A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps Z Cui, JL Kirkby, D Nguyen European Journal of Operational Research 262 (1), 381-400, 2017 | 97 | 2017 |
A general valuation framework for SABR and stochastic local volatility models Z Cui, JL Kirkby, D Nguyen SIAM Journal on Financial Mathematics 9 (2), 520-563, 2018 | 90 | 2018 |
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps JL Kirkby, D Nguyen, Z Cui Journal of Economic Dynamics and Control 80, 75-100, 2017 | 77 | 2017 |
Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps Z Cui, JL Kirkby, D Nguyen Insurance: Mathematics and Economics 74, 46-62, 2017 | 73 | 2017 |
Prices and asymptotics for discrete variance swaps C Bernard, Z Cui Applied Mathematical Finance 21 (2), 140-173, 2014 | 71 | 2014 |
A general framework for time-changed Markov processes and applications Z Cui, JL Kirkby, D Nguyen European Journal of Operational Research 273 (2), 785-800, 2019 | 59 | 2019 |
Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes Z Cui, L Chihoon, L Yanchu SSRN, 2016 | 58 | 2016 |
Pricing timer options C Bernard, Z Cui Journal of Computational Finance 15 (1), 2011 | 44 | 2011 |
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations Z Cui, JL Kirkby, D Nguyen European Journal of Operational Research 290 (3), 1046-1062, 2021 | 43 | 2021 |
Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model Z Cui, R Feng, A MacKay North American Actuarial Journal 21 (3), 458-483, 2017 | 41 | 2017 |
Continuous-time Markov chain and regime switching approximations with applications to options pricing Z Cui, J Lars Kirkby, D Nguyen Modeling, stochastic control, optimization, and applications, 115-146, 2019 | 38 | 2019 |
Non-affine GARCH option pricing models, variance-dependent kernels, and diffusion limits A Badescu, Z Cui, JP Ortega Journal of Financial Econometrics 15 (4), 602-648, 2017 | 32 | 2017 |
Closed-form variance swap prices under general affine GARCH models and their continuous-time limits A Badescu, Z Cui, JP Ortega Annals of Operations Research 282, 27-57, 2019 | 29 | 2019 |
On the Martingale Property in Stochastic Volatility Models Based on Time‐Homogeneous Diffusions C Bernard, Z Cui, D McLeish Mathematical Finance, 2013 | 28* | 2013 |
Nonparametric density estimation by B-spline duality Z Cui, JL Kirkby, D Nguyen Econometric Theory 36 (2), 250-291, 2020 | 27 | 2020 |
Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes G Lian, SP Zhu, RJ Elliott, Z Cui Journal of Banking & Finance 75, 167-183, 2017 | 27 | 2017 |
A data-driven framework for consistent financial valuation and risk measurement Z Cui, JL Kirkby, D Nguyen European Journal of Operational Research 289 (1), 381-398, 2021 | 25 | 2021 |
Valuation of VIX and target volatility options with affine GARCH models H Cao, A Badescu, Z Cui, SK Jayaraman Journal of Futures Markets 40 (12), 1880-1917, 2020 | 23 | 2020 |
Nested stochastic modeling for insurance companies R Feng, Z Cui, P Li Society of Actuaries, 2016 | 21 | 2016 |
On the variance of single-run unbiased stochastic derivative estimators Z Cui, MC Fu, JQ Hu, Y Liu, Y Peng, L Zhu INFORMS Journal on Computing 32 (2), 390-407, 2020 | 20 | 2020 |