Shenghong Li

Publication Activity (10 Years)

Years Active: 2006-2016
Publications (10 Years): 2

Top Topics

Diffusion Processes

Model Selection

Top Venues

J. Comput. Appl. Math.

Appl. Math. Comput.

Publications

Liu Wenqiong, Shenghong Li
Hedging default risks of CDO tranches in non-homogeneous Markovian contagion models. Appl. Math. Comput. 291 (2016)
Wenbin Hu, Shenghong Li
Fast Greeks by simulation: The block adjoint method with memory reduction. J. Comput. Appl. Math. 274 (2015)
Wenbin Hu, Shenghong Li
The forward-path method for pricing multi-asset American-style options under general diffusion processes. J. Comput. Appl. Math. 263 (2014)
Xiaofeng Yang, Jinping Yu, Shenghong Li, Albert Jerry Cristoforo, Xiaohu Yang
Pricing model of interest rate swap with a bilateral default risk. J. Comput. Appl. Math. 234 (2) (2010)
Ruxing Xu, Dan Wu, Shenghong Li
Dynamic Investment under Asymmetric Information. J. Comput. 5 (8) (2010)
Jingyang Yang, Yoon Choi, Shenghong Li, Jinping Yu
A note on "Monte Carlo analysis of convertible bonds with reset clause". Eur. J. Oper. Res. 200 (3) (2010)
Cong Gu, Shenghong Li, Bo Zhou
On the Time to Ruin for Erlang(2) Risk Model in a Markov Environment. BIFE (2009)
Jinping Yu, Xiaofeng Yang, Shenghong Li, Xiaohu Yang
Pricing Convertible Bond with Call Clause in Exponential Variance Gamma Model. BIFE (2009)
Ruxing Xu, Shenghong Li
A Tree Model for Pricing Convertible Bonds with Equity, Market and Default Risk. BIFE (2009)
Jingyang Yang, Shenghong Li
Pricing Convertible Bonds with Reset Clauses and Stochastic Interest Rates. BIFE (2009)
Shanshan Ding, Liugen Wang, Shenghong Li
The Investment-Uncertainty Relationship in a Real Option Model. BIFE (2009)
Xiaoyu Ren, Shenghong Li, Xinping Shao
A Fast Algorithm for Solving the Pricing of American Options. BIFE (2009)
Shujin Li, Shenghong Li
Pricing American interest rate option on zero-coupon bond numerically. Appl. Math. Comput. 175 (1) (2006)