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Hilbert Transform Mathematics
Option Pricing Mathematics
Costs Engineering & Materials Science
Characteristic Function Mathematics
Integrodifferential equations Engineering & Materials Science
Extrapolation Engineering & Materials Science
Inverse transforms Engineering & Materials Science
Process Model Mathematics

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Research Output 2007 2020

  • 13 Article
  • 2 Conference contribution
  • 1 Review article

Constant elasticity of variance models with target zones

Feng, L., Jiang, P. & Wang, Y., Jan 1 2020, In : Physica A: Statistical Mechanics and its Applications. 537, 122702.

Research output: Contribution to journalArticle

Elasticity
elastic properties
Foreign Exchange Rates
Spectral Expansion
Transition Density

Optimal deleveraging with nonlinear temporary price impact

Chen, J., Feng, L. & Peng, J., Jul 1 2015, In : European Journal of Operational Research. 244, 1, p. 240-247 8 p.

Research output: Contribution to journalArticle

Equity
Polynomials
Box Constraints
Portfolio Management
Efficient Frontier

Analytical results and efficient algorithm for optimal portfolio deleveraging with market impact

Chen, J., Feng, L., Peng, J. & Ye, Y., Jan 1 2014, In : Operations Research. 62, 1, p. 195-206 12 p.

Research output: Contribution to journalArticle

Costs
Optimal portfolio
Market impact
Price impact
Equity

Quadratic finite element and preconditioning methods for options pricing in the SVCJ model

Zhang, Y. Y., Pang, H. K., Feng, L. & Jin, X. Q., Mar 2014, In : Journal of Computational Finance. 17, 3, p. 3-30 28 p.

Research output: Contribution to journalArticle

Partial Integro-differential Equation
Integrodifferential equations
Option Pricing
Preconditioning
Stabilized Methods

Inverting analytic characteristic functions and financial applications

Feng, L. & Lin, X., Dec 1 2013, In : SIAM Journal on Financial Mathematics. 4, 1, p. 372-398 27 p.

Research output: Contribution to journalArticle

Characteristic Function
Analytic function
Discretization Error
Strip
Inversion