Zhenyu Cui

Identifiers

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Papers (8)

1. Rough Heston model as the scaling limit of bivariate cumulative heavy-tailed INAR processes: Weak-error bounds and option pricing math.PR · 2025 · author #2
2. On "A General Framework for Pricing Asian Options Under Markov Processes" q-fin.PR · 2016 · author #1
3. Omega risk model with tax q-fin.RM · 2014 · author #1
4. A new proof of an Engelbert-Schmidt type zero-one law for time-homogeneous diffusions math.PR · 2013 · author #1
5. Stochastic areas of diffusions and applications in risk theory q-fin.RM · 2013 · author #1
6. Convergence of the discrete variance swap in time-homogeneous diffusion models q-fin.PR · 2013 · author #2
7. On the martingale property in stochastic volatility models based on time-homogeneous diffusions math.PR · 2013 · author #2
8. Prices and Asymptotics for Discrete Variance Swaps q-fin.PR · 2013 · author #2

Mentions

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Frequent Coauthors

• Carole Bernard 3 shared papers
• Don McLeish 2 shared papers
• Chihoon Lee 1 shared papers
• Lingjiong Zhu 1 shared papers
• Yanchu Liu 1 shared papers
• Yingli Wang 1 shared papers