# Yongzeng Lai

According to our database

Collaborative distances:

^{1}, Yongzeng Lai authored at least 10 papers between 2009 and 2018.Collaborative distances:

## Timeline

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## Bibliography

2018

Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model.

J. Computational Applied Mathematics, 2018

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