Min Dai : Citation Profile

9

H index

9

i10 index

242

Citations

RESEARCH PRODUCTION:

28

Articles

5

Papers

1

Chapters

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   20 years (2003 - 2023). See details.
   Cites by year: 12
   Journals where Min Dai has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 9 (3.59 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pda481
   Updated: 2025-11-22    RAS profile: 2021-10-02    
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Relations with other researchers

Works with:

Wang, Neng (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Min Dai.

Is cited by:

Leung, Tim (14)

Mitchell, Olivia (4)

TANKOV, PETER (3)

Xu, Jing (3)

Milevsky, Moshe (3)

Tompaidis, Stathis (3)

Kaniel, Ron (2)

Pascucci, Andrea (2)

Hilpert, Christian (2)

Nakata, Hiroyuki (1)

Welfe, Aleksander (1)

Cites to:

merton, robert (13)

Liu, Hong (13)

Constantinides, George (9)

Davis, Steven (4)

Scholes, Myron (4)

Campbell, John (4)

Haltiwanger, John (4)

Chen, Zhiwu (3)

Faberman, Jason (3)

Basak, Suleyman (3)

Calvet, Laurent (3)

Main data

Where Min Dai has published?

Journals with more than one article published# docs
Journal of Economic Dynamics and Control9
Mathematical Finance4
Quantitative Finance4
Journal of Futures Markets2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc3
Papers / arXiv.org2

Recent works citing Min Dai (2025 and 2024)

YearTitle of citing document
2025Multivariate L\evy models: calibration and pricing. (2025). Semeraro, Patrizia ; Brandimarte, Paolo ; Amici, Giovanni ; Messeri, Francesco. In: Papers. RePEc:arx:papers:2303.13346.

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2024Equity Protection Swaps: A New Type of Investment Insurance for Holders of Superannuation Accounts. (2024). Liu, Ruyi ; Xu, Huansang. In: Papers. RePEc:arx:papers:2305.09472.

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2025Non-Concave Utility Maximization with Transaction Costs. (2023). Qian, Shuaijie ; Yang, Chen. In: Papers. RePEc:arx:papers:2307.02178.

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2024Monte Carlo Simulation for Trading Under a L\evy-Driven Mean-Reverting Framework. (2024). Leung, Tim ; Lu, Kevin W. In: Papers. RePEc:arx:papers:2309.05512.

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2024Optimal Entry and Exit with Signature in Statistical Arbitrage. (2024). Chakraborty, Prakash ; Lee, Kiseop ; Ning, Boming. In: Papers. RePEc:arx:papers:2309.16008.

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2025Machine learning methods for American-style path-dependent contracts. (2023). Pallavicini, Andrea ; Gambara, Matteo ; Livieri, Giulia. In: Papers. RePEc:arx:papers:2311.16762.

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2024On Mertons Optimal Portfolio Problem with Sporadic Bankruptcy for Isoelastic Utility. (2024). Kopeliovich, Yaacov ; Pokojovy, Michael. In: Papers. RePEc:arx:papers:2403.15923.

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2024On variable annuities with surrender charges. (2024). stabile, gabriele ; de Angelis, Tiziano ; Milazzo, Alessandro. In: Papers. RePEc:arx:papers:2405.02115.

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2025Unified Asymptotics For Investment Under Illiquidity: Transaction Costs And Search Frictions. (2024). Gang, Tae Ung ; Choi, Jinhyuk. In: Papers. RePEc:arx:papers:2407.13547.

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2025Calibrating the Heston model with deep differential networks. (2025). Morandotti, Marco ; Amici, Giovanni ; Zhang, Chen. In: Papers. RePEc:arx:papers:2407.15536.

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2025Learning to Optimally Stop Diffusion Processes, with Financial Applications. (2024). Xu, Zuo Quan ; Sun, YU ; Yu, Xun ; Dai, Min. In: Papers. RePEc:arx:papers:2408.09242.

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2025Risk-indifference Pricing of American-style Contingent Claims. (2024). Sturm, Stephan ; Kumar, Rohini ; Nasralah, Hussein ; Miller, Frederick Forrest. In: Papers. RePEc:arx:papers:2409.00095.

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2024Pricing and Hedging Strategies for Cross-Currency Equity Protection Swaps. (2024). Xu, Huansang ; Rutkowski, Marek. In: Papers. RePEc:arx:papers:2409.19387.

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2025Signature Decomposition Method Applying to Pair Trading. (2025). Guo, Zihao ; Kuang, Jiaqi ; Jin, Hanqing ; Wang, Jinghan ; Qian, Zhongmin. In: Papers. RePEc:arx:papers:2505.05332.

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2025Variable annuities: A closer look at ratchet guarantees, hybrid contract designs, and taxation. (2025). Ziveyi, Jonathan ; Dominic, Len Patrick ; Alonso-Garcia, Jennifer. In: Papers. RePEc:arx:papers:2507.07358.

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2024Insurance–finance arbitrage. (2024). Artzner, Philippe ; Schmidt, Thorsten ; Eisele, Karltheodor. In: Mathematical Finance. RePEc:bla:mathfi:v:34:y:2024:i:3:p:739-773.

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2025Untangling Illiquidity: Optimal Asset Allocation with Private Asset Classes. (2025). Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:827.

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2024Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market. (2024). Li, Lingfei ; Wu, BO. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s0165188923001938.

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2024Pairs trading with costly short-selling. (2024). Xu, Jing ; Yang, Peiquan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:168:y:2024:i:c:s0165188924001337.

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2025Optimal investment-withdrawal strategy for variable annuities under a performance fee structure. (2025). Feng, Runhuan ; Hin, Kenneth Tsz ; Jing, Xiaochen. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:170:y:2025:i:c:s0165188924001957.

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2024The role of investor sentiment and market belief in forecasting V-shaped disposition effect: Evidence from a Bayesian learning process with DSSW model. (2024). Gider, Zeynullah ; Hassan, Kabir M ; Bataineh, Hassan ; Bouteska, Ahmed. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000081.

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2024Quanto fund protection using partial lookback participation. (2024). Lee, Minha ; Ha, Hongjun ; Kim, Eunchae. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001116.

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2024An efficient and provable sequential quadratic programming method for American and swing option pricing. (2024). Huang, Weizhang ; Shen, Jinye ; Ma, Jingtang. In: European Journal of Operational Research. RePEc:eee:ejores:v:316:y:2024:i:1:p:19-35.

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2024Mutual fund tournaments: State-dependent risk taking with transaction costs. (2024). Luo, Ronghua ; Zhao, LU ; Wang, Liang. In: Emerging Markets Review. RePEc:eee:ememar:v:59:y:2024:i:c:s1566014124000141.

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2025Implied local volatility models. (2025). Li, Chenxu ; Xu, Chen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:80:y:2025:i:c:s0927539824001014.

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2024The effect of regime-switching transaction costs and cash dividends on liquidity premia. (2024). Kim, Taeyoon ; Chae, Jiwon ; Jang, Bong-Gyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001182.

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2024Foreign equity lookback options with partial monitoring. (2024). Ha, Hongjun ; Lee, Hangsuck ; Kong, Byungdoo. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007566.

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2024On the pricing of vulnerable Parisian options. (2024). Liu, Zheng ; Yao, Jing ; Qian, Linyi. In: Finance Research Letters. RePEc:eee:finlet:v:68:y:2024:i:c:s1544612324010250.

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2024Risk-neutral valuation of GLWB riders in variable annuities. (2024). Maggistro, Rosario ; Zoccolan, Ivan ; Bacinello, Anna Rita. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:114:y:2024:i:c:p:1-14.

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2024Valuation of guaranteed lifelong withdrawal benefit with the long-term care option. (2024). Chen, Shaoying ; Yang, Yang ; Zhang, Zhimin ; Cui, Zhenyu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:179-193.

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2024Multi-period portfolio choice under loss aversion with dynamic reference point in serially correlated market. (2024). Shi, Yun ; Li, Yaoming ; Xie, Jinyan ; Gao, Jianjun. In: Omega. RePEc:eee:jomega:v:127:y:2024:i:c:s0305048324000690.

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2024Valuing of timer path-dependent options. (2024). Ha, Mijin ; Yoon, Ji-Hun ; Kim, Donghyun. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:215:y:2024:i:c:p:208-227.

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2025Machine-learning regression methods for American-style path-dependent contracts. (2025). Pallavicini, Andrea ; Livieri, Giulia ; Gambara, Matteo. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:128600.

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2024Optimal trend-following rules in two-state regime-switching models. (2024). Zakamulin, Valeriy ; Giner, Javier. In: Journal of Asset Management. RePEc:pal:assmgt:v:25:y:2024:i:4:d:10.1057_s41260-024-00357-0.

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2024A financial trading system with optimized indicator setting, trading rule definition, and signal aggregation through Particle Swarm Optimization. (2024). Marchioni, Andrea ; Corazza, Marco ; Pizzi, Claudio. In: Computational Management Science. RePEc:spr:comgts:v:21:y:2024:i:1:d:10.1007_s10287-024-00506-1.

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2024Pricing of shout option in uncertain financial market. (2024). Ni, Yaodong ; Yang, Xiangfeng ; Li, Haoxuan. In: Fuzzy Optimization and Decision Making. RePEc:spr:fuzodm:v:23:y:2024:i:3:d:10.1007_s10700-024-09428-8.

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2025The complex nature of financial market microstructure: the case of a stock market crash. (2025). Booth, Geoffrey G ; Broussard, John Paul ; Shi, Feng. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:20:y:2025:i:1:d:10.1007_s11403-021-00343-4.

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2024Conditional Moment Matching and Stratified Approximation for Pricing and Hedging Periodic-Premium Variable Annuities. (2024). Gu, Xingchi ; Wei, Xiao. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:26:y:2024:i:2:d:10.1007_s11009-024-10082-1.

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2024Investment Timing and Technological Breakthroughs. (2024). Gensbittel, Fabien ; Décamps, Jean-Paul ; Mariotti, Thomas ; Decamps, Jean-Paul. In: TSE Working Papers. RePEc:tse:wpaper:125690.

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2025Closed‐Form Approximation of Stock‐Based Awards With Moving‐Average Vesting Conditions. (2025). Tsekrekos, Andrianos ; Michopoulos, Ioannis ; Bougias, Alexandros. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:6:p:497-520.

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Min Dai is editor of

Journal
Digital Finance

Works by Min Dai:

YearTitleTypeCited
2009Continuous-Time Markowitzs Model with Transaction Costs In: Papers.
[Full Text][Citation analysis]		paper1
2009Optimal Redeeming Strategy of Stock Loans In: Papers.
[Full Text][Citation analysis]		paper0
2004OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT In: Mathematical Finance.
[Full Text][Citation analysis]		article5
2004QUANTO LOOKBACK OPTIONS In: Mathematical Finance.
[Full Text][Citation analysis]		article10
2006CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS In: Mathematical Finance.
[Full Text][Citation analysis]		article11
2008GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES In: Mathematical Finance.
[Full Text][Citation analysis]		article74
2019How Does Illiquidity Affect Delegated Portfolio Choice? In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article2
2019Opaque bank assets and optimal equity capital In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article2
2005Options with combined reset rights on strike and maturity In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article2
2007Intensity-based framework and penalty formulation of optimal stopping problems In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article12
2008Optimal multiple stopping models of reload options and shout options In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article4
2010A lattice algorithm for pricing moving average barrier options In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article14
2012Leverage management in a bull–bear switching market In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article0
2015Hiring, firing, and relocation under employment protection In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article0
2015Superhedging under ratio constraint In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article1
2016Calibration of stochastic volatility models: A Tikhonov regularization approach In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article6
2011Illiquidity, position limits, and optimal investment for mutual funds In: Journal of Economic Theory.
[Full Text][Citation analysis]		article15
2016Portfolio Choice with Market Closure and Implications for Liquidity Premia In: Management Science.
[Full Text][Citation analysis]		article19
2016Optimal Trend Following Trading Rules In: Mathematics of Operations Research.
[Full Text][Citation analysis]		article13
2005Optimal policies of call with notice period requirement In: Asia-Pacific Financial Markets.
[Full Text][Citation analysis]		article0
2020A q Theory of Internal Capital Markets In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2022Dynamic Trading with Realization Utility In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2022Strategic Investment under Uncertainty with First- and Second-mover Advantages In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2015Optimal Tax Timing with Asymmetric Long-Term/Short-Term Capital Gains Tax In: The Review of Financial Studies.
[Full Text][Citation analysis]		article5
2023A Rational Theory for Disposition Effects In: Review of Economic Dynamics.
[Full Text][Citation analysis]		article2
2011Optimal Decision for Selling an Illiquid Stock In: Journal of Optimization Theory and Applications.
[Full Text][Citation analysis]		article1
2013Pricing corporate debt with finite maturity and chapter 11 proceedings In: Quantitative Finance.
[Full Text][Citation analysis]		article1
2003One-state variable binomial models for European-/American-style geometric Asian options In: Quantitative Finance.
[Full Text][Citation analysis]		article3
2005Valuing employee reload options under the time vesting requirement In: Quantitative Finance.
[Full Text][Citation analysis]		article1
2009Pricing jump risk with utility indifference In: Quantitative Finance.
[Full Text][Citation analysis]		article3
2004Knock‐in American options In: Journal of Futures Markets.
[Full Text][Citation analysis]		article8
2011Optimal arbitrage strategies on stock index futures under position limits In: Journal of Futures Markets.
[Full Text][Citation analysis]		article20
2003Options with Multiple Reset Rights In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article5
2018Interest Rate Swap Valuation in the Chinese Market In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter1

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