| Calibrating and pricing with a stochastic-local volatility model Y Tian, Z Zhu, G Lee, F Klebaner, K Hamza Journal of Derivatives, 2015 | 47 | 2015 |
| Dynamic Portfolio Optimization with Liquidity Cost and Market Impact: A Simulation-and-Regression Approach R Zhang, N Langrené, Y Tian, Z Zhu, F Klebaner, K Hamza Quantitative Finance, 2018 | 30* | 2018 |
| The hybrid stochastic-local volatility model with applications in pricing FX options Y Tian Monash University, 2013 | 20 | 2013 |
| Pricing barrier and American options under the SABR model on the graphics processing unit Y Tian, Z Zhu, FC Klebaner, K Hamza Concurrency and Computation: Practice and Experience, 2012 | 20 | 2012 |
| Efficient portfolio valuation incorporating liquidity risk Y Tian, R Rood, CW Oosterlee Quantitative Finance 13 (10), 1575–1586, 2013 | 15 | 2013 |
| Option pricing with the SABR model on the GPU Y Tian, Z Zhu, FC Klebaner, K Hamza 2010 IEEE Workshop on High Performance Computational Finance, 1-8, 2010 | 13 | 2010 |
| Skewed Target Range Strategy for Multi-Period Portfolio Optimization by a Two-Stage Least Squares Monte Carlo Method R Zhang, N Langrené, Y Tian, Z Zhu, F Klebaner, K Hamza Journal of Computational Finance, 2019 | 8* | 2019 |
| Monte Carlo pricing scheme for a stochastic-local volatility model G Lee, Y Tian, Z Zhu 2014 International Conference of Financial Engineering, 2014 | 4 | 2014 |
| Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization R Zhang, N Langrené, Y Tian, Z Zhu, F Klebaner, K Hamza arXiv preprint arXiv:1803.11467, 2018 | 3 | 2018 |
| A hybrid stochastic volatility model incorporating local volatility Y Tian, Z Zhu, F Klebaner, K Hamza 2012 Fourth International Conference on Computational and Information …, 2012 | 3 | 2012 |
| Pricing window barrier options with a hybrid stochastic-local volatility model Y Tian, Z Zhu, G Lee, T Lo, F Klebaner, K Hamza 2014 IEEE Conference on Computational Intelligence for Financial Engineering …, 2014 | 2 | 2014 |
| The Effects of Liquidity on Multi-period Portfolio Selection: A Case Study of American Sector ETFs Rongju Zhang, Nicolas Langrené, Yu Tian, Zili Zhu, Fima Klebaner, Kais Hamza 4th Annual International Conference on Operations Research and Statistics, 2016 | 1 | 2016 |
| Market liquidity risk and market risk management Y Tian Delft University of Technology, 2009 | 1 | 2009 |
| Dynamic volatility management: from conditional volatility to realized volatility R Zhang, N Langrené, Y Tian, Z Zhu Forthcoming, Journal of Investment Strategies, 2019 | | 2019 |
| Using exotic option prices as control variates in Monte Carlo pricing under a local-stochastic volatility model G Lee, Z Zhu, Y Tian IAENG Transactions on Engineering Sciences, 2015 | | 2015 |
Fima C. KlebanerProfessor of Statistics, Monash UniversityVerified email at monash.edu
