Chen, P., & Song, Y. (2024). A general approximation method for optimal stopping and random delay. Mathematical Finance, 34(1), 5-35.

Wu, B., Chen, P., & Ye, W. (2024). Variance swaps with mean reversion and multi-factor variance. European Journal of Operational Research, 315(1), 191-212.

Ye, W., Zhou, Y., Chen, P., & Wu, B. (2024). A simulation-based method for estimating systemic risk measures. European Journal of Operational Research, 313(1), 312-324.

Ye, W., Yang, J., & Chen, P. (2023). Short-term stock price trend prediction with imaging high frequency limit order book data. International Journal of Forecasting, forthcoming.

Ye, W., Wu, B., & Chen, P. (2023). Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure. Probability in the Engineering and Informational Sciences, 37(1), 245-274.

Chen, P., & Song, Y. (2022). Irreversible investment with random delay and partial prepayment. Operations Research Letters, 50(5), 434-440.

Ye, W., Chen, P., Shi, Y., & Liu, X. (2022). Trading restriction and the choice for derivatives. International Review of Financial Analysis, 82, 102118.

Tan, K., Chen, Y., & Chen, P. (2022). Modeling maxima with a regime-switching Fréchet model. Journal of Risk, 25(2), 1-19.

Ye, W., Xia, W., Wu, B., & Chen, P. (2022). Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market. International Review of Financial Analysis, 83, 102277.

Wu, B., Chen, P., & Ye, W. (2021). Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market. Journal of Futures Markets, 41(7), 1055-1073.

Chen, P., & Ye, W. (2021). Stochastic volatility model with correlated jump sizes and independent arrivals. Probability in the Engineering and Informational Sciences, 35(3), 513-531.

叶五一,陆欣,陈鹏展.(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, 系统工程学报, 38(6),785-777.