Zhenyu Cui - Concepedia

Author

Zhenyu Cui

Stevens Institute of Technology ORCID

Also Known As

Cui, Zhenyu, Z.-Y. Cui, ZHENYU CUI, Zhen-Yu Cui, Zhenyu Cui, Zifan Cui

206

Publications

1.3K

Citations

H-Index

Concepts

All Affiliations

Stevens Institute of Technology Georgia Institute of Technology Marist College University of Calgary Grenoble Ecole de Management

About

Zhenyu Cui is an author at Stevens Institute of Technology specializing in business, asset pricing, and option pricing.

Top Concepts

#	Concept	H-Index	Publications	Citations
1	Business	14	19	739
2	Engineering	11	14	522
3	Management	2	2	53
4	Natural Sciences	1	1	59
5	Accounting	1	1	30

Zhenyu Cui

Publications

Citations

H-Index

Page 1

	Year	Citations
A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps Zhenyu Cui, Justin Kirkby, Duy Nguyen European Journal of Operational Research Volatility ModelingMultivariate Stochastic VolatilityOption PricingAsset PricingEngineering	2017	110
A General Valuation Framework for SABR and Stochastic Local Volatility Models Zhenyu Cui, Justin Kirkby, Duy Nguyen SIAM Journal on Financial Mathematics Volatility ModelingEngineeringStochastic Local VolatilityFinancial MathematicsComputational Finance	2018	95
Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps Zhenyu Cui, Justin Kirkby, Duy Nguyen Insurance Mathematics and Economics Volatility ModelingOption PricingFinancial EconomicsMultivariate Stochastic VolatilityAsset Pricing	2017	89
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps Justin Kirkby, Duy Nguyen, Zhenyu Cui Journal of Economic Dynamics and Control Volatility ModelingOption PricingEngineeringAsset PricingForeign Exchange Option	2017	85
Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes Zhenyu Cui, Chihoon Lee, Yanchu Liu European Journal of Operational Research Option PricingAsset PricingNatural SciencesStochastic ProcessesMarkov Processes	2017	59
A general framework for time-changed Markov processes and applications Zhenyu Cui, Justin Kirkby, Duy Nguyen European Journal of Operational Research EngineeringHidden Markov ModelMarkov ProcessesMarkov KernelProbability Theory	2018	55
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations Zhenyu Cui, Justin Kirkby, Duy Nguyen European Journal of Operational Research Volatility ModelingEngineeringAsset PricingNumerical SimulationGeneralized Sabr	2020	44
Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model Zhenyu Cui, Runhuan Feng, Anne MacKay North American Actuarial Journal	2017	40
Closed-form variance swap prices under general affine GARCH models and their continuous-time limits Alexandru Badescu, Zhenyu Cui, Juan‐Pablo Ortega Annals of Operations Research Option PricingVolatility ModelingAsset PricingContinuous-time LimitsDerivative Pricing	2018	38
ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME‐HOMOGENEOUS DIFFUSIONS Carole Bernard, Zhenyu Cui, D. L. McLeish Mathematical Finance Multivariate Stochastic VolatilityEngineeringMartingale PropertyIntegrable ProbabilityStochastic Processes	2014	33

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