Min Dai : Citation Profile


Are you Min Dai?

4

H index

1

i10 index

72

Citations

RESEARCH PRODUCTION:

13

Articles

2

Papers

RESEARCH ACTIVITY:

   8 years (2003 - 2011). See details.
   Cites by year: 9
   Journals where Min Dai has often published
   Relations with other researchers
   Recent citing documents: 16.    Total self citations: 6 (7.69 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pda481
   Updated: 2018-10-13    RAS profile: 2012-03-07    
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Relations with other researchers


Works with:

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

Is cited by:

Mitchell, Olivia (4)

Leung, Tim (2)

Ulm, Eric (1)

Pascucci, Andrea (1)

Puopolo, Giovanni (1)

TANKOV, PETER (1)

Siu, Tak Kuen (1)

Millossovich, Pietro (1)

Cites to:

Liu, Hong (6)

merton, robert (3)

Dybvig, Phillip (2)

Pedersen, Lasse (2)

Jagannathan, Ravi (2)

Quigley, John (2)

Huang, Jingzhi (2)

Constantinides, George (2)

Scholes, Myron (2)

Deng, Yongheng (2)

Basak, Suleyman (2)

Main data


Where Min Dai has published?


Journals with more than one article published# docs
Mathematical Finance4
Journal of Economic Dynamics and Control4
Quantitative Finance3

Working Papers Series with more than one paper published# docs
Papers / arXiv.org2

Recent works citing Min Dai (2018 and 2017)


YearTitle of citing document
2017Valuation of capital protection options. (2017). Luo, Xiaolin ; Shevchenko, Pavel V. In: Papers. RePEc:arx:papers:1508.00668.

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2017Weakly chained matrices, policy iteration, and impulse control. (2017). Azimzadeh, Parsiad ; Forsyth, Peter A. In: Papers. RePEc:arx:papers:1510.03928.

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2017Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Stochastic Interest Rate. (2017). Luo, Xiaolin ; Shevchenko, Pavel V. In: Papers. RePEc:arx:papers:1602.03238.

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2018Optimal investment and consumption with liquid and illiquid assets. (2018). Choi, Jinhyuk . In: Papers. RePEc:arx:papers:1602.06998.

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2017A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios of Variable Annuities. (2017). Jackson, Kenneth R ; Hejazi, Seyed Amir ; Gan, Guojun. In: Papers. RePEc:arx:papers:1701.04134.

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2017A note on the impact of management fees on the pricing of variable annuity guarantees. (2017). Sun, Jin ; Fung, Man Chung ; Shevchenko, Pavel V. In: Papers. RePEc:arx:papers:1705.03787.

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2018$\epsilon$-Monotone Fourier Methods for Optimal Stochastic Control in Finance. (2018). Forsyth, Peter A ; Labahn, George. In: Papers. RePEc:arx:papers:1710.08450.

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2018Closed-form solutions for valuing partial lookback options with random initiation. (2018). Kim, Geonwoo ; Jeon, Junkee . In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:321-327.

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2017Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits. (2017). Feng, Runhuan ; Jing, Xiaochen . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:36-48.

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2017Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate. (2017). Shevchenko, Pavel V ; Luo, Xiaolin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:104-117.

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2018Valuation of variable long-term care Annuities with Guaranteed Lifetime Withdrawal Benefits: A variance reduction approach. (2018). Hsieh, Ming-Hua ; Chen, Yen-Chih ; Chiu, Yu-fen ; Wang, Jennifer L. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:246-254.

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2018Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion. (2018). Li, Zhe ; Liu, Yong-Jun ; Zhang, Wei-Guo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:402-418.

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2017Watermark options. (2017). Rodosthenous, Neofytos ; Zervos, Mihail. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:67859.

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2017Watermark options. (2017). Rodosthenous, Neofytos ; Zervos, Mihail. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:1:d:10.1007_s00780-016-0319-x.

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2017Efficient willow tree method for European-style and American-style moving average barrier options pricing. (2017). Lu, Ling ; Qian, Zhehui ; Xu, Wei. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:6:p:889-906.

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2017BEHAVIORAL VALUE ADJUSTMENTS. (2017). Bissiri, Matteo ; Cogo, Riccardo. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:08:n:s0219024917500509.

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Works by Min Dai:


YearTitleTypeCited
2009Continuous-Time Markowitzs Model with Transaction Costs In: Papers.
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paper0
2009Optimal Redeeming Strategy of Stock Loans In: Papers.
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paper0
2004OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT In: Mathematical Finance.
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article0
2004QUANTO LOOKBACK OPTIONS In: Mathematical Finance.
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article1
2006CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS In: Mathematical Finance.
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article3
2008GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES In: Mathematical Finance.
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article44
2005Options with combined reset rights on strike and maturity In: Journal of Economic Dynamics and Control.
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article0
2007Intensity-based framework and penalty formulation of optimal stopping problems In: Journal of Economic Dynamics and Control.
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article8
2008Optimal multiple stopping models of reload options and shout options In: Journal of Economic Dynamics and Control.
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article3
2010A lattice algorithm for pricing moving average barrier options In: Journal of Economic Dynamics and Control.
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article4
2011Illiquidity, position limits, and optimal investment for mutual funds In: Journal of Economic Theory.
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article4
2005Optimal policies of call with notice period requirement In: Asia-Pacific Financial Markets.
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article0
2003One-state variable binomial models for European-/American-style geometric Asian options In: Quantitative Finance.
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article2
2005Valuing employee reload options under the time vesting requirement In: Quantitative Finance.
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article1
2009Pricing jump risk with utility indifference In: Quantitative Finance.
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article2

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