Ning Cai, Ph.D.
Affiliations: | 2008 | Columbia University, New York, NY |
Area:
Operations ResearchGoogle:
"Ning Cai"Parents
Sign in to add mentor| Steven Kou | grad student | 2008 | Columbia | |
| (Jump diffusion processes in financial modeling.) | ||||
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Publications
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| Cai N, Kou S. (2019) Econometrics with Privacy Preservation Operations Research. 67: 905-926 |
| Song Y, Cai N, Kou S. (2018) Computable Error Bounds of Laplace Inversion for Pricing Asian Options Informs Journal On Computing. 30: 634-645 |
| Cai N, Song Y, Chen N. (2017) Exact Simulation of the SABR Model Operations Research. 65: 931-951 |
| Cai N, Li C, Shi C. (2014) Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models Mathematics of Operations Research. 39: 789-822 |
| Cai N, Kou SG, Liu Z. (2014) A two-sided Laplace inversion algorithm with computable error bounds and its applications in financial engineering Advances in Applied Probability. 46: 766-789 |
| Cai N, Sun L. (2014) Valuation of stock loans with jump risk Journal of Economic Dynamics and Control. 40: 213-241 |
| Cai N, Kou S. (2012) Pricing Asian options under a hyper-exponential jump diffusion model Operations Research. 60: 64-77 |
| Cai N. (2011) Pricing and hedging of quantile options in a flexible jump diffusion model Journal of Applied Probability. 48: 637-656 |
| Cai N, Chen N, Wan X. (2010) Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options Mathematics of Operations Research. 35: 412-437 |
| Cai N, Chen N, Wan X. (2009) Pricing double-barrier options under a flexible jump diffusion model Operations Research Letters. 37: 163-167 |