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> Associate Professor Lingfei LI
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Professor LI Lingfei
Personal Information
Position and Department
Associate Professor
,
Department of Systems Engineering and Engineering Management
ORCiD
0000-0002-1761-3458
CUHK Research Outputs
Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior
(
2019
)
Equivalent measure changes for subordinate diffusions
(
2019
)
Error analysis of finite difference and Markov chain approximations for option pricing
(
2018
)
Parametric inference for discretely observed subordinate diffusions
(
2017
)
Pure jump models for pricing and hedging VIX derivatives
(
2017
)
Additive subordination and its applications in finance
(
2016
)
Analytical representations for the basic affine jump diffusion
(
2016
)
An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance
(
2016
)
Modelling electricity prices: a time change approach
(
2016
)
Option pricing in some non-lévy jump models
(
2016
)
Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
(
2015
)
Modeling Electricity Prices: a Time Change Approach
(
2014
)
On Additive Subordination with an Application in Cross Commodity Modeling
(
2014
)
Optimal stopping in infinite horizon: An eigenfunction expansion approach
(
2014
)
TIME-CHANGED ORNSTEIN-UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS
(
2014
)
Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach
(
2013
)
Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models
(
2013
)
Evaluating callable and putable bonds: An eigenfunction expansion approach
(
2012
)
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