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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

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

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

Optimal portfolio
Market impact
Price impact

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
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