Yang Shen
Yang Shen
Unversity of New South Wales
Verified email at unsw.edu.au - Homepage
TitleCited byYear
The maximum principle for a jump-diffusion mean-field model and its application to the mean–variance problem
Y Shen, TK Siu
Nonlinear Analysis: Theory, Methods & Applications 86, 58-73, 2013
542013
Maximum principle for mean-field jump–diffusion stochastic delay differential equations and its application to finance
Y Shen, Q Meng, P Shi
Automatica 50, 1565-1579, 2014
512014
Optimal investment–reinsurance strategy for mean–variance insurers with square-root factor process
Y Shen, Y Zeng
Insurance: Mathematics and Economics 62, 118-137, 2015
382015
Optimal control of mean-field jump-diffusion systems with delay: A stochastic maximum principle approach
Q Meng, Y Shen
Journal of Computational and Applied Mathematics 279, 13-30, 2014
292014
Optimal investment–reinsurance with delay for mean–variance insurers: A maximum principle approach
Y Shen, Y Zeng
Insurance: Mathematics and Economics 57, 1-12, 2014
282014
Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
Y Shen, TK Siu
Operations Research Letters 41 (2), 180-187, 2013
252013
Longevity bond pricing under stochastic interest rate and mortality with regime-switching
Y Shen, TK Siu
Insurance: Mathematics and Economics 52 (1), 114-123, 2013
252013
Option Valuation Under a Double Regime‐Switching Model
Y Shen, K Fan, TK Siu
Journal of Futures Markets 34 (5), 451-478, 2014
232014
Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
H Zhao, Y Shen, Y Zeng
Journal of Mathematical Analysis and Applications 437 (2), 1036-1057, 2016
222016
Optimal investment-consumption-insurance with random parameters
Y Shen, J Wei
Scandinavian Actuarial Journal 2016 (1), 37-62, 2016
222016
Mean–variance portfolio selection under a constant elasticity of variance model
Y Shen, X Zhang, TK Siu
Operations Research Letters 42, 337-342, 2014
222014
Pricing bond options under a Markovian regime-switching Hull–White model
Y Shen, TK Siu
Economic Modelling 30, 933-940, 2013
222013
Asset allocation under stochastic interest rate with regime switching
Y Shen, TK Siu
Economic Modelling 29 (4), 1126-1136, 2012
222012
Pricing annuity guarantees under a double regime-switching model
K Fan, Y Shen, TK Siu, R Wang
Insurance: Mathematics and Economics 62, 62-78, 2015
192015
Consumption-Investment Strategies with Non-Exponential Discounting and Logarithmic Utility
Q Zhao, Y Shen, J Wei
European Journal of Operational Research 238, 824–835, 2014
162014
Pricing foreign equity options with regime-switching
K Fan, Y Shen, TK Siu, R Wang
Economic Modelling 37, 296-305, 2014
152014
Time-Consistent Investment-Reinsurance Strategies Towards Joint Interests of the Insurer and the Reinsurer Under CEV Models
H Zhao, C Weng, Y Shen, Y Zeng
Science China Mathematics 60 (2), 317–344, 2017
112017
Mean–variance portfolio selection in a complete market with unbounded random coefficients
Y Shen
Automatica 55, 165-175, 2015
112015
Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching LÚvy model
Y Shen, TK Siu
Insurance: Mathematics and Economics 53 (3), 757-768, 2013
102013
Dynamic derivative-based investment strategy for mean–variance asset–liability management with stochastic volatility
D Li, Y Shen, Y Zeng
Insurance: Mathematics and Economics 78, 72-86, 2018
82018
The system can't perform the operation now. Try again later.
Articles 1–20