Yiyi Zou

Publication Activity (10 Years)

Years Active: 2016-2017
Publications (10 Years): 3

Top Topics

Linear Inequalities

Randomized Approximation

Top Venues

Finance Stochastics

Monte Carlo Methods Appl.

SIAM J. Control. Optim.

Publications

Bruno Bouchard, Grégoire Loeper, Yiyi Zou
Hedging of Covered Options with Linear Market Impact and Gamma Constraint. SIAM J. Control. Optim. 55 (5) (2017)
Bruno Bouchard, Xiaolu Tan, Xavier Warin, Yiyi Zou
Numerical approximation of BSDEs using local polynomial drivers and branching processes. Monte Carlo Methods Appl. 23 (4) (2017)
Bruno Bouchard, Grégoire Loeper, Yiyi Zou
Almost-sure hedging with permanent price impact. Finance Stochastics 20 (3) (2016)