According to our database1, Yongzeng Lai
Legend:Book In proceedings Article PhD thesis Other
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
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.
Characterization of efficient frontier for mean-variance model with a drawdown constraint.
Applied Mathematics and Computation, 2013
Option Sensitivity Simulation by Malliavin Calculus and Quasi-Monte Carlo Methods.
Proceedings of the Fifth International Conference on Business Intelligence and Financial Engineering, 2012
A smooth estimator for MC/QMC methods in finance.
Mathematics and Computers in Simulation, 2010
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