☰

Lingfei Li, Ph.D.

Affiliations: 
2012 Industrial Engineering and Management Sciences Northwestern University, Evanston, IL 
Area:
Operations Research, Finance, Management Business Administration
Google:
"Lingfei Li"
Tree Publications Similar researchers PubMed Report error

Parents

Sign in to add mentor
Vadim Linetsky grad student 2012 Northwestern
 (Stochastic Modeling in Commodity Markets and Optimal Stopping of Symmetric Markov Processes.)

Children

Sign in to add trainee

Collaborators

Sign in to add collaborator
BETA: Related publications

Publications

You can help our author matching system! If you notice any publications incorrectly attributed to this author, please sign in and mark matches as correct or incorrect.

Li L, Mendoza-Arriaga R. (2019) Equivalent Measure Changes for Subordinate Diffusions Stochastic Models. 35: 357-390
Zhang G, Li L. (2019) Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior Operations Research. 67: 407-427
Li L, Zhang G. (2018) Error Analysis of Finite Difference and Markov Chain Approximations for Option Pricing Mathematical Finance. 28: 877-919
Li J, Li L, Zhang G. (2017) Pure jump models for pricing and hedging VIX derivatives Journal of Economic Dynamics and Control. 74: 28-55
Li L, Zhang G. (2016) Option Pricing in Some Non-Levy Jump Models Siam Journal On Scientific Computing. 38
Li L, Mendoza-Arriaga R, Mo Z, et al. (2016) Modelling electricity prices: a time change approach Quantitative Finance. 1-21
Li L, Mendoza-Arriaga R, Mitchell D. (2016) Analytical representations for the basic affine jump diffusion Operations Research Letters. 44: 121-128
Li L, Qu X, Zhang G. (2016) An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance Journal of Computational and Applied Mathematics. 294: 225-250
Li J, Li L, Mendoza-Arriaga R. (2016) Additive subordination and its applications in finance Finance and Stochastics. 20: 589-634
Li L, Linetsky V. (2015) Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach Finance and Stochastics. 19: 941-977
See more...