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Research Output

  • 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

  • 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

  • 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

  • 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

  • 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