八篇标*期刊为“学院研究院”金融外A |
论文共同作者皆为学生 SSRN (ssrn.com/author=730727):超过6,100下载，全网前10%下载量 |
成果名称 |
成果形式 |
出版或发表（转载）刊物 |
出版或发表时间或期号 |
作者 |
Pricing kernel monotonicity and term structure: Evidence from china |
论文 |
Journal of Banking and Finance* |
2021.123 |
Yuhan Jiao,Qiang Liu,Shuxin Guo |
Pricing American options by canonical least-squares Monte Carlo [被引用18次] |
论文 |
Journal of Futures Markets* |
2010.30p175-187 |
Qiang Liu |
Optimal approximations of nonlinear payoffs in static replication |
论文 |
Journal of Futures Markets* |
2010.30p1082-1099 |
Qiang Liu |
Canonical distribution, implied binomial tree, and the pricing of American options |
论文 |
Journal of Futures Markets* |
2013.33p183-198 |
Qiang Liu, Shuxin Guo |
GARCH pricing and hedging of VIX options |
论文 |
Journal of Futures Markets* |
2022.42p1039-1066 |
Qiang Liu, Yuhan Jiao, Shuxin Guo |
A simple accurate binomial tree for pricing options on stocks with known dollar dividends [改进Hull 2015年第9版《期权、期货及其它衍生产品》部分章节的内容； 被欧洲Voyager Capital Management公司采用] |
论文 |
Journal of Derivatives* |
2019.26p54-70 |
Shuxin Guo, Qiang Liu |
Efficient out-of-sample pricing of VIX futures |
论文 |
Journal of Derivatives* |
2020.27p126-139 |
Shuxin Guo, Qiang Liu |
Improving and extending the Wu-Zhu static hedge |
论文 |
Journal of Derivatives* |
2023.Spring |
Shuxin Guo, Qiang Liu |
VIX forecasting and variance risk premium: A new GARCH approach [国际上首篇预测VIX的论文，被引用22次] |
论文 |
North American Journal of Economics and Finance |
2015.34p314-322 |
Qiang Liu, Shuxin Guo, Gaoxiu Qiao |
An excellent approximation for the m out of n day provision [被为大投行提供实时组合管理的美国Imagine Software公司采用] |
论文 |
North American Journal of Economics and Finance |
2021. |
Qiang Liu, Shuxin Guo |
Do overnight returns explain firm-specific investor sentiment in China? [国信证券-学术文献研究第42期推介https://mp.weixin.qq.com/s/hpqaTxKq1KKMUTjuD2lCuQ] |
论文 |
International Review of Economics and Finance |
2021.76p451-477 |
Xuemei Zhou, Qiang Liu, Shuxin Guo |
The evolving nature of intraday price discovery in the Chinese CSI 300 index futures market |
论文 |
Empirical Economics |
2017.52p1569-1585 |
Qiang Liu, Gaoxiu Qiao |
