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Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk

Quantitative finance, 2023-09, Vol.23 (9), p.1325-1339

2023

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Feature generation and contribution comparison for electronic fraud detection

Scientific reports, 2022-10, Vol.12 (1), p.18042-18042, Article 18042

2022

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Analyzing interactive call, default, and conversion policies for corporate bonds

The journal of futures markets, 2022-08, Vol.42 (8), p.1597-1638

2022

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Efficient and Robust Combinatorial Option Pricing Algorithms on the Trinomial Lattice for Polynomial and Barrier Options

Mathematical problems in engineering, 2022-05, Vol.2022, p.1-20

2022

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Structural break-aware pairs trading strategy using deep reinforcement learning

The Journal of supercomputing, 2022, Vol.78 (3), p.3843-3882

2022

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A stochastic‐volatility equity‐price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first‐passage default model

The journal of futures markets, 2022-12, Vol.42 (12), p.2103-2134

2022

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Analytical pricing formulae for vulnerable vanilla and barrier options

Review of quantitative finance and accounting, 2022, Vol.58 (1), p.137-170

2022

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Feature Engineering and Resampling Strategies for Fund Transfer Fraud With Limited Transaction Data and a Time-Inhomogeneous Modi Operandi

IEEE access, 2022, Vol.10, p.86101-86116

2022

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On the design of bail-in-able bonds from the perspective of non-financial firms

International review of economics & finance, 2024-01, Vol.89, p.1136-1155

2024

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A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes

Quantitative finance, 2022-11, Vol.22 (11), p.2021-2045

2022

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A Multiphase, Flexible, and Accurate Lattice for Pricing Complex Derivatives with Multiple Market Variables

The journal of futures markets, 2013-09, Vol.33 (9), p.795-826

2013

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Improving Cointegration-Based Pairs Trading Strategy with Asymptotic Analyses and Convergence Rate Filters

Computational economics, 2024-01

2024

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Asymptotic analyses for trend-stationary pairs trading strategy in high-frequency trading

Review of quantitative finance and accounting, 2024-05

2024

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Constructing Optimal Portfolio Rebalancing Strategies with a Two-Stage Multiresolution-Grid Model

Computational economics, 2024-02

2024

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Evaluating corporate bonds and analyzing claim holders’ decisions with complex debt structure

Journal of banking & finance, 2016-11, Vol.72, p.151-174

2016

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A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions

Insurance, mathematics & economics, 2013-03, Vol.52 (2), p.231-242

2013

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Evaluating corporate bonds with complicated liability structures and bond provisions

European journal of operational research, 2014-09, Vol.237 (2), p.749-757

2014

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Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks

Insurance, mathematics & economics, 2015-09, Vol.64, p.364-379

2015

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Improving Pairs Trading Strategies Using Two-Stage Deep Learning Methods and Analyses of Time (In)variant Inputs for Trading Performance

IEEE access, 2022, Vol.10, p.97030-97046

2022

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Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes

Applied mathematics and computation, 2015-02, Vol.252, p.418-437

2015

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A Modified Reduced-Form Model with Time-Varying Default and Recovery Rates and Its Applications in Pricing Convertible Bonds

The Journal of derivatives, 2017-06, Vol.24 (4), p.52-79

2017

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Realised tax benefits and capital structure

International Journal of Bonds and Derivatives, 2013, Vol.1 (1), p.88

2013

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Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree

Quantitative finance, 2009-10, Vol.9 (7), p.827-838

Dai, Tian-Shyr

2009

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Pricing barrier stock options with discrete dividends by approximating analytical formulae

Quantitative finance, 2014-08, Vol.14 (8), p.1367-1382

2014

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Recap of the 24th Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management

Review of Pacific basin financial markets and policies, 2017-03, Vol.20 (1), p.1750007

2017

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Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk

Feature generation and contribution comparison for electronic fraud detection

Analyzing interactive call, default, and conversion policies for corporate bonds

Efficient and Robust Combinatorial Option Pricing Algorithms on the Trinomial Lattice for Polynomial and Barrier Options

Structural break-aware pairs trading strategy using deep reinforcement learning

A stochastic‐volatility equity‐price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first‐passage default model

Analytical pricing formulae for vulnerable vanilla and barrier options

Feature Engineering and Resampling Strategies for Fund Transfer Fraud With Limited Transaction Data and a Time-Inhomogeneous Modi Operandi

On the design of bail-in-able bonds from the perspective of non-financial firms

A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes

A Multiphase, Flexible, and Accurate Lattice for Pricing Complex Derivatives with Multiple Market Variables

Improving Cointegration-Based Pairs Trading Strategy with Asymptotic Analyses and Convergence Rate Filters

Asymptotic analyses for trend-stationary pairs trading strategy in high-frequency trading

Constructing Optimal Portfolio Rebalancing Strategies with a Two-Stage Multiresolution-Grid Model

Evaluating corporate bonds and analyzing claim holders’ decisions with complex debt structure

A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions

Evaluating corporate bonds with complicated liability structures and bond provisions

Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks

Improving Pairs Trading Strategies Using Two-Stage Deep Learning Methods and Analyses of Time (In)variant Inputs for Trading Performance

Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes

A Modified Reduced-Form Model with Time-Varying Default and Recovery Rates and Its Applications in Pricing Convertible Bonds

Realised tax benefits and capital structure

Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree

Pricing barrier stock options with discrete dividends by approximating analytical formulae

Recap of the 24th Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management

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