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Projects 2017 2019

The role of liquidity in financial markets

Zhu, S., Elliott, R. & Guo, I.

15/06/1731/12/19

Project: Research

Research Output 2012 2019

Optimal execution with regime-switching market resilience

Siu, C. C., Guo, I., Zhu, S. P. & Elliott, R. J., 1 Apr 2019, In : Journal of Economic Dynamics and Control. 101, p. 17-40 24 p.

Research output: Contribution to journalArticleResearchpeer-review

Pricing Bounds for Volatility Derivatives via Duality and Least Squares Monte Carlo

Guo, I. & Loeper, G., Nov 2018, In : Journal of Optimization Theory and Applications. 179, 2, p. 598–617 20 p.

Research output: Contribution to journalArticleResearchpeer-review

Arbitrage-free pricing of multi-person game claims in discrete time

Guo, I. & Rutkowski, M., Jan 2017, In : Finance and Stochastics. 21, 1, p. 111-155 45 p.

Research output: Contribution to journalArticleResearchpeer-review

Equal risk pricing under convex trading constraints

Guo, I. & Zhu, S. P., 1 Mar 2017, In : Journal of Economic Dynamics and Control. 76, p. 136-151 16 p.

Research output: Contribution to journalArticleResearchpeer-review

PRICING EUROPEAN OPTIONS ON REGIME-SWITCHING ASSETS: A COMPARATIVE STUDY of MONTE CARLO and FINITE-DIFFERENCE APPROACHES

Zeng, X. C., Guo, I. & Zhu, S. P., 1 Oct 2017, In : ANZIAM Journal. 59, 2, p. 183-199 17 p.

Research output: Contribution to journalArticleResearchpeer-review

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