Optimal Investment

Portfolio selection with capital gains tax

1.      Portfolio selection with capital gains tax, recursive utility, and regime switching Management Science to appear (with J. Cai and X. Chen); The first version: Asymptotics for Merton problem with small capital gain tax and interest rate (with X. Chen)

2.      Optimal tax-timing with asymmetric long-term/short-term capital gains tax Review of Financial Studies, (2015) 28(9), 2687-2721 (with H. Liu, C. Yang, and Y.F. Zhong)

Trading strategies

3.      Optimal trend following trading rules Mathematics of Operations Research (2016), 41(2), 626-642 (with Z. Yang, Q. Zhang and Q. Zhu)

4.      Optimal stock selling based on the global maximum, SIAM Journal on Control and Optimization (2012), 50, 1804-1822. (with Y.F. Zhong and Z. Yang)

5.      Optimal stock selling/buying strategy with reference to the ultimate average, Mathematical Finance (2012), 22(1), 165-184. (with Y.F. Zhong)

6.      Optimal decision for selling an illiquid stock, Journal of Optimization Theory and Applications, (2011), 151(2), 402-417. (with B. Bian, L. Jiang, J. Zhang and Y.F. Zhong)

7.      Optimal arbitrage strategies on stock index futures under position limits, Journal of Futures Market, (2011), 31(4), 394-406. (with Y.K. Kwok and Y.F. Zhong)

8.      Trend following trading under a regime switching model, SIAM Journal on Financial Mathematics, (2010), 1, 780-810. (with Q. Zhang and Q. Zhu)

9.      Buy low and sell high, Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen, edited by Chiarella, Carl and Novikov, Alexander, Springer, 2010, 317-334 (with H.Q. Jin, Y.F. Zhong, and X.Y. Zhou)

Portfolio selection with transaction costs

10.  Portfolio choice with market closure and implications for liquidity premia  Management Science (2016), 62(2), 368-386 (with P.F. Li, H. Liu, and Y. Wang)

11.  A note on finite horizon optimal investment and consumption with transaction costs Discrete and Continuous Dynamical Systems - Series B (2016), 21(5), 1445-1454 (with Z. Yang)

12.  Characterization of optimal strategy for multi-asset investment and consumption with transaction costs SIAM Journal on Financial Mathematics (2013), 4(1), 857-883 (with X. Chen)

13.  Finite horizon optimal investment and consumption with CARA Utility and proportional transaction costs Stochastic Analysis and Applications to Finance, Essays in Honour of Jia-an Yan, Eds. T. Zhang and X. Y. Zhou, World Scientific, 2012, 39-54 (with Y. Chen and K. Zhao)

14.  Leverage management in a bull-bear switching market Journal of Economic Dynamics and Control (2012), 36, 1585-1599. (with H.F. Wang and Z. Yang)

15.  Illiquidity, position limits, and optimal investment for mutual funds, Journal of Economic Theory (2011), 146, 1598-1630. (with H.Q. Jin and H. Liu)

16.  Continuous-time mean-variance portfolio selection with proportional transaction costs, SIAM Journal on Financial Mathematics, (2010), 1(1), 96-125. (with Z.Q. Xu and X.Y. Zhou)

17.  Penalty methods for continuous-time portfolio selection with proportional transaction costs, Journal of Computational Finance, (2010), 13(3), 1-31. (with Y.F. Zhong)

18.  Finite horizon optimal investment and consumption with transaction costs, SIAM Journal on Control and Optimization (2009), 48(2), 1134-1154 (with L. Jiang, P.F. Li and F.H. Yi)

19.  Finite horizon optimal investment with transaction costs: a parabolic double obstacle problem, Journal of Differential Equations (2009), 246, 1445-1469. (with F.H. Yi)

Derivative Pricing

Corporate debts

20.  Pricing corporate debt with finite maturity and Chapter 11 proceedings Quantitative Finance (2013), 13(12), 1855-1861. (with L. Jiang and J. Lin)

21.  A non-zero-sum game approach to convertible bonds: tax benefit, bankruptcy cost and early/late calls, Mathematical Finance (2013), 23(1), 57-93. (with N. Chen, X. Wan)

Structured products

22.  Optimal redeeming strategy of stock loans with finite maturity, Mathematical Finance (2011), 21(4), 775-793 (with Z.Q. Xu)

23.  Guaranteed minimum withdrawal benefit in variable annuities, Mathematical Finance (2008), 18(4), 595-611 (with Y.K. Kwok and J. Zong)

24.  Intensity-based framework and penalty formulation of optimal stopping problems, Journal of Economic Dynamics and Control (2007), 31(12):3860-3880 (with Y.K. Kwok and H. You)

25.  Optimal policies of call with notice period requirement for American warrants and convertible bonds, Asia Pacific Financial Markets (2005), 12(4):353-373 (with Y.K. Kwok)

Pricing beyond Black-Scholes

26.  Calibration of stochastic volatility models: A Tikhonov regularization approach Journal of Economic Dynamics and Control (2016), 64, 66-81 (with L. Tang and X.Y. Yue)

27.  Superhedging under ratio constraint Journal of Economic Dynamics and Control, (2015), 58, 250-264 (with Y. Chen, J. Xu, and M. Xu)

28.  Pricing jump risk with utility indifference, Quantitative Finance (2009), 9(2):177-186 (with L.X. Wu)

Path-dependent options

29.  A lattice pricing algorithm for moving-average barrier options, Journal of Economic Dynamics and Control (2010), 34(3):542-554 (with P.F. Li and J.E. Zhang)

30.  Optimal multiple stopping models of reload options and shout options, Journal of Economic Dynamics and Control (2008), 32(7):2269-2290 (with Y.K. Kwok)

31.  A parabolic variational inequality arising from the valuation of strike reset options, Journal of Differential Equations (2006), 230:481-501 (with Z. Yang and F.H. Yi)

32.  Characterization of optimal stopping regions of American path dependent options, Mathematical Finance (2006), 16(1):63-82 (with Y.K. Kwok)

33.  American options with lookback payoff, SIAM Journal on Applied Mathematics (2005), 66(1):206-227 (with Y.K. Kwok)

34.  Options with combined reset rights on strike and maturity, Journal of Economic Dynamics and Control (2005), 29(9):1495-1515 (with Y.K. Kwok)

35.  Valuing employee reload options under time vesting requirement, Quantitative Finance (2005), 5(1):61-69 (with Y.K. Kwok)

36.  Quanto lookback options, Mathematical Finance (2004), 14(3):445-467 (with H.Y. Wong and Y.K. Kwok)

37.  Optimal shouting policies of options with strike reset rights, Mathematical Finance (2004), 14(3):383-401 (with Y.K. Kwok and L.X. Wu)

38.  Knock-in American options, Journal of Futures Markets (2004), 24(2):179-192 (with Y.K. Kwok)

39.  Options with multiple reset rights, International Journal of Theoretical and Applied Finance (2003), 6(5):637-653 (with Y.K. Kwok and L.X. Wu)

40.  A closed form solution to perpetual American floating strike lookback option, Journal of Computational Finance (winter 2000/2001), 4(2):63-68

Binomial tree methods

41.  Convergence of binomial tree method for European/American path-dependent options, SIAM Journal on Numerical Analysis (2004), 42(3):1094-1109 (with L. Jiang)

42.  One-state variable binomial models for European-/American-style geometric Asian options, Quantitative Finance (2003), 3(4):288-295

43.  A modified binomial tree method for currency lookback options, Acta Mathematica Sinica, (2000), 16(3):445-454

44.  Convergence analysis of binomial tree method for American-type path-dependent options, Free boundary problems: theory and applications, I (Chiba, 1999), 153-166, GAKUTO Internat. Ser. Math. Sci. Appl., 13, Tokyo, 2000 (with L. Jiang)

45.  Convergence of binomial tree method for American options, Partial differential equations and their applications (Wuhan, 1999), 106-118, World Sci. Publ., River Edge, NJ, 1999 (with L. Jiang)