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Analysis of the efficiency of Hong Kong REITs market based on Hurst exponent
期刊论文
Physica A: Statistical Mechanics and its Applications, 2019, 卷号: 534
作者:
Liu, Jian
;
Cheng, C.
;
Yang, Xianglin
;
Yan, Lizhao
;
Lai, Yongzeng
收藏
  |  
浏览/下载:12/0
  |  
提交时间:2019/12/05
Chaos in integer order and fractional order financial systems and their synchronization
期刊论文
Chaos, Solitons and Fractals, 2018, 卷号: Vol.117, 页码: 125-136
作者:
Xu, Fei
;
Lai, Yongzeng
;
Shu, Xiao-Bao
收藏
  |  
浏览/下载:4/0
  |  
提交时间:2019/12/26
Chaos in integer order and fractional order financial systems and their synchronization
期刊论文
CHAOS SOLITONS & FRACTALS, 2018, 卷号: Vol.117, 页码: 125-136
作者:
Xu, Fei
;
Lai, Yongzeng
;
Shu, Xiao-Bao
收藏
  |  
浏览/下载:10/0
  |  
提交时间:2019/12/26
Financial system
Chaos
Fractional order system of differential equations
Integer order system of differential equations
SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS
期刊论文
The ANZIAM Journal, 2016, 卷号: Vol.57 No.3, 页码: 280-298
作者:
YONGZENG LAI and HAIXIANG YAO
收藏
  |  
浏览/下载:11/0
  |  
提交时间:2019/03/04
subordinated Brownian motions
multi-asset options
option sensitivities or Greeks
Malliavin calculus
quasi-Monte Carlo methods
Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean–variance framework
期刊论文
Insurance: Mathematics and Economics, 2014, 卷号: Vol.54, 页码: 84-92
作者:
Haixiang Yao
;
Yongzeng Lai
;
Qinghua Ma and Minjie Jian
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  |  
浏览/下载:7/0
  |  
提交时间:2019/03/04
Asset allocation
Defined contribution pension fund
Multi-period mean–variance
Stochastic income
Mortality risk
Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods.
期刊论文
Applied Mathematics and Computation, 2014, 卷号: Vol.236, 页码: 493-511
作者:
Xu, Yongjia
;
Lai, Yongzeng
;
Yao, Haixiang
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  |  
浏览/下载:3/0
  |  
提交时间:2019/03/04
Multiasset options
Option sensitivities or Greeks
Malliavin calculus
Monte Carlo and quasi-Monte Carlo methods
Continuous-time mean–variance asset–liability management with endogenous liabilities.
期刊论文
Insurance: Mathematics and Economics, 2013, 卷号: Vol.52 No.1, 页码: 6-17
作者:
Yao, Haixiang
;
Lai, Yongzeng
;
Li, Yong
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浏览/下载:4/0
  |  
提交时间:2019/03/04
Endogenous liabilities
Mean–variance
Asset–liability management
Efficient frontier
Hamilton–Jacobi–Bellman equation
Characterization of efficient frontier for mean–variance model with a drawdown constraint.
期刊论文
Applied Mathematics and Computation, 2013, 卷号: Vol.220, 页码: 770-782
作者:
Yao, Haixiang
;
Lai, Yongzeng
;
Ma, Qinghua
;
Zheng, Huabao
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  |  
浏览/下载:3/0
  |  
提交时间:2019/03/04
Efficient frontier
Drawdown constraint
Primitive securities
Arbitrage-free hypothesis
Portfolio selection
Characterization of efficient frontier for mean-variance model with a drawdown constraint
期刊论文
2013, 卷号: 220, 页码: 770
作者:
Yao, Haixiang[1]
;
Lai, Yongzeng[2]
;
Ma, Qinghua[1]
;
Zheng, Huabao[3]
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  |  
浏览/下载:2/0
  |  
提交时间:2019/12/09
Intermediate rank lattice rules and applications to finance.
期刊论文
Applied Numerical Mathematics, 2009, 卷号: Vol.59 No.1, 页码: 1-20
作者:
Lai,Yongzeng
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  |  
浏览/下载:5/0
  |  
提交时间:2020/01/13
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