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Yiqing (Irene) Huang
Yiqing (Irene) Huang
Assistant Professor, Teaching Stream, Computer Science, University of Toronto Scarborough
Verified email at utoronto.ca
Title
Cited by
Cited by
Year
Methods for pricing American options under regime switching
Y Huang, PA Forsyth, G Labahn
SIAM Journal on Scientific Computing 33 (5), 2144-2168, 2011
812011
Combined Fixed Point and Policy Iteration for Hamilton--Jacobi--Bellman Equations in Finance
Y Huang, PA Forsyth, G Labahn
SIAM Journal on Numerical Analysis 50 (4), 1861-1882, 2012
532012
Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)
Y Huang, PA Forsyth
IMA Journal of Numerical Analysis 32 (1), 320-351, 2012
532012
Iterative methods for the solution of a singular control formulation of a GMWB pricing problem
Y Huang, PA Forsyth, G Labahn
Numerische Mathematik, 1-35, 2012
302012
Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion
Y Huang, PA Forsyth, G Labahn
Applied Numerical Mathematics 72, 33-51, 2011
212011
Learning Bayesian networks by learning decomposable Markov networks first
Y Huang, Y Xiang
Electrical and Computer Engineering, 1999 IEEE Canadian Conference on 3 …, 1999
81999
Numerical Methods for Pricing a Guaranteed Minimum Withdrawal Benefit (GMWB) as a Singular Control Problem
Y Huang
University of Waterloo, 2011
22011
Valuing guarantees on spending funded by endowments
Y Huang, PA Forsyth, KR Vetzal
University of Waterloo, 2006
22006
Learning Bayesian Networks Guided by Decomposable Markov Networks
Y Huang
University of Regina, 1999
21999
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