Lingjiong Zhu, Ph.D.
Affiliations: | Florida State University, Tallahassee, FL, United States | ||
| 2013 | Mathematics | New York University, New York, NY, United States |
Area:
Mathematics, Finance, Statistics, Applied MathematicsGoogle:
"Lingjiong Zhu"Parents
Sign in to add mentor| S. R. Srinivasa Varadhan | grad student | 2013 | NYU | |
| (Nonlinear Hawkes Processes.) | ||||
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Publications
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| Pirjol D, Zhu L. (2020) Asymptotics of the time-discretized log-normal SABR model: The implied volatility surface Probability in the Engineering and Informational Sciences. 1-33 |
| Pirjol D, Zhu L. (2019) Short Maturity Asian Options for the CEV Model Probability in the Engineering and Informational Sciences. 33: 258-290 |
| Gao X, Zhu L. (2018) Large deviations and applications for Markovian Hawkes processes with a large initial intensity Bernoulli. 24: 2875-2905 |
| Pirjol D, Zhu L. (2018) Sensitivities Of Asian Options In The Black–Scholes Model International Journal of Theoretical and Applied Finance. 21: 1850008 |
| Gao X, Zhou X, Zhu L. (2018) Transform Analysis for Hawkes Processes with Applications in Dark Pool Trading Quantitative Finance. 18: 265-282 |
| Aristoff D, Zhu L. (2018) On the phase transition curve in a directed exponential random graph model Advances in Applied Probability. 50: 272-301 |
| Gao F, Zhu L. (2018) Some asymptotic results for nonlinear Hawkes processes Stochastic Processes and Their Applications. 128: 4051-4077 |
| Gao X, Zhu L. (2018) Limit theorems for Markovian Hawkes processes with a large initial intensity Stochastic Processes and Their Applications. 128: 3807-3839 |
| Gao X, Zhu L. (2018) Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues Queueing Systems. 90: 161-206 |
| Yin M, Zhu L. (2017) Asymptotics for sparse exponential random graph models Brazilian Journal of Probability and Statistics. 31: 394-412 |