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  • 陈鹏展
  • 科研人员
  • cpz@ustc.edu.cn
  • 国际金融研究院
  • 金融
English
  • A general approximation method for optimal stopping and random delay , Mathematical Finance , 2024 , 34(1): 5-35
  • A simulation-based method for estimating systemic risk measures , European Journal of Operational Research , 2024
  • Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market , Journal of Futures Markets , 2021 , 41: 1055-1073
  • Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure , Probability in the Engineering and Informational Sciences , 2023 , 37(1): 245-274
  • Trading restriction and the choice for derivatives , International Review of Financial Analysis , 2022 , 82(2)102118
  • Irreversible investment with random delay and partial prepayment , Operations Research Letters , 2022 , 5(50): 434-440
  • Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market , International Review of Financial Analysis , 2022 , 83102277
  • Modeling maxima with regime switching Frechet model , Journal of Risk , 2022 , 25(2): 1-19
  • Stochastic Volatility Model with Correlated Jump Sizes and Independent Arrivals , Probability in the Engineering and Informational Sciences , 2021 , 2021(35): 513-531
  • 中国波指隐含的波动率风险溢价研究: 基于带跳随机波动率模型的实证分析 , 系统工程学报 , 2023 , 38(6): 785-777