Publications:
[1] Xianming Sun & Siqing Gan (2014). An Efficient Semi-Analytical Simulation for the Heston Model. Computational Economics, 43(4):433–445, 2014
[2] Xianming Sun, Dorien Haesen & Michèle Vanmaele (2015). Comment: "On approximating deep in-the-money Asian options under exponential Lévy processes". Journal of Futures Markets, 35(12), 1220–1221.
[3] Xianming Sun, Siqing Gan & Michèle Vanmaele (2015). Analytical Approximation for Distorted Expectations. Statistics & Probability Letters, 107, 246–252.
[4] Xianming Sun, Thorsten Schulz, Asma Khedher & Michèle Vanmaele (2017). Model Risk and Discretisation of Locally Risk-Minimising Strategies. Journal of Computational and Applied Mathematics, 311, 38–53.
[5] Xianming Sun and Michèle Vanmaele (2017). Uncertainty Quantification of Derivative Instruments. East Asian Journal on Applied Mathematics. 07(2), 343-362.
[6] Xianming Sun,
Working Papers:
[1] Model-based and model-free bounds for Asian options (with M. Vanmaele)
[1] Xianming Sun & Siqing Gan (2014). An Efficient Semi-Analytical Simulation for the Heston Model. Computational Economics, 43(4):433–445, 2014
[2] Xianming Sun, Dorien Haesen & Michèle Vanmaele (2015). Comment: "On approximating deep in-the-money Asian options under exponential Lévy processes". Journal of Futures Markets, 35(12), 1220–1221.
[3] Xianming Sun, Siqing Gan & Michèle Vanmaele (2015). Analytical Approximation for Distorted Expectations. Statistics & Probability Letters, 107, 246–252.
[4] Xianming Sun, Thorsten Schulz, Asma Khedher & Michèle Vanmaele (2017). Model Risk and Discretisation of Locally Risk-Minimising Strategies. Journal of Computational and Applied Mathematics, 311, 38–53.
[5] Xianming Sun and Michèle Vanmaele (2017). Uncertainty Quantification of Derivative Instruments. East Asian Journal on Applied Mathematics. 07(2), 343-362.
[6] Xianming Sun,
Working Papers:
[1] Model-based and model-free bounds for Asian options (with M. Vanmaele)