Select Publications

Journal articles

Shen Y; Meng Q; Shi P, 2014, 'Maximum principle for mean-field jump–diffusion stochastic delay differential equations and its application to finance', Automatica, 50, pp. 1565 - 1579, http://dx.doi.org/10.1016/j.automatica.2014.03.021

Shen Y; Zhang X; Siu TK, 2014, 'Mean–variance portfolio selection under a constant elasticity of variance model', Operations Research Letters, 42, pp. 337 - 342, http://dx.doi.org/10.1016/j.orl.2014.05.008

Shen Y; Zeng Y, 2014, 'Optimal investment–reinsurance with delay for mean–variance insurers: A maximum principle approach', Insurance: Mathematics and Economics, 57, pp. 1 - 12, http://dx.doi.org/10.1016/j.insmatheco.2014.04.004

Shen Y; Fan K; Siu TK, 2014, 'Option Valuation Under a Double Regime-Switching Model', Journal of Futures Markets, 34, pp. 451 - 478

Shen Y; Siu TK, 2013, 'Stochastic differential game, esscher transform and general equilibrium under a markovian regime-switching lévy model', Insurance: Mathematics and Economics, 53, pp. 757 - 768, http://dx.doi.org/10.1016/j.insmatheco.2013.09.016

Shen Y; Siu TK, 2013, 'A stochastic maximum principle for backward control systems with random default time', International Journal of Control, 86, pp. 953 - 965

Shen Y; Siu TK, 2013, 'Longevity bond pricing under stochastic interest rate and mortality with regime-switching', Insurance: Mathematics and Economics, 52, pp. 114 - 123

Shen Y; Siu TK, 2013, 'Pricing bond options under a Markovian regime-switching Hull–White model', Economic Modelling, 30, pp. 933 - 940

Shen Y; Siu TK, 2013, 'Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching', Operations Research Letters, 41

Shen Y; Siu TK, 2013, 'The maximum principle for a jump-diffusion mean-field model and its application to the mean–variance problem', Nonlinear Analysis: Theory, Methods & Applications, 86, pp. 58 - 73

Shen Y; Siu TK, 2012, 'Asset allocation under stochastic interest rate with regime switching', Economic Modelling, 29, pp. 1126 - 1136

Preprints

Shen Y; Sherris M; Ziveyi J, Valuation of Guaranteed Minimum Maturity Benefits in Variable Annuities with Surrender Options, http://dx.doi.org/10.2139/ssrn.2695265


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