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An Efficient Fourier Expansion Method for the Calculation of Value-at-Risk: Contributions of Extra-ordinary Risks Journal article
INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 2016,Volume: 3,Issue: 1
Authors:  U, Sio Chong;  So, Jacky;  Ding, Deng;  Liu, Lihong
Favorite |  | TC[WOS]:1 TC[Scopus]:0 | Submit date:2019/07/22
Value-at-risk  Log-stable Paretain Distribution  Fourier Expansion  
An Accumulator Pricing Method Based on Fourier-Cosine Series Expansions Journal article
INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 2015,Volume: 2,Issue: 2
Authors:  Deng DING;  Wang, WF
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2019/07/22
Accumulator  Fourier Cosine Expansions  Monte Carlo Simulation  Discrete Barrier Option  OptiOn On Forward  
Preconditioned iterative methods for fractional diffusion models in finance Journal article
Numerical Methods for Partial Differential Equations, 2014,Volume: 31,Issue: 5,Page: 1382-1395
Authors:  Qing-Jiang Meng;  Deng Ding;  Qin Sheng
Favorite |  | TC[WOS]:13 TC[Scopus]:16 | Submit date:2019/05/22
Crank-nicolson Discretization  Fast Fourier Transform  Fractional Partial Derivatives  Lévy Process  Preconditioning Method  Toeplitz Matrix  
Quadratic finite element and preconditioning methods for options pricing in the SVCJ model Journal article
Journal of Computational Finance, 2014,Volume: 17,Issue: 3,Page: 3-30
Authors:  Zhang Y.-Y.;  Pang H.-K.;  Feng L.;  Jin X.-Q.
Favorite |  | TC[WOS]:2 TC[Scopus]:2 | Submit date:2019/02/11
Jump Diffusion-processes  Stochastic Volatility  American Options  Returns  Systems  Assets  
Efficient rainbow options pricing methods based on two-dimensional fourier series expansions Conference paper
Applied Mechanics and Materials, Kunming, PEOPLES R CHINA, JUL 17-19, 2013
Authors:  Deng Ding;  Qingjiang Meng;  Jiayu Zheng
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2019/02/13
Call-on-maximum Option  Gbm Model  Jump-diffusion Model  Put-on-minimum  Two-dimensional Modified Fourier Expansions  
Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility Journal article
Journal of Banking and Finance, 2013,Volume: 37,Issue: 5,Page: 1777-1786
Authors:  Wang K.;  Liu J.;  Liu Z.
Favorite |  | TC[WOS]:7 TC[Scopus]:9 | Submit date:2019/02/14
Co-jump  Co-volatility  High-frequency Finance  Idiosyncratic Jumps  Itô Semi-martingale  Microstructure Noise  Non-synchronous Trading  
Engineering Component-Based Knowledge Applications for e-Learning Organizations: The Software Architects' Challenge in Organizational Transformation Conference paper
Proceedings of the Sixth World Multi-Conference on Systemics, Cybernetics and Informatics (SCI2002), Orlando, Florida, USA, July 14-18,2002
Authors:  Vat, K.H.
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2019/07/24
Learning Organization Information System  Enterprise Component Architecture  Electronic Transformation  Collaboration  Knowledge Management