Items where Author is "Zhang, Wenjun"
Cao, Jiling and Roslan, Teh Raihana Nazirah and Zhang, Wenjun (2018) Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching. Methodology and Computing in Applied Probability, 20 (4). pp. 1359-1379. ISSN 1387-5841
Roslan, Teh Raihana Nazirah and Cao, Jiling and Zhang, Wenjun (2017) Analytical Pricing Formulas for Hybrid Variance Swaps with Regime-Switching. Proceeding of the 13th IMT-GT InternationalConference on Mathematics,Statistics and Applications (ICMSA2017). 030031-1.
Roslan, Teh Raihana Nazirah and Cao, Jiling and Zhang, Wenjun (2017) Analytical pricing formulas for hybrid variance swaps with regime-switching. In: Analytical pricing formulas for hybrid variance swaps with regime-switching, 2017. (Unpublished)
Roslan, Teh Raihana Nazirah and Zhang, Wenjun and Cao, Jiling (2014) Valuation of discretely-sampled variance swaps under correlated stochastic volatility and stochastic interest rates. In: 8th International Conference on Applied Mathematics, Sumulation and Modeling Recent Advances in Applied Mathematics, Modeling and Simulation, 11/22/2014 - 11/24/2014, Florence, Italy.