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Lingfei Li, Ph.D. - Publications

Affiliations: 
2012 Industrial Engineering and Management Sciences Northwestern University, Evanston, IL 
Area:
Operations Research, Finance, Management Business Administration
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15 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2019 Li L, Mendoza-Arriaga R. Equivalent Measure Changes for Subordinate Diffusions Stochastic Models. 35: 357-390. DOI: 10.2139/Ssrn.2633817  0.765
2019 Zhang G, Li L. Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior Operations Research. 67: 407-427. DOI: 10.1287/Opre.2018.1791  0.33
2018 Li L, Zhang G. Error Analysis of Finite Difference and Markov Chain Approximations for Option Pricing Mathematical Finance. 28: 877-919. DOI: 10.1111/Mafi.12161  0.492
2017 Li J, Li L, Zhang G. Pure jump models for pricing and hedging VIX derivatives Journal of Economic Dynamics and Control. 74: 28-55. DOI: 10.1016/J.Jedc.2016.11.001  0.535
2016 Li L, Zhang G. Option Pricing in Some Non-Levy Jump Models Siam Journal On Scientific Computing. 38. DOI: 10.1137/15M1048926  0.632
2016 Li L, Mendoza-Arriaga R, Mo Z, Mitchell D. Modelling electricity prices: a time change approach Quantitative Finance. 1-21. DOI: 10.1080/14697688.2015.1125521  0.769
2016 Li L, Mendoza-Arriaga R, Mitchell D. Analytical representations for the basic affine jump diffusion Operations Research Letters. 44: 121-128. DOI: 10.1016/J.Orl.2015.12.003  0.761
2016 Li L, Qu X, Zhang G. An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance Journal of Computational and Applied Mathematics. 294: 225-250. DOI: 10.1016/J.Cam.2015.08.010  0.533
2016 Li J, Li L, Mendoza-Arriaga R. Additive subordination and its applications in finance Finance and Stochastics. 20: 589-634. DOI: 10.1007/S00780-016-0300-8  0.777
2015 Li L, Linetsky V. Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach Finance and Stochastics. 19: 941-977. DOI: 10.1007/S00780-015-0271-1  0.754
2014 Li L, Linetsky V. Time-Changed Ornstein-Uhlenbeck Processes And Their Applications In Commodity Derivative Models Mathematical Finance. 24: 289-330. DOI: 10.1111/Mafi.12003  0.779
2014 Li L, Linetsky V. Optimal stopping in infinite horizon: An eigenfunction expansion approach Statistics & Probability Letters. 85: 122-128. DOI: 10.1016/J.Spl.2013.11.017  0.708
2013 Li L, Linetsky V. Optimal stopping and early exercise: An eigenfunction expansion approach Operations Research. 61: 625-643. DOI: 10.2139/Ssrn.2212656  0.747
2013 Li L, Mendoza-Arriaga R. Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models Operations Research Letters. 41: 521-525. DOI: 10.1016/J.Orl.2013.06.010  0.77
2012 Lim D, Li L, Linetsky V. Evaluating Callable and Putable Bonds: An Eigenfunction Expansion Approach Journal of Economic Dynamics and Control. 36: 1888-1908. DOI: 10.1016/J.Jedc.2012.06.002  0.761
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