Yongzeng Lai

According to our database1, Yongzeng Lai
  • authored at least 9 papers between 2009 and 2014.
  • has a "Dijkstra number"2 of five.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Other 

Links

On csauthors.net:

Bibliography

2014
Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods.
Applied Mathematics and Computation, 2014

Pricing Lookback Options under Normal Inverse Gaussian Model by Variance Reduction and Randomized Quasi-Monte Carlo Methods.
Proceedings of the Seventh International Joint Conference on Computational Sciences and Optimization, 2014

2013
Mean-CVaR portfolio selection: A nonparametric estimation framework.
Computers & OR, 2013

Uncertain exit time multi-period mean-variance portfolio selection with endogenous liabilities and Markov jumps.
Automatica, 2013

Characterization of efficient frontier for mean-variance model with a drawdown constraint.
Applied Mathematics and Computation, 2013

2012
Option Sensitivity Simulation by Malliavin Calculus and Quasi-Monte Carlo Methods.
Proceedings of the Fifth International Conference on Business Intelligence and Financial Engineering, 2012

2010
A smooth estimator for MC/QMC methods in finance.
Mathematics and Computers in Simulation, 2010

2009
Adaptive Monte Carlo methods for matrix equations with applications.
J. Computational Applied Mathematics, 2009

Generating inverse Gaussian random variates by approximation.
Computational Statistics & Data Analysis, 2009


  Loading...