Yu Yang's research while affiliated with Curtin University and other places

Publications (4)

Article
Full-text available
How do investors require a distribution of the wealth among multiple risky assets while facing the risk of the uncontrollable payment for random liabilities? To cope with this problem, firstly, this paper explores the approach of asset-liability management under the state-dependent risk aversion with only risky assets, which has been considered und...
Article
This paper concerns the pricing of volatility and variance swaps with discrete sampling times using a hybrid Heston-CIR model with Markov-modulated jump-diffusion. We extend the regime-switching Heston stochastic volatility model by further considering the Cox-Ingersoll-Ross (CIR) stochastic interest rate with jump diffusion. The market parameters,...
Article
Full-text available
This paper investigates the pricing of discretely sampled variance swaps under a Markov regime-switching jump-diffusion model. The jump diffusion, as well as other parameters of the underlying stock’s dynamics, is modulated by a Markov chain representing different states of the market. A semi-closed-form pricing formula is derived by applying the g...
Article
This paper investigates the time-consistent optimal control of a mean–variance asset-liability management problem in a regime-switching jump-diffusion market. The investor (a company) is investing in the market with one risk-less bond and one risky stock while subject to an uncontrollable liability. The risky stock and the liability processes are d...

Citations

... Heston model has been widely used and studied because of the advantage of portraying a reasonable implied-volatility shape and the existence of the closed-form solution [5][6][7]. Up to now, the optimization of Heston model from the mathematical perspective mainly involves five directions: considering the randomness of the constant terms [8][9][10][11][12], improving the geometric Brownian motion [13,14], adding a jump diffusion process [15,16], changing the power of the variance [17,18], and considering the roughness of the volatility [19,20]. e mathematical enhancement endowed Heston models with more rigorous fitting to real market dynamics, but two problems remain: the lack of robustness due to insufficient consideration of the factors influencing the underlying asset prices and the lack of practical usability due to the complexity of the model structure. ...