Liming Feng

Publication Activity (10 Years)

Years Active: 2008-2024
Publications (10 Years): 3

Top Topics

Reinforcement Learning Problems

Evolutionary Methods

Top Venues

Comput. Intell. Neurosci.

IEEE Trans. Smart Grid

Eur. J. Oper. Res.

Publications

Shunlin Zheng, Qi Qi, Yi Sun, Yaliang Liu, Liming Feng, Chao Quan
A Risk Diversification Strategy for Integrated Demand Response Under Imperfect Rationality. IEEE Trans. Smart Grid 15 (4) (2024)
Jian Liu, Liming Feng
Diversity Evolutionary Policy Deep Reinforcement Learning. Comput. Intell. Neurosci. 2021 (2021)
Jingnan Chen, Liming Feng, Jiming Peng
Optimal deleveraging with nonlinear temporary price impact. Eur. J. Oper. Res. 244 (1) (2015)
Jingnan Chen, Liming Feng, Jiming Peng, Yinyu Ye
Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact. Oper. Res. 62 (1) (2014)
Daniel P. Robinson, Liming Feng, Jorge Nocedal, Jong-Shi Pang
Subspace Accelerated Matrix Splitting Algorithms for Asymmetric and Symmetric Linear Complementarity Problems. SIAM J. Optim. 23 (3) (2013)
Liming Feng, Xiong Lin
Inverting Analytic Characteristic Functions and Financial Applications. SIAM J. Financial Math. 4 (1) (2013)
Liming Feng, Xiong Lin
Pricing Bermudan Options in Lévy Process Models. SIAM J. Financial Math. 4 (1) (2013)
Zisheng Chen, Liming Feng, Xiong Lin
Simulating Lévy Processes from Their Characteristic Functions and Financial Applications. ACM Trans. Model. Comput. Simul. 22 (3) (2012)
Zisheng Chen, Liming Feng, Xiong Lin
Inverse transform method for simulating Levy processes and discrete Asian options pricing. WSC (2011)
Liming Feng, Vadim Linetsky, José Luis Morales, Jorge Nocedal
On the solution of complementarity problems arising in American options pricing. Optim. Methods Softw. 26 (4-5) (2011)
Liming Feng, Vadim Linetsky
Computing exponential moments of the discrete maximum of a Lévy process and lookback options. Finance Stochastics 13 (4) (2009)
Liming Feng, Vadim Linetsky
Pricing Options in Jump-Diffusion Models: An Extrapolation Approach. Oper. Res. 56 (2) (2008)