harry zheng
Title
Cited by
Cited by
Year
Can fuzzy logic make technical analysis 20/20?
XS Zhou, M Dong
Financial Analysts Journal 60 (4), 54-75, 2004
592004
The extended Euler--Lagrange condition for nonconvex variational problems
R Vinter, H Zheng
SIAM journal on control and optimization 35 (1), 56-77, 1997
451997
Generalized conjugate points for optimal control problems
PD Loewen, H Zheng
Nonlinear Analysis: Theory, Methods & Applications 22 (6), 771-791, 1994
431994
Necessary conditions for optimal control problems with state constraints
R Vinter, H Zheng
Transactions of the American Mathematical Society 350 (3), 1181-1204, 1998
401998
Basket CDS pricing with interacting intensities
H Zheng, L Jiang
Finance and stochastics 13 (3), 445-469, 2009
392009
Basket options valuation for a local volatility jump–diffusion model with the asymptotic expansion method
G Xu, H Zheng
Insurance: Mathematics and Economics 47 (3), 415-422, 2010
372010
A maximum principle for optimal control problems with mixed constraints
MDR De Pinho, RB Vinter, H Zheng
IMA Journal of Mathematical Control and Information 18 (2), 189-205, 2001
362001
A neural stochastic volatility model
R Luo, W Zhang, X Xu, J Wang
Proceedings of the AAAI Conference on Artificial Intelligence 32 (1), 2018
352018
Smooth value functions for a class of nonsmooth utility maximization problems
B Bian, S Miao, H Zheng
SIAM Journal on Financial Mathematics 2 (1), 727-747, 2011
282011
Turnpike property and convergence rate for an investment model with general utility functions
B Bian, H Zheng
Journal of Economic Dynamics and Control 51, 28-49, 2015
252015
Approximate basket options valuation for a jump-diffusion model
G Xu, H Zheng
Insurance: Mathematics and Economics 45 (2), 188-194, 2009
232009
Interaction of credit and liquidity risks: Modelling and valuation
H Zheng
Journal of Banking & Finance 30 (2), 391-407, 2006
232006
On modeling credit defaults: A probabilistic Boolean network approach
JW Gu, WK Ching, TK Siu, H Zheng
Risk and decision analysis 4 (2), 119-129, 2013
192013
Efficient frontier of utility and CVaR
H Zheng
Mathematical Methods of Operations Research 70 (1), 129-148, 2009
182009
Jump liquidity risk and its impact on CVaR
H Zheng, Y Shen
The Journal of Risk Finance, 2008
182008
Stripping coupons with linear programming
DE Allen, LC Thomas, H Zheng
The Journal of Fixed Income 10 (2), 80-87, 2000
182000
Weak necessary and sufficient stochastic maximum principle for markovian regime-switching diffusion models
Y Li, H Zheng
Applied Mathematics & Optimization 71 (1), 39-77, 2015
152015
Efficient hybrid methods for portfolio credit derivatives
H Zheng
Quantitative Finance 6 (4), 349-357, 2006
152006
The duration derby: a comparison of duration based strategies in asset liability management
H Zheng, LC Thomas, DE Allen
Journal of Bond Trading and Management 1 (4), 371-380, 2003
152003
Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan
Y Dong, H Zheng
European Journal of Operational Research 281 (2), 341-356, 2020
142020
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