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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  
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