generalized Verhulst process and Bessel process with constant drift. Zbl 1376.60056Cui, Zhenyu; Nguyen, Duy 1 2016 Omega diffusion risk model with surplus-dependent tax and capital injections. Zbl 1369.91080Cui, Zhenyu; Nguyen, Duy 1 2016 Prices and asymptotics for discrete variance swaps. Zbl 1396.91718Bernard, Carole; Cui, Zhenyu 22 2014 A new proof of an Engelbert-Schmidt type zero-one law for time-homogeneous diffusions. Zbl 1296.60083Cui, Zhenyu 2 2014 Comment on “Modeling non-monotone risk aversion using SAHARA utility functions”. Zbl 1309.91051Cui, Zhenyu 1 2014 Nearly exact option price simulation using characteristic functions. Zbl 1255.91425Bernard, Carole; Cui, Zhenyu; McLeish, Don 6 2012 Comment on “Option pricing under the Merton model of the short rate” by Kung and Lee. Zbl 1200.91289Cui, Zhenyu; Mcleish, Don 2 2010 all cited Publications top 5 cited Publications 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 all top 5 Cited in 14 Fields 88 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 55 Probability theory and stochastic processes (60-XX) 16 Numerical analysis (65-XX) 13 Operations research, mathematical programming (90-XX) 9 Statistics (62-XX) 5 Partial differential equations (35-XX) 5 Systems theory; control (93-XX) 3 Statistical mechanics, structure of matter (82-XX) 2 Integral transforms, operational calculus (44-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 1 Real functions (26-XX) 1 Ordinary differential equations (34-XX) 1 Approximations and expansions (41-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) Citations by Year