Wenyuan Li

Wenyuan Li

University of Hong Kong - Pok Fu Lam / Hong Kong
Natural Sciences / Mathematical Sciences
AD Scientific Index ID: 5718495
香港大學
person_outline Wenyuan Li's MOST POPULAR ARTICLES
1-) Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximizationJ Ma, W Li, H ZhengEuropean Journal of Operational Research 262 (3), 851-862, 2017162017
2-) Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility modelJ Ma, W Li, H ZhengEuropean Journal of Operational Research 280 (2), 428-440, 2020152020
3-) Demand for non-life insurance under habit formationW Li, KS Tan, P WeiInsurance: Mathematics and Economics 101, 38-54, 202192021
4-) Least-squares Monte-Carlo methods for optimal stopping investment under CEV modelsJ Ma, Z Lu, W Li, J XingQuantitative Finance 20 (7), 1199-1211, 202062020
5-) Optimal investment strategies for general utilities under dynamic elasticity of variance modelsW Li, J MaQuantitative Finance 18 (8), 1379-1388, 201862018