8
H index
8
i10 index
219
Citations
| 8 H index 8 i10 index 219 Citations RESEARCH PRODUCTION: 27 Articles 5 Papers 1 Chapters EDITOR: Series edited RESEARCH ACTIVITY: 20 years (2003 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pda481 |
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: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Economic Dynamics and Control | 9 |
Mathematical Finance | 4 |
Quantitative Finance | 4 |
Working Papers Series with more than one paper published | # docs |
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NBER Working Papers / National Bureau of Economic Research, Inc | 3 |
Papers / arXiv.org | 2 |
Year | Title of citing document |
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2023 | On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy. (2021). Zhou, Xiaowen ; Yu, Xiang ; Wang, Wenyuan. In: Papers. RePEc:arx:papers:2108.01800. Full description at Econpapers || Download paper |
2023 | Valuation of general GMWB annuities in a low interest rate environment. (2022). Rotondi, Francesco ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2208.10183. Full description at Econpapers || Download paper |
2023 | Duality in optimal consumption--investment problems with alternative data. (2022). Wong, Hoi Ying ; Chen, Kexin. In: Papers. RePEc:arx:papers:2210.08422. Full description at Econpapers || Download paper |
2023 | Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors. (2023). Brauner, Claude-Michel ; Liang, Jin ; Dong, Yuchao. In: Papers. RePEc:arx:papers:2301.10898. Full description at Econpapers || Download paper |
2023 | Multivariate L\evy Models: Calibration and Pricing. (2023). Semeraro, Patrizia ; Messeri, Francesco ; Brandimarte, Paolo ; Amici, Giovanni. In: Papers. RePEc:arx:papers:2303.13346. Full description at Econpapers || Download paper |
2024 | Equity Protection Swaps: An New Type of Insurance for Superannuation. (2023). Liu, Ruyi ; Xu, Huansang. In: Papers. RePEc:arx:papers:2305.09472. Full description at Econpapers || Download paper |
2023 | Non-Concave Utility Maximization with Transaction Costs. (2023). Yang, Chen ; Qian, Shuaijie. In: Papers. RePEc:arx:papers:2307.02178. Full description at Econpapers || Download paper |
2023 | New general dependence measures: construction, estimation and application to high-frequency stock returns. (2023). Leeuwenkamp, Aleksy ; Hu, Wentao. In: Papers. RePEc:arx:papers:2309.00025. Full description at Econpapers || Download paper |
2024 | Monte Carlo Simulation for Trading Under a L\evy-Driven Mean-Reverting Framework. (2023). Lu, Kevin W ; Leung, Tim. In: Papers. RePEc:arx:papers:2309.05512. Full description at Econpapers || Download paper |
2023 | A Problem of Finite-Horizon Optimal Switching and Stochastic Control for Utility Maximization. (2023). Jeon, Junkee ; Yang, Zhou. In: Papers. RePEc:arx:papers:2309.12588. Full description at Econpapers || Download paper |
2024 | Optimal Entry and Exit with Signature in Statistical Arbitrage. (2023). Lee, Kiseop ; Chakraborty, Prakash ; Ning, Boming. In: Papers. RePEc:arx:papers:2309.16008. Full description at Econpapers || Download paper |
2023 | A semi-Lagrangian $\epsilon$-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate. (2023). Dang, Duy-Minh ; Lu, Yaowen. In: Papers. RePEc:arx:papers:2310.00606. Full description at Econpapers || Download paper |
2023 | Machine learning methods for American-style path-dependent contracts. (2023). Livieri, Giulia ; Gambara, Matteo ; Pallavicini, Andrea. In: Papers. RePEc:arx:papers:2311.16762. Full description at Econpapers || Download paper |
2024 | On Mertons Optimal Portfolio Problem under Sporadic Bankruptcy. (2024). Pokojovy, Michael ; Kopeliovich, Yaacov. In: Papers. RePEc:arx:papers:2403.15923. Full description at Econpapers || Download paper |
2024 | On variable annuities with surrender charges. (2024). Stabile, Gabriele ; Milazzo, Alessandro ; de Angelis, Tiziano. In: Papers. RePEc:arx:papers:2405.02115. Full description at Econpapers || Download paper |
2023 | High?water mark fee structure in variable annuities. (2021). Li, Dongchen ; Landriault, David ; Wang, Yumin. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:88:y:2021:i:4:p:1057-1094. Full description at Econpapers || Download paper |
2023 | Cheaper by the bundle: The interaction of frictions and option exercise in variable annuities. (2023). Moenig, Thorsten ; Bauer, Daniel. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:459-486. Full description at Econpapers || Download paper |
2024 | Reinforcement 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. Full description at Econpapers || Download paper |
2023 | Partial quanto lookback options. (2023). Lee, Minha ; Ha, Hongjun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002066. Full description at Econpapers || Download paper |
2024 | The role of investor sentiment and market belief in forecasting V-shaped disposition effect: Evidence from a Bayesian learning process with DSSW model. (2024). Bataineh, Hassan ; Gider, Zeynullah ; Hassan, Kabir M ; Bouteska, Ahmed. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000081. Full description at Econpapers || Download paper |
2023 | Pandemic portfolio choice. (2023). Weiss, Farina ; Kraft, Holger. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:1:p:451-462. Full description at Econpapers || Download paper |
2023 | Surrender contagion in life insurance. (2023). Schaefer, Mick ; Lavasani, Aidin Miri ; Hilpert, Christian ; Cheng, Chunli. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:3:p:1465-1479. Full description at Econpapers || Download paper |
2024 | An efficient and provable sequential quadratic programming method for American and swing option pricing. (2024). Ma, Jingtang ; Huang, Weizhang ; Shen, Jinye. In: European Journal of Operational Research. RePEc:eee:ejores:v:316:y:2024:i:1:p:19-35. Full description at Econpapers || Download paper |
2024 | Mutual fund tournaments: State-dependent risk taking with transaction costs. (2024). Luo, Ronghua ; Wang, Liang ; Zhao, LU. In: Emerging Markets Review. RePEc:eee:ememar:v:59:y:2024:i:c:s1566014124000141. Full description at Econpapers || Download paper |
2023 | Optimal trend-following with transaction costs. (2023). Giner, Javier ; Zakamulin, Valeriy. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004441. Full description at Econpapers || Download paper |
2024 | The effect of regime-switching transaction costs and cash dividends on liquidity premia. (2024). Kim, Taeyoon ; Jang, Bong-Gyu ; Chae, Jiwon. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001182. Full description at Econpapers || Download paper |
2023 | The GMWB guarantee embedded in Life Insurance Contracts: Fair Value Pricing Problem. (2023). Abid, Ilyes ; Naoui, Kamel ; Hamdi, Haykel ; Mrad, Fatma. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005062. Full description at Econpapers || Download paper |
2023 | Portfolio choice with illiquid asset for a loss-averse pension fund investor. (2023). Zeng, Yan ; Li, Zhongfei ; Chen, Zheng. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:60-83. Full description at Econpapers || Download paper |
2023 | Valuation of general GMWB annuities in a low interest rate environment. (2023). Rotondi, Francesco ; Fontana, Claudio. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:112:y:2023:i:c:p:142-167. Full description at Econpapers || Download paper |
2024 | Risk-neutral valuation of GLWB riders in variable annuities. (2024). Zoccolan, Ivan ; Maggistro, Rosario ; Bacinello, Anna Rita. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:114:y:2024:i:c:p:1-14. Full description at Econpapers || Download paper |
2024 | Valuing of timer path-dependent options. (2024). Yoon, Ji-Hun ; Kim, Donghyun ; Ha, Mijin. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:215:y:2024:i:c:p:208-227. Full description at Econpapers || Download paper |
2023 | Shot-noise cojumps: exact simulation and option pricing. (2023). Zhao, Hongbiao ; Dassios, Angelos ; Qu, Yan. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:111537. Full description at Econpapers || Download paper |
2023 | Micro-Prudential Regulation and Loan Monitoring. (2023). Nakata, Hiroyuki ; Instefjord, Norvald. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:63:y:2023:i:3:d:10.1007_s10693-021-00376-7. Full description at Econpapers || Download paper |
2023 | Hedging longevity risk in defined contribution pension schemes. (2023). Wang, Yongjie ; Ewald, Christian-Oliver ; Agarwal, Ankush. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00440-8. Full description at Econpapers || Download paper |
Journal | |
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Digital Finance |
Year | Title | Type | Cited |
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2009 | Continuous-Time Markowitzs Model with Transaction Costs In: Papers. [Full Text][Citation analysis] | paper | 1 |
2009 | Optimal Redeeming Strategy of Stock Loans In: Papers. [Full Text][Citation analysis] | paper | 0 |
2004 | OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT In: Mathematical Finance. [Full Text][Citation analysis] | article | 5 |
2004 | QUANTO LOOKBACK OPTIONS In: Mathematical Finance. [Full Text][Citation analysis] | article | 8 |
2006 | CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS In: Mathematical Finance. [Full Text][Citation analysis] | article | 11 |
2008 | GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES In: Mathematical Finance. [Full Text][Citation analysis] | article | 70 |
2019 | How Does Illiquidity Affect Delegated Portfolio Choice? In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 2 |
2019 | Opaque bank assets and optimal equity capital In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 2 |
2005 | Options with combined reset rights on strike and maturity In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 2 |
2007 | Intensity-based framework and penalty formulation of optimal stopping problems In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 12 |
2008 | Optimal multiple stopping models of reload options and shout options In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 4 |
2010 | A lattice algorithm for pricing moving average barrier options In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 12 |
2012 | Leverage management in a bull–bear switching market In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 0 |
2015 | Hiring, firing, and relocation under employment protection In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 0 |
2015 | Superhedging under ratio constraint In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 1 |
2016 | Calibration of stochastic volatility models: A Tikhonov regularization approach In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 5 |
2011 | Illiquidity, position limits, and optimal investment for mutual funds In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 14 |
2016 | Portfolio Choice with Market Closure and Implications for Liquidity Premia In: Management Science. [Full Text][Citation analysis] | article | 18 |
2016 | Optimal Trend Following Trading Rules In: Mathematics of Operations Research. [Full Text][Citation analysis] | article | 12 |
2005 | Optimal policies of call with notice period requirement In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 0 |
2020 | A q Theory of Internal Capital Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Dynamic Trading with Realization Utility In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Strategic Investment under Uncertainty with First- and Second-mover Advantages In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2015 | Optimal Tax Timing with Asymmetric Long-Term/Short-Term Capital Gains Tax In: The Review of Financial Studies. [Full Text][Citation analysis] | article | 5 |
2023 | A Rational Theory for Disposition Effects In: Review of Economic Dynamics. [Full Text][Citation analysis] | article | 1 |
2011 | Optimal Decision for Selling an Illiquid Stock In: Journal of Optimization Theory and Applications. [Full Text][Citation analysis] | article | 1 |
2013 | Pricing corporate debt with finite maturity and chapter 11 proceedings In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
2003 | One-state variable binomial models for European-/American-style geometric Asian options In: Quantitative Finance. [Full Text][Citation analysis] | article | 3 |
2005 | Valuing employee reload options under the time vesting requirement In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
2009 | Pricing jump risk with utility indifference In: Quantitative Finance. [Full Text][Citation analysis] | article | 3 |
2011 | Optimal arbitrage strategies on stock index futures under position limits In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 18 |
2003 | Options with Multiple Reset Rights In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 5 |
2018 | Interest Rate Swap Valuation in the Chinese Market In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 1 |
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