| A simulation-based method for estimating systemic risk measures W Ye, Y Zhou, P Chen, B Wu European Journal of Operational Research 313 (1), 312-324, 2024 | 4 | 2024 |
| Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure W Ye, B Wu, P Chen Probability in the Engineering and Informational Sciences 37 (1), 245-274, 2023 | 4 | 2023 |
| Stochastic volatility model with correlated jump sizes and independent arrivals P Chen, W Ye Probability in the Engineering and Informational Sciences 35 (3), 513-531, 2021 | 4 | 2021 |
| Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market B Wu, P Chen, W Ye Journal of Futures Markets 41 (7), 1055-1073, 2021 | 4 | 2021 |
| Short-term stock price trend prediction with imaging high frequency limit order book data W Ye, J Yang, P Chen International Journal of Forecasting 40 (3), 1189-1205, 2024 | 3 | 2024 |
| Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market W Ye, W Xia, B Wu, P Chen International Review of Financial Analysis 83, 102277, 2022 | 3 | 2022 |
| A general approximation method for optimal stopping and random delay P Chen, Y Song Mathematical Finance 34 (1), 5-35, 2024 | 1 | 2024 |
| Irreversible investment with random delay and partial prepayment P Chen, Y Song Operations Research Letters 50 (5), 434-440, 2022 | 1 | 2022 |
| Trading restriction and the choice for derivatives W Ye, P Chen, Y Shi, X Liu International Review of Financial Analysis 82, 102118, 2022 | 1 | 2022 |
| Variance swaps with mean reversion and multi-factor variance B Wu, P Chen, W Ye European Journal of Operational Research 315 (1), 191-212, 2024 | | 2024 |
| Modeling maxima with a regime-switching Fréchet model K Tan, Y Chen, P Chen Journal of Risk 25 (2), 2022 | | 2022 |
Wuyi YE中国科学技术大学管理学院在 ustc.edu.cn 的电子邮件经过验证
Wuyi YE中国科学技术大学管理学院在 ustc.edu.cn 的电子邮件经过验证
Yingda SongShanghai Jiao Tong University在 sjtu.edu.cn 的电子邮件经过验证
Xiaoquan LiuAssociate Professor in Finance在 nottingham.edu.cn 的电子邮件经过验证