Shenghong Li

Orcid: 0000-0002-2328-2026

Affiliations:
  • Huzhou University, Department of Mathematics, China
  • Zhejiang University, Department of Mathematics, Hangzhou, China


According to our database1, Shenghong Li authored at least 15 papers between 2006 and 2016.

Collaborative distances:
  • Dijkstra number2 of four.
  • Erdős number3 of five.

Timeline

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Bibliography

2016
Hedging default risks of CDO tranches in non-homogeneous Markovian contagion models.
Appl. Math. Comput., 2016

2015
Fast Greeks by simulation: The block adjoint method with memory reduction.
J. Comput. Appl. Math., 2015

2014
The forward-path method for pricing multi-asset American-style options under general diffusion processes.
J. Comput. Appl. Math., 2014

2010
Dynamic Investment under Asymmetric Information.
J. Comput., 2010

Pricing model of interest rate swap with a bilateral default risk.
J. Comput. Appl. Math., 2010

A note on "Monte Carlo analysis of convertible bonds with reset clause".
Eur. J. Oper. Res., 2010

2009
Pricing Convertible Bond with Call Clause in Exponential Variance Gamma Model.
Proceedings of the Business Intelligence: Artificial Intelligence in Business, 2009

Pricing Convertible Bonds with Reset Clauses and Stochastic Interest Rates.
Proceedings of the Business Intelligence: Artificial Intelligence in Business, 2009

A Tree Model for Pricing Convertible Bonds with Equity, Market and Default Risk.
Proceedings of the Business Intelligence: Artificial Intelligence in Business, 2009

A Fast Algorithm for Solving the Pricing of American Options.
Proceedings of the Business Intelligence: Artificial Intelligence in Business, 2009

On the Time to Ruin for Erlang(2) Risk Model in a Markov Environment.
Proceedings of the Business Intelligence: Artificial Intelligence in Business, 2009

The Investment-Uncertainty Relationship in a Real Option Model.
Proceedings of the Business Intelligence: Artificial Intelligence in Business, 2009

2007
On reset option pricing in binomial market with both fixed and proportional transaction costs.
Appl. Math. Comput., 2007

On barrier option pricing in binomial market with transaction costs.
Appl. Math. Comput., 2007

2006
Pricing American interest rate option on zero-coupon bond numerically.
Appl. Math. Comput., 2006


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