2020年发表论文

[1] Chen, Tianyao; Cheng, Xue; Yang, Jingping (2020). Decomposing correlated random walks on common and counter movements. Statistics and Probability Letters, 158, 108616.

[2] Fang, Jun; Jiang, Fan; Liu, Yong; Yang, Jingping (2020). Copula-based Markov process. Insurance: Mathematics and Economics, 91:166-187

[3] Fang, Zhuangyan; He, Yangbo (2020). IDA with Background Knowledge. The Conference on Uncertainty in Artificial Intelligence  (UAI，2020 ）.

[4] Liu, Yue; Fang, Zhuangyan; He, Yangbo; Geng, Zhi. Collapsible IDA: Collapsing Parental Sets for Locally Estimating Possible Causal Effects. The Conference on Uncertainty in Artificial Intelligence (UAI，2020 ）

[5] Yang, Jingping; Wang, Fang; Xie, Zongkai (2020). Bernstein copula and Composite Bernstein copula. In: From Probability to Finance, Lecture Notes of BICMR Summer School on Financial Mathematics (edited by Ying Jiao),  pp 183-217. Springer

[6] Liu, Y., Fang, Z. Y., He, Y. B., Geng, Z. and Liu, C. C. (2020) Local causal network learning for finding pairs of total and direct effects. Accepted by Journal of Machine Learning Research

 

 

2019年发表论文

[1] Cheng, Xue; Giacinto, Marina Di; Wang, Tai-Ho (2019). Optimal execution with dynamic risk adjustment. Journal of the Operational Research Society, 70(10), 1662-1677.

[2] Xie, Jiehua; Yang, Jingping; Zhu, Wenhao (2019).  A family of transformed copulas with a singular component. FUZZY SETS AND SYSTEMS, 354: 20-47.

[3] Yang, Yuehan; Wu, Lan (2019). A significance test for the elastic net and its asymptotic distribution with general predictors (in Chinese). Science China Mathematics, 2019, 49: 1119-1138.

 

2018年发表论文

[1] Bai, Yang; Wu, Lan (2018). Analytic value function for optimal regime-switching pairs trading rules, Quantitative Finance,2018, Volume 18, Issue 4: 637-654

[2] Cheng, Xue; Wang, Tai-Ho (2018). Bessel bridge representation for heat kernel in hyperbolic space, Proceedings of the American Mathematical Society, 146(4): 1781–1792.

[3] Han, Shiyu; Wu, Lan; Cheng, Yuan (2018). Equity market impact modeling: an empirical analysis for the Chinese market, Journal of Risk, Volume 20, Issue 6: 75-97

[4] Li, Lujun; Shao, Hui; Wang, Ruodu; Yang, Jingping (2018). Worst-Case Range Value-at-Risk with Partial Information, Siam Journal on Financial Mathematics, V. 9 (1): 190-218.

[5] Lin, Feng; Xie, Si-yuan; Yang, Jingping (2018). Semi-analytical Formula for Pricing Bilateral Counterparty Risk of CDS with Correlated Credit Risks, Aata Mathematicae Applicatae Sinica-ENGLISH SERIES, V.34(2):  209-236.

[6] Zheng, Yanting; Yang, Jingping; Huang, Jianhua Z. (2018). Shuffle of min's random variable approximations of bivariate copulas' realization. Communications in Statistics and Methods, V. 47(10): 2337-2350.

 

2017年发表论文

[1] Cheng, Xue; Giacinto, Marina D; Wang, Tai-Ho (2017). Optimal execution with uncertain order fills in Almgren-Chriss framework. Quantitative Finance, 17(1): 55-69.

[2] Guo, Nan; Wang, Fang; Yang, Jingping (2017). Remarks on composite Bernstein copula and its application to credit risk analysis. Insurance: Mathematics and Economics, 77: 38-48.

[3] Wu, Lan; Zhou, Jiang (2017). The distribution of refracted Lévy processes with jumps having rational Laplace transforms, Journal of Applied Probability, Vol.54: 1167-1192

[4] Wu, Lan; Zhou, Jiang; Yu, Shuang (2017). Occupation times of general Lévy processes. Journal of Theoretical Probability, 30: 1565-1604.

[5] Zang, Xin; Ni, Jun; Huang, Jing-Zhi; Wu, Lan (2017). Double jump diffusion model for VIX evidence from VVIX, Quantitative Finance, Volume 17, Issue 2: 227-240

[6] Zhou, Jiang; Wu, Lan; Bai, Yang (2017). Occupation times of Lévy-driven Ornstein–Uhlenbeck processes with two-sided exponential jumps and applications, Statistics and Probability Letters, 125: 80-90.

[7]Xie, Jiehua; Lin, Feng; Yang, Jingping (2017). On a generalization of Archimedean copula family. Statistics & Probabilty Letters, 125: 121-129.

 

2016年发表论文

[1] Chen, Zhijin; Yang, Jingping; Wang, Xiaoqian (2016). Pricing k (th) realization derivatives and collateralized debt obligation with multivariate Frechet copula. Frontiers of Mathematics in China, 11(6): 1419-1450.

[2] Wu, Lan; Zhou, Jiang (2016). Occupation times of hyper-exponential jump diffusion processes with application to price step options. Journal of Computational and Applied Mathematics, 294: 251-274.

 

 

2015年发表论文

[1] He, Yangbo; Jia, Jinzhu; Yu, Bin (2015). Counting and exploring sizes of Markov equivalence classes of directed acyclic graphs. Journal of Machine Learning Research 16: 2589-2609.

[2] Wu, Yijun; Zheng, Zhi; Zhou, Shulin; Yang, Jingping (2015). Dependence structure between LIBOR rates by copula method. Frontiers of Mathematics in China,10(1): 147-183.

[3] Yang, Jingping; Chen, Zhijin; Wang, Fang; Wang, Ruodu (2015). Composite Bernstein copulas, Astin Bulletin, 45(2): 445-475.