Min Dai : Citation Profile

Are you Min Dai?

9

H index

8

i10 index

221

Citations

RESEARCH PRODUCTION:

27

Articles

5

Papers

1

Chapters

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   20 years (2003 - 2023). See details.
   Cites by year: 11
   Journals where Min Dai has often published
   Relations with other researchers
   Recent citing documents: 45.    Total self citations: 9 (3.91 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pda481
   Updated: 2024-12-03    RAS profile: 2021-10-02    
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Relations with other researchers

Works with:

Wang, Neng (3)

Xu, Jing (2)

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)

Hilpert, Christian (2)

Kaniel, Ron (2)

Pascucci, Andrea (2)

Grabowski, Wojciech (1)

Glover, Kristoffer (1)

Gensbittel, Fabien (1)

Cites to:

Liu, Hong (13)

merton, robert (13)

Constantinides, George (9)

Campbell, John (4)

Scholes, Myron (4)

Davis, Steven (4)

Haltiwanger, John (4)

Chen, Zhiwu (3)

Flannery, Mark (3)

Calvet, Laurent (3)

Faberman, Jason (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

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 (2024 and 2023)

YearTitle of citing document
2023On 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.

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2023Valuation of general GMWB annuities in a low interest rate environment. (2022). Rotondi, Francesco ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2208.10183.

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2023Duality in optimal consumption--investment problems with alternative data. (2022). Wong, Hoi Ying ; Chen, Kexin. In: Papers. RePEc:arx:papers:2210.08422.

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2023Double 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.

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2023Multivariate L\evy Models: Calibration and Pricing. (2023). Semeraro, Patrizia ; Messeri, Francesco ; Brandimarte, Paolo ; Amici, Giovanni. In: Papers. RePEc:arx:papers:2303.13346.

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2024Equity Protection Swaps: An New Type of Insurance for Superannuation. (2023). Liu, Ruyi ; Xu, Huansang. In: Papers. RePEc:arx:papers:2305.09472.

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

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2023New general dependence measures: construction, estimation and application to high-frequency stock returns. (2023). Leeuwenkamp, Aleksy ; Hu, Wentao. In: Papers. RePEc:arx:papers:2309.00025.

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2024Monte 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.

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2023A Problem of Finite-Horizon Optimal Switching and Stochastic Control for Utility Maximization. (2023). Jeon, Junkee ; Yang, Zhou. In: Papers. RePEc:arx:papers:2309.12588.

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2024Optimal Entry and Exit with Signature in Statistical Arbitrage. (2023). Lee, Kiseop ; Chakraborty, Prakash ; Ning, Boming. In: Papers. RePEc:arx:papers:2309.16008.

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2023A 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.

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

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

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

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2023Cheaper 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.

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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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2023Partial 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.

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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). 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.

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2023Pandemic 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.

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2023Surrender 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.

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2024An 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.

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2024Mutual 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.

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2023Optimal 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.

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2024The 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.

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2023The 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.

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2023Portfolio 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.

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2023Valuation 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.

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2024Risk-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.

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2024Valuing 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.

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2023Shot-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.

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2023Micro-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.

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2023Hedging 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.

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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]		article9
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]		article70
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]		article12
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]		article5
2011Illiquidity, position limits, and optimal investment for mutual funds In: Journal of Economic Theory.
[Full Text][Citation analysis]		article14
2016Portfolio Choice with Market Closure and Implications for Liquidity Premia In: Management Science.
[Full Text][Citation analysis]		article18
2016Optimal Trend Following Trading Rules In: Mathematics of Operations Research.
[Full Text][Citation analysis]		article12
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
2011Optimal arbitrage strategies on stock index futures under position limits In: Journal of Futures Markets.
[Full Text][Citation analysis]		article18
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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