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- Zhongfei Li, Yan Zeng, Yongzeng Lai
- 2015

This paper considers the optimal time-consistent investment and reinsurance strategies for an insurer under Hestonâ€™s stochastic volatility (SV) model. Such an SV model applied to insurersâ€™ portfolioâ€¦ (More)

There are many examples of option contracts in which the payoff depends on several stochastic variables. These options often can be priced by the valuation of multidimensional integrals. Quasiâ€“ Monteâ€¦ (More)

- Yongzeng Lai
- Computational Statistics & Data Analysis
- 2009

The inverse Gaussian distribution is a useful distribution with important applications. But there is less discussion in the literature on sampling of this distribution. The method given in [Atkinson,â€¦ (More)

The conventional control variate method proposed by Kemna and Vorst (1990) to evaluate Asian options under the Black-Scholes model can be interpreted as a particular selection of linear martingaleâ€¦ (More)

Several variance reduction techniques including importan ce sampling, (martingale) control variate, (randomized) Quasi Monte Carlo m ethod, QMC in short, and some possible combinations are consideredâ€¦ (More)

- Chuan-Hsiang Han, Yongzeng Lai
- Mathematics and Computers in Simulation
- 2010

We investigate the effect of martingale control as a smoother for MC/QMC methods. Numerical results of estimating low-biased solutions of the American put option price under the Black-Scholes modelâ€¦ (More)

- Yongjia Xu, Yongzeng Lai, Xiaojing Xi
- 2011 Fourth International Joint Conference onâ€¦
- 2011

This paper discusses portfolio optimization problems under Gaussian models using Capital-at-Risk and Earning-at-Risk as risk measures with power and log utilities. Explicit expressions ofâ€¦ (More)

- Yongjia Xu, Yongzeng Lai, Xiaojing Xi
- 2011 Fourth International Joint Conference onâ€¦
- 2011

This paper discusses the Monte Carlo and quasi-Monte Carlo methods combined with some variance reduction techniques for exotic option pricing where the log returns of the underlying asset pricesâ€¦ (More)

- Haixiang Yao, Zhongfei Li, Yongzeng Lai
- Computers & OR
- 2013

In this paper, we use Conditional Value-at-Risk (CVaR) to measure risk and adopt the methodology of nonparametric estimation to explore the meanâ€“CVaR portfolio selection problem. First, we obtain theâ€¦ (More)

- Yongzeng Lai
- J. Computational Applied Mathematics
- 2009