A general approximation method for optimal stopping and random delay    
   Pengzhan Chen, Yingda Song    
   Mathematical Finance 2024 |  paper

Variance swaps with mean reversion and multi-factor variance    
   Bin Wu, Pengzhan Chen, Wuyi Ye    
   European Journal of Operational Research 2024 |  paper

A simulation-based method for estimating systemic risk measures    
   Wuyi Ye, Yi Zhou, Pengzhan Chen, Bin Wu    
   European Journal of Operational Research 2024 |  paper

Short-term stock price trend prediction with imaging high frequency limit order book data    
   Wuyi Ye, Jinting Yang, Pengzhan Chen    
   International Journal of Forecasting 2023 |  paper

Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure    
   Wuyi Ye, Bin Wu, Pengzhan Chen    
   Probability in the Engineering and Informational Sciences 2023 | paper

Irreversible investment with random delay and partial prepayment    
   Pengzhan Chen, Yingda Song    
   Operations Research Letters 2022 |  paper

Trading restriction and the choice for derivatives    
   Wuyi Ye, Pengzhan Chen, Yining Shi, Xiaoquan Liu    
   International Review of Financial Analysis 2022 | paper

Modeling maxima with a regime-switching Fréchet model    
   Keqi Tan, Yu Chen, Pengzhan Chen    
   Journal of Risk 2022 | paper

Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market    
   Wuyi Ye, Wenjing Xia, Bin Wu, Pengzhan Chen    
   International Review of Financial Analysis 2022 | paper

Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market    
   Bin Wu, Pengzhan Chen, Wuyi Ye    
   Journal of Futures Markets 2021 | paper

Stochastic volatility model with correlated jump sizes and independent arrivals    
   Pengzhan Chen, Wuyi Ye    
   Probability in the Engineering and Informational Sciences 2021 | paper