陈鹏展｜中国科学技术大学｜学者主页

期刊论文

2024

Short-term stock price trend prediction with imaging high frequency limit order book data

Wuyi Ye, Jinting Yang, Pengzhan Chen

International Journal Of Forecasting，Vol. 40, No. 3

DOI

2024

Variance swaps with mean reversion and multi-factor variance

Bin Wu, Pengzhan Chen, Wuyi Ye

European Journal Of Operational Research，Vol. 315, No. 1

DOI

2024

A simulation-based method for estimating systemic risk measures ☆

Wuyi Ye, Yi Zhou, Pengzhan Chen, Bin Wu

European Journal Of Operational Research，Vol. 313, No. 1

DOI

2024

A general approximation method for optimal stopping and random delay

Pengzhan Chen, Yingda Song

Mathematical Finance，Vol. 340, No. 10

DOI

2023

中国波指隐含的波动率风险溢价研究:基于带跳随机波动率模型的实证分析

叶五一，陆欣，陈鹏展

《系统工程学报》

2022

Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market

Wuyi Ye, Wenjing Xia, Bin Wu, Pengzhan Chen

International Review Of Financial Analysis，Vol. 83

DOI

2022

Trading restriction and the choice for derivatives

Wuyi Ye, Pengzhan Chen, Yining Shi, Xiaoquan Liu

International Review Of Financial Analysis，Vol. 82

DOI

2022

Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure

Wu-Yi Ye, Bin Wu, Pengzhan Chen

Probability in the engineering and informational sciences (Print)

DOI

2022

Modeling maxima with a regime-switching Fréchet model

Keqi Tan, Yu Chen, Pengzhan Chen

Journal of Risk

DOI

2022

Irreversible investment with random delay and partial prepayment

Pengzhan Chen, Yingda Song

Operations Research Letters

DOI

2021

Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market

Bin Wu, Pengzhan Chen, Wuyi Ye

Journal Of Futures Markets，Vol. 410, No. 70

DOI

2021

一类随机波动率跳扩散模型的参数估计和VIX指数衍生品定价研究

陈鹏展

《中国科学技术大学》

2020

STOCHASTIC VOLATILITY MODEL WITH CORRELATED JUMP SIZES AND INDEPENDENT ARRIVALS

Pengzhan Chen, Wu-Yi Ye

Probability in the engineering and informational sciences (Print)

DOI

预印本

2026

Irreversible Investment in Alternative Projects under Regime Switching

Pengzhan Chen, Zhongli Wang, Michi Nishihara

SSRN Electronic Journal

DOI

陈鹏展

精选作品

期刊论文

Short-term stock price trend prediction with imaging high frequency limit order book data

Variance swaps with mean reversion and multi-factor variance

A simulation-based method for estimating systemic risk measures ☆

A general approximation method for optimal stopping and random delay

中国波指隐含的波动率风险溢价研究:基于带跳随机波动率模型的实证分析

Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market

Trading restriction and the choice for derivatives

Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure

Modeling maxima with a regime-switching Fréchet model

Irreversible investment with random delay and partial prepayment

Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market

一类随机波动率跳扩散模型的参数估计和VIX指数衍生品定价研究

STOCHASTIC VOLATILITY MODEL WITH CORRELATED JUMP SIZES AND INDEPENDENT ARRIVALS

预印本

Irreversible Investment in Alternative Projects under Regime Switching

研究方向