Shenghong Li

13 papers Journal 7Unranked 6
YearRankTypeTitle / Venue / Authors
2016 J jnl
Hedging default risks of CDO tranches in non-homogeneous Markovian contagion models.
Appl. Math. Comput.
Liu Wenqiong, Shenghong Li
2015 J jnl
Fast Greeks by simulation: The block adjoint method with memory reduction.
J. Comput. Appl. Math.
Wenbin Hu, Shenghong Li
2014 J jnl
The forward-path method for pricing multi-asset American-style options under general diffusion processes.
J. Comput. Appl. Math.
Wenbin Hu, Shenghong Li
2010 J jnl
A note on "Monte Carlo analysis of convertible bonds with reset clause".
Eur. J. Oper. Res.
Jingyang Yang, Yoon Choi, Shenghong Li, Jinping Yu
2010 J jnl
Dynamic Investment under Asymmetric Information.
J. Comput.
Ruxing Xu, Dan Wu, Shenghong Li
2010 J jnl
Pricing model of interest rate swap with a bilateral default risk.
J. Comput. Appl. Math.
Xiaofeng Yang, Jinping Yu, Shenghong Li, Albert Jerry Cristoforo, Xiaohu Yang
2009 — conf
A Fast Algorithm for Solving the Pricing of American Options.
BIFE
Xiaoyu Ren, Shenghong Li, Xinping Shao
2009 — conf
A Tree Model for Pricing Convertible Bonds with Equity, Market and Default Risk.
BIFE
Ruxing Xu, Shenghong Li
2009 — conf
On the Time to Ruin for Erlang(2) Risk Model in a Markov Environment.
BIFE
Cong Gu, Shenghong Li, Bo Zhou
2009 — conf
Pricing Convertible Bond with Call Clause in Exponential Variance Gamma Model.
BIFE
Jinping Yu, Xiaofeng Yang, Shenghong Li, Xiaohu Yang
2009 — conf
Pricing Convertible Bonds with Reset Clauses and Stochastic Interest Rates.
BIFE
Jingyang Yang, Shenghong Li
2009 — conf
The Investment-Uncertainty Relationship in a Real Option Model.
BIFE
Shanshan Ding, Liugen Wang, Shenghong Li
2006 J jnl
Pricing American interest rate option on zero-coupon bond numerically.
Appl. Math. Comput.
Shujin Li, Shenghong Li