Asymptotic replication with modified volatility under small transaction costs. - Jiatu Cai; Masaaki Fukasawa (Finance Stochastics, 2016)

Optimal Discretization of Hedging Strategies with Directional Views. - Jiatu Cai; Masaaki Fukasawa; Mathieu Rosenbaum; Peter Tankov (SIAM J. Financial Math., 2016)

Portfolio Selection with Capital Gains Tax, Recursive Utility, and Regime Switching. - Jiatu Cai; Xinfu Chen; Min Dai (Manag. Sci., 2018)