Jiling Cao
Personal Details
First Name: | Jiling |
Middle Name: | |
Last Name: | Cao |
Suffix: | |
RePEc Short-ID: | pca805 |
[This author has chosen not to make the email address public] | |
https://www.aut.ac.nz/profiles/Computer-mathematical-sciences/professors/jiling-cao | |
Department of Mathematical Sciences School of Engineering, Computer and Mathematical Sciences Auckland University of Technology Private Bag 92006 Auckland 1142 New Zealand | |
++64 9 921 9999 extn 8433 |
Research output
Jump to: Working papers ArticlesWorking papers
- Anuj Bhowmik & Jiling Cao, 2017.
"Ex-post core, fine core and rational expectations equilibrium allocations,"
Papers
1703.08807, arXiv.org.
- Bhowmik, Anuj & Cao, Jiling, 2018. "Ex-post core, fine core and rational expectations equilibrium allocations," Journal of Mathematical Economics, Elsevier, vol. 74(C), pages 128-138.
- Teh Raihana Nazirah Roslan & Wenjun Zhang & Jiling Cao, 2016. "Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure," Papers 1610.09714, arXiv.org, revised Apr 2020.
- Jiling Cao & Teh Raihana Nazirah Roslan & Wenjun Zhang, 2016.
"Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching,"
Papers
1603.08289, arXiv.org.
- Jiling Cao & Teh Raihana Nazirah Roslan & Wenjun Zhang, 2018. "Pricing Variance Swaps in a Hybrid Model of Stochastic Volatility and Interest Rate with Regime-Switching," Methodology and Computing in Applied Probability, Springer, vol. 20(4), pages 1359-1379, December.
- Bhowmik, Anuj & Cao, Jiling, 2015.
"Rational Expectations Equilibria: Existence and Representation,"
MPRA Paper
63196, University Library of Munich, Germany.
- Anuj Bhowmik & Jiling Cao, 2016. "Rational expectations equilibria: existence and representation," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 4(2), pages 367-386, October.
- Huang, Bing & Cao, Jiling & Chung, Hyuck, 2013.
"Strategic real options with stochastic volatility in a duopoly model,"
MPRA Paper
45731, University Library of Munich, Germany.
- Huang, Bing & Cao, Jiling & Chung, Hyuck, 2014. "Strategic real options with stochastic volatility in a duopoly model," Chaos, Solitons & Fractals, Elsevier, vol. 58(C), pages 40-51.
- Bhowmik, Anuj & Cao, Jiling, 2011.
"On the core and Walrasian expectations equilibrium in infinite dimensional commodity spaces,"
MPRA Paper
35060, University Library of Munich, Germany, revised 28 Nov 2011.
- Anuj Bhowmik & Jiling Cao, 2013. "On the core and Walrasian expectations equilibrium in infinite dimensional commodity spaces," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 53(3), pages 537-560, August.
- Bhowmik, Anuj & Cao, Jiling, 2011. "Infinite dimensional mixed economies with asymmetric information," MPRA Paper 35618, University Library of Munich, Germany.
Articles
- Jiling Cao & Xinfeng Ruan & Shu Su & Wenjun Zhang, 2021. "Specification analysis of VXX option pricing models under Lévy processes," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1456-1477, September.
- Jiling Cao & Xinfeng Ruan & Wenjun Zhang, 2020. "Inferring information from the S&P 500, CBOE VIX, and CBOE SKEW indices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 945-973, June.
- Moosavi Mohseni, Reza & Cao, Jiling, 2020. "Monetary policy and financial economic growth," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
- Cao, Jiling & Kim, Jeong-Hoon & Kim, See-Woo & Zhang, Wenjun, 2020. "Rough stochastic elasticity of variance and option pricing," Finance Research Letters, Elsevier, vol. 37(C).
- Jiling Cao & Xinfeng Ruan & Shu Su & Wenjun Zhang, 2020. "Pricing VIX derivatives with infinite‐activity jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 329-354, March.
- Jiling Cao & Teh Raihana Nazirah Roslan & Wenjun Zhang, 2018.
"Pricing Variance Swaps in a Hybrid Model of Stochastic Volatility and Interest Rate with Regime-Switching,"
Methodology and Computing in Applied Probability, Springer, vol. 20(4), pages 1359-1379, December.
- Jiling Cao & Teh Raihana Nazirah Roslan & Wenjun Zhang, 2016. "Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching," Papers 1603.08289, arXiv.org.
- Bhowmik, Anuj & Cao, Jiling, 2018.
"Ex-post core, fine core and rational expectations equilibrium allocations,"
Journal of Mathematical Economics, Elsevier, vol. 74(C), pages 128-138.
- Anuj Bhowmik & Jiling Cao, 2017. "Ex-post core, fine core and rational expectations equilibrium allocations," Papers 1703.08807, arXiv.org.
- Cao, Jiling & Lian, Guanghua & Roslan, Teh Raihana Nazirah, 2016. "Pricing variance swaps under stochastic volatility and stochastic interest rate," Applied Mathematics and Computation, Elsevier, vol. 277(C), pages 72-81.
- Anuj Bhowmik & Jiling Cao, 2016.
"Rational expectations equilibria: existence and representation,"
Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 4(2), pages 367-386, October.
- Bhowmik, Anuj & Cao, Jiling, 2015. "Rational Expectations Equilibria: Existence and Representation," MPRA Paper 63196, University Library of Munich, Germany.
- Huang, Bing & Cao, Jiling & Chung, Hyuck, 2014.
"Strategic real options with stochastic volatility in a duopoly model,"
Chaos, Solitons & Fractals, Elsevier, vol. 58(C), pages 40-51.
- Huang, Bing & Cao, Jiling & Chung, Hyuck, 2013. "Strategic real options with stochastic volatility in a duopoly model," MPRA Paper 45731, University Library of Munich, Germany.
- Bhowmik, Anuj & Cao, Jiling, 2013. "Robust efficiency in mixed economies with asymmetric information," Journal of Mathematical Economics, Elsevier, vol. 49(1), pages 49-57.
- Hui Zhao & Ximin Rong & Jiling Cao, 2013. "Optimal Investment with Multiple Risky Assets for an Insurer in an Incomplete Market," Discrete Dynamics in Nature and Society, Hindawi, vol. 2013, pages 1-12, March.
- Anuj Bhowmik & Jiling Cao, 2013.
"On the core and Walrasian expectations equilibrium in infinite dimensional commodity spaces,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 53(3), pages 537-560, August.
- Bhowmik, Anuj & Cao, Jiling, 2011. "On the core and Walrasian expectations equilibrium in infinite dimensional commodity spaces," MPRA Paper 35060, University Library of Munich, Germany, revised 28 Nov 2011.
- Bhowmik, Anuj & Cao, Jiling, 2012. "Blocking efficiency in an economy with asymmetric information," Journal of Mathematical Economics, Elsevier, vol. 48(6), pages 396-403.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Teh Raihana Nazirah Roslan & Wenjun Zhang & Jiling Cao, 2016.
"Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure,"
Papers
1610.09714, arXiv.org, revised Apr 2020.
Cited by:
- Kim, See-Woo & Kim, Jeong-Hoon, 2020. "Pricing generalized variance swaps under the Heston model with stochastic interest rates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 168(C), pages 1-27.
- Kim, See-Woo & Kim, Jeong-Hoon, 2019. "Variance swaps with double exponential Ornstein-Uhlenbeck stochastic volatility," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 149-169.
- Xin‐Jiang He & Sha Lin, 2023. "Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 951-967, July.
- Jiling Cao & Teh Raihana Nazirah Roslan & Wenjun Zhang, 2016.
"Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching,"
Papers
1603.08289, arXiv.org.
- Jiling Cao & Teh Raihana Nazirah Roslan & Wenjun Zhang, 2018. "Pricing Variance Swaps in a Hybrid Model of Stochastic Volatility and Interest Rate with Regime-Switching," Methodology and Computing in Applied Probability, Springer, vol. 20(4), pages 1359-1379, December.
Cited by:
- Xin‐Jiang He & Wenting Chen, 2021. "A semianalytical formula for European options under a hybrid Heston–Cox–Ingersoll–Ross model with regime switching," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 343-352, January.
- Lesław Gajek & Marcin Rudź, 2020. "Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model," Methodology and Computing in Applied Probability, Springer, vol. 22(4), pages 1507-1528, December.
- Bhowmik, Anuj & Cao, Jiling, 2015.
"Rational Expectations Equilibria: Existence and Representation,"
MPRA Paper
63196, University Library of Munich, Germany.
- Anuj Bhowmik & Jiling Cao, 2016. "Rational expectations equilibria: existence and representation," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 4(2), pages 367-386, October.
Cited by:
- Luciano I. Castro & Marialaura Pesce & Nicholas C. Yannelis, 2020. "A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility," Annals of Finance, Springer, vol. 16(1), pages 1-61, March.
- Bhowmik, Anuj & Cao, Jiling, 2018.
"Ex-post core, fine core and rational expectations equilibrium allocations,"
Journal of Mathematical Economics, Elsevier, vol. 74(C), pages 128-138.
- Anuj Bhowmik & Jiling Cao, 2017. "Ex-post core, fine core and rational expectations equilibrium allocations," Papers 1703.08807, arXiv.org.
- Achille Basile & Maria Gabriella Graziano & Ciro Tarantino, 2016.
"Coalitional Fairness with Participation Rates,"
CSEF Working Papers
442, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Achille Basile & Maria Gabriella Graziano & Ciro Tarantino, 2018. "Coalitional fairness with participation rates," Journal of Economics, Springer, vol. 123(2), pages 97-139, March.
- Huang, Bing & Cao, Jiling & Chung, Hyuck, 2013.
"Strategic real options with stochastic volatility in a duopoly model,"
MPRA Paper
45731, University Library of Munich, Germany.
- Huang, Bing & Cao, Jiling & Chung, Hyuck, 2014. "Strategic real options with stochastic volatility in a duopoly model," Chaos, Solitons & Fractals, Elsevier, vol. 58(C), pages 40-51.
Cited by:
- Kim, Jeong-Hoon & Lee, Min-Ku & Sohn, So Young, 2014. "Investment timing under hybrid stochastic and local volatility," Chaos, Solitons & Fractals, Elsevier, vol. 67(C), pages 58-72.
- Bhowmik, Anuj & Cao, Jiling, 2011.
"On the core and Walrasian expectations equilibrium in infinite dimensional commodity spaces,"
MPRA Paper
35060, University Library of Munich, Germany, revised 28 Nov 2011.
- Anuj Bhowmik & Jiling Cao, 2013. "On the core and Walrasian expectations equilibrium in infinite dimensional commodity spaces," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 53(3), pages 537-560, August.
Cited by:
- Wei He & Nicholas C. Yannelis, 2013. "A New Perspective on Rational Expectations," Economics Discussion Paper Series 1317, Economics, The University of Manchester.
- He, Wei & Yannelis, Nicholas C., 2015. "Equilibrium theory under ambiguity," Journal of Mathematical Economics, Elsevier, vol. 61(C), pages 86-95.
- Bhowmik, Anuj & Saha, Sandipan, 2022. "On blocking mechanisms in economies with club goods," MPRA Paper 114928, University Library of Munich, Germany.
- Bhowmik, Anuj & Graziano, Maria Gabriella, 2015.
"On Vind’s theorem for an economy with atoms and infinitely many commodities,"
Journal of Mathematical Economics, Elsevier, vol. 56(C), pages 26-36.
- Anuj Bhowmik & Maria Gabriella Graziano, 2014. "On Vind's Theorem for an Economy with Atoms and Infinitely Many Commodities," CSEF Working Papers 364, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Bhowmik, Anuj & Cao, Jiling, 2013. "Robust efficiency in mixed economies with asymmetric information," Journal of Mathematical Economics, Elsevier, vol. 49(1), pages 49-57.
- Bhowmik, Anuj, 2014.
"Core and Coalitional Fairness: The Case of Information Sharing Rule,"
MPRA Paper
56644, University Library of Munich, Germany.
- Anuj Bhowmik, 2015. "Core and coalitional fairness: the case of information sharing rules," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 60(3), pages 461-494, November.
- Bhowmik, Anuj & Cao, Jiling, 2012. "Blocking efficiency in an economy with asymmetric information," Journal of Mathematical Economics, Elsevier, vol. 48(6), pages 396-403.
- Bhowmik, Anuj, 2013. "Edgeworth equilibria: separable and non-separable commodity spaces," MPRA Paper 46796, University Library of Munich, Germany.
- Maria Gabriella Graziano & Maria Romaniello, 2016. "Stable sets of allocations and the provision of public goods," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 62(1), pages 15-42, June.
- Pesce, Marialaura, 2014.
"The veto mechanism in atomic differential information economies,"
Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 33-45.
- Maria Laura Pesce, 2013. "The Veto Mechanism in Atomic Differential Information Economies," CSEF Working Papers 331, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Carlos Hervés-Beloso & Claudia Meo & Emma Moreno-García, 2014. "Information and size of coalitions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 55(3), pages 545-563, April.
- Wei He & Nicholas C. Yannelis, 2013. "Equilibrium Theory under Ambiguity," Economics Discussion Paper Series 1307, Economics, The University of Manchester.
Articles
- Jiling Cao & Xinfeng Ruan & Shu Su & Wenjun Zhang, 2021.
"Specification analysis of VXX option pricing models under Lévy processes,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1456-1477, September.
Cited by:
- Wei Lin & Jin E. Zhang, 2022. "Pricing VXX options by modeling VIX directly," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 888-922, May.
- Jiling Cao & Xinfeng Ruan & Wenjun Zhang, 2020.
"Inferring information from the S&P 500, CBOE VIX, and CBOE SKEW indices,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 945-973, June.
Cited by:
- Qadan, Mahmoud & David, Or & Snunu, Iyad & Shuval, Kerem, 2024. "The VIX's term structure of individual active stocks," Finance Research Letters, Elsevier, vol. 61(C).
- Xinglin Yang & Ji Chen, 2021. "VIX term structure: The role of jump propagation risks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 785-810, June.
- Hui Qu & Tianyang Wang & Peng Shangguan & Mengying He, 2024. "Revisiting the puzzle of jumps in volatility forecasting: The new insights of high‐frequency jump intensity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 218-251, February.
- Anastasiou, Dimitrios & Drakos, Konstantinos, 2021. "European depositors’ behavior and crisis sentiment," Journal of Economic Behavior & Organization, Elsevier, vol. 184(C), pages 117-136.
- Massimo Guidolin & Giulia F. Panzeri, 2024. "Forecasting the CBOE VIX and SKEW Indices Using Heterogeneous Autoregressive Models," Forecasting, MDPI, vol. 6(3), pages 1-33, September.
- Mora-Valencia, Andrés & Rodríguez-Raga, Santiago & Vanegas, Esteban, 2021. "Skew index: Descriptive analysis, predictive power, and short-term forecast," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
- Ruan, Xinfeng & Zhang, Jin E., 2021. "Time-varying uncertainty and variance risk premium," Journal of Macroeconomics, Elsevier, vol. 69(C).
- Qiao, Gaoxiu & Jiang, Gongyue & Yang, Jiyu, 2022. "VIX term structure forecasting: New evidence based on the realized semi-variances," International Review of Financial Analysis, Elsevier, vol. 82(C).
- Wu, Xinyu & Zhao, An & Liu, Li, 2023. "Forecasting VIX using two-component realized EGARCH model," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
- Moosavi Mohseni, Reza & Cao, Jiling, 2020.
"Monetary policy and financial economic growth,"
The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
Cited by:
- Polyzos, Efstathios, 2022. "Examining the asymmetric impact of macroeconomic policy in the UAE: Evidence from quartile impulse responses and machine learning," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
- Alshubiri, Faris, 2021. "Financial deepening indicators and income inequality of OECD and ASIAN countries," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).
- Mansour Naser Alraja & Faris Alshubiri & Basel M. Khashab & Mahmood Shah, 2023. "The financial access, ICT trade balance and dark and bright sides of digitalization nexus in OECD countries," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(2), pages 177-209, June.
- Cao, Jiling & Kim, Jeong-Hoon & Kim, See-Woo & Zhang, Wenjun, 2020.
"Rough stochastic elasticity of variance and option pricing,"
Finance Research Letters, Elsevier, vol. 37(C).
Cited by:
- Cao, Jiling & Kim, Jeong-Hoon & Liu, Wenqiang & Zhang, Wenjun, 2023. "Rescaling the double-mean-reverting 4/2 stochastic volatility model for derivative pricing," Finance Research Letters, Elsevier, vol. 58(PB).
- Seo, Jun-Ho & Kim, Jeong-Hoon, 2022. "Multiscale stochastic elasticity of variance for options and equity linked annuity; A Mellin transform approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 192(C), pages 303-320.
- Xia, Kun & Yang, Xuewei & Zhu, Peng, 2023. "Delta hedging and volatility-price elasticity: A two-step approach," Journal of Banking & Finance, Elsevier, vol. 153(C).
- Jiling Cao & Xinfeng Ruan & Shu Su & Wenjun Zhang, 2020.
"Pricing VIX derivatives with infinite‐activity jumps,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 329-354, March.
Cited by:
- Arif, Muhammad & Naeem, Muhammad Abubakr & Farid, Saqib & Nepal, Rabindra & Jamasb, Tooraj, 2022.
"Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19,"
Energy Policy, Elsevier, vol. 168(C).
- Arif, Muhammad & Naeem, Muhammad Abubakr & Farid, Saqib & Nepal, Rabindra & Jamasb, Tooraj, 2020. "Diversifier or More? Hedge and Safe Haven Properties of Green Bonds During COVID-19," Working Papers 1-2021, Copenhagen Business School, Department of Economics.
- Muhammad Arif & Muhammad Abubakr Naeem & Saqib Farid & Rabindra Nepal & Tooraj Jamasb, 2021. "Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19," CAMA Working Papers 2021-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Liang Wang & Weixuan Xia, 2022.
"Power‐type derivatives for rough volatility with jumps,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1369-1406, July.
- Liang Wang & Weixuan Xia, 2020. "Power-type derivatives for rough volatility with jumps," Papers 2008.10184, arXiv.org, revised Nov 2021.
- Chen Tong & Zhuo Huang & Tianyi Wang, 2022. "Do VIX futures contribute to the valuation of VIX options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1644-1664, September.
- Chen Tong & Zhuo Huang, 2021. "Pricing VIX options with realized volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1180-1200, August.
- Jiling Cao & Xinfeng Ruan & Shu Su & Wenjun Zhang, 2021. "Specification analysis of VXX option pricing models under Lévy processes," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1456-1477, September.
- Arif, Muhammad & Naeem, Muhammad Abubakr & Farid, Saqib & Nepal, Rabindra & Jamasb, Tooraj, 2022.
"Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19,"
Energy Policy, Elsevier, vol. 168(C).
- Jiling Cao & Teh Raihana Nazirah Roslan & Wenjun Zhang, 2018.
"Pricing Variance Swaps in a Hybrid Model of Stochastic Volatility and Interest Rate with Regime-Switching,"
Methodology and Computing in Applied Probability, Springer, vol. 20(4), pages 1359-1379, December.
See citations under working paper version above.
- Jiling Cao & Teh Raihana Nazirah Roslan & Wenjun Zhang, 2016. "Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching," Papers 1603.08289, arXiv.org.
- Cao, Jiling & Lian, Guanghua & Roslan, Teh Raihana Nazirah, 2016.
"Pricing variance swaps under stochastic volatility and stochastic interest rate,"
Applied Mathematics and Computation, Elsevier, vol. 277(C), pages 72-81.
Cited by:
- Kim, See-Woo & Kim, Jeong-Hoon, 2020. "Pricing generalized variance swaps under the Heston model with stochastic interest rates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 168(C), pages 1-27.
- Yang, Ben-Zhang & Yue, Jia & Wang, Ming-Hui & Huang, Nan-Jing, 2019. "Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity," Applied Mathematics and Computation, Elsevier, vol. 355(C), pages 73-84.
- Jiling Cao & Teh Raihana Nazirah Roslan & Wenjun Zhang, 2016.
"Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching,"
Papers
1603.08289, arXiv.org.
- Jiling Cao & Teh Raihana Nazirah Roslan & Wenjun Zhang, 2018. "Pricing Variance Swaps in a Hybrid Model of Stochastic Volatility and Interest Rate with Regime-Switching," Methodology and Computing in Applied Probability, Springer, vol. 20(4), pages 1359-1379, December.
- Tao Liu & Zixiao Zhao & Shiyi Ling & Heyang Chao & Hasan Fattahi Nafchi & Stanford Shateyi, 2024. "Efficient Scheme for the Economic Heston–Hull–White Problem Using Novel RBF-FD Coefficients Derived from Multiquadric Function Integrals," Mathematics, MDPI, vol. 12(14), pages 1-15, July.
- Ben-zhang Yang & Jia Yue & Nan-jing Huang, 2017. "Variance swaps under L\'{e}vy process with stochastic volatility and stochastic interest rate in incomplete markets," Papers 1712.10105, arXiv.org, revised Mar 2018.
- Kim, See-Woo & Kim, Jeong-Hoon, 2019. "Variance swaps with double exponential Ornstein-Uhlenbeck stochastic volatility," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 149-169.
- Kim, See-Woo & Kim, Jeong-Hoon, 2018. "Analytic solutions for variance swaps with double-mean-reverting volatility," Chaos, Solitons & Fractals, Elsevier, vol. 114(C), pages 130-144.
- Ah-Reum Han & Jeong-Hoon Kim & See-Woo Kim, 2021. "Variance Swaps with Deterministic and Stochastic Correlations," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1059-1092, April.
- Teh Raihana Nazirah Roslan & Wenjun Zhang & Jiling Cao, 2016. "Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure," Papers 1610.09714, arXiv.org, revised Apr 2020.
- Xu, De-xuan & Yang, Ben-zhang & Kang, Jian-hao & Huang, Nan-jing, 2021. "Variance and volatility swaps valuations with the stochastic liquidity risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
- Ben-Zhang Yang & Jia Yue & Nan-Jing Huang, 2019. "Equilibrium Price Of Variance Swaps Under Stochastic Volatility With Lévy Jumps And Stochastic Interest Rate," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(04), pages 1-33, June.
- Tao Liu & Malik Zaka Ullah & Stanford Shateyi & Chao Liu & Yanxiong Yang, 2023. "An Efficient Localized RBF-FD Method to Simulate the Heston–Hull–White PDE in Finance," Mathematics, MDPI, vol. 11(4), pages 1-15, February.
- Anuj Bhowmik & Jiling Cao, 2016.
"Rational expectations equilibria: existence and representation,"
Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 4(2), pages 367-386, October.
See citations under working paper version above.
- Bhowmik, Anuj & Cao, Jiling, 2015. "Rational Expectations Equilibria: Existence and Representation," MPRA Paper 63196, University Library of Munich, Germany.
- Huang, Bing & Cao, Jiling & Chung, Hyuck, 2014.
"Strategic real options with stochastic volatility in a duopoly model,"
Chaos, Solitons & Fractals, Elsevier, vol. 58(C), pages 40-51.
See citations under working paper version above.
- Huang, Bing & Cao, Jiling & Chung, Hyuck, 2013. "Strategic real options with stochastic volatility in a duopoly model," MPRA Paper 45731, University Library of Munich, Germany.
- Bhowmik, Anuj & Cao, Jiling, 2013.
"Robust efficiency in mixed economies with asymmetric information,"
Journal of Mathematical Economics, Elsevier, vol. 49(1), pages 49-57.
Cited by:
- Wei He & Nicholas C. Yannelis, 2013. "A New Perspective on Rational Expectations," Economics Discussion Paper Series 1317, Economics, The University of Manchester.
- He, Wei & Yannelis, Nicholas C., 2015. "Equilibrium theory under ambiguity," Journal of Mathematical Economics, Elsevier, vol. 61(C), pages 86-95.
- Bhowmik, Anuj & Saha, Sandipan, 2022. "On blocking mechanisms in economies with club goods," MPRA Paper 114928, University Library of Munich, Germany.
- Bhowmik, Anuj & Graziano, Maria Gabriella, 2015.
"On Vind’s theorem for an economy with atoms and infinitely many commodities,"
Journal of Mathematical Economics, Elsevier, vol. 56(C), pages 26-36.
- Anuj Bhowmik & Maria Gabriella Graziano, 2014. "On Vind's Theorem for an Economy with Atoms and Infinitely Many Commodities," CSEF Working Papers 364, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Bhowmik, Anuj & Cao, Jiling, 2018.
"Ex-post core, fine core and rational expectations equilibrium allocations,"
Journal of Mathematical Economics, Elsevier, vol. 74(C), pages 128-138.
- Anuj Bhowmik & Jiling Cao, 2017. "Ex-post core, fine core and rational expectations equilibrium allocations," Papers 1703.08807, arXiv.org.
- Bhowmik, Anuj, 2014.
"Core and Coalitional Fairness: The Case of Information Sharing Rule,"
MPRA Paper
56644, University Library of Munich, Germany.
- Anuj Bhowmik, 2015. "Core and coalitional fairness: the case of information sharing rules," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 60(3), pages 461-494, November.
- Bhowmik, Anuj & Centrone, Francesca & Martellotti, Anna, 2016.
"Coalitional Extreme Desirability in Finitely Additive Economies with Asymmetric Information,"
MPRA Paper
71084, University Library of Munich, Germany.
- Bhowmik, Anuj & Centrone, Francesca & Martellotti, Anna, 2019. "Coalitional extreme desirability in finitely additive economies with asymmetric information," Journal of Mathematical Economics, Elsevier, vol. 84(C), pages 83-93.
- Bhowmik, Anuj, 2013. "Edgeworth equilibria: separable and non-separable commodity spaces," MPRA Paper 46796, University Library of Munich, Germany.
- Anuj Bhowmik & Japneet Kaur, 2022. "Competitive equilibria and robust efficiency with club goods," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2022-014, Indira Gandhi Institute of Development Research, Mumbai, India.
- Pesce, Marialaura, 2014.
"The veto mechanism in atomic differential information economies,"
Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 33-45.
- Maria Laura Pesce, 2013. "The Veto Mechanism in Atomic Differential Information Economies," CSEF Working Papers 331, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Bhowmik, Anuj, 2014. "Coalitional Fairness: The Case of Exact Feasibility with Asymmetric Information," MPRA Paper 52788, University Library of Munich, Germany.
- Carlos Hervés-Beloso & Claudia Meo & Emma Moreno-García, 2014. "Information and size of coalitions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 55(3), pages 545-563, April.
- Anuj Bhowmik & Maria Gabriella Graziano, 2018.
"Blocking Coalitions and Fairness in Asset Markets and Asymmetric Information Economies,"
CSEF Working Papers
510, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Bhowmik Anuj & Gabriella Graziano Maria, 2020. "Blocking Coalitions and Fairness in Asset Markets and Asymmetric Information Economies," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 20(1), pages 1-29, January.
- Wei He & Nicholas C. Yannelis, 2013. "Equilibrium Theory under Ambiguity," Economics Discussion Paper Series 1307, Economics, The University of Manchester.
- Bhowmik, Anuj & Kaur, Japneet, 2023. "Competitive equilibria and robust efficiency with club goods," Journal of Mathematical Economics, Elsevier, vol. 108(C).
- Anuj Bhowmik & Jiling Cao, 2013.
"On the core and Walrasian expectations equilibrium in infinite dimensional commodity spaces,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 53(3), pages 537-560, August.
See citations under working paper version above.
- Bhowmik, Anuj & Cao, Jiling, 2011. "On the core and Walrasian expectations equilibrium in infinite dimensional commodity spaces," MPRA Paper 35060, University Library of Munich, Germany, revised 28 Nov 2011.
- Bhowmik, Anuj & Cao, Jiling, 2012.
"Blocking efficiency in an economy with asymmetric information,"
Journal of Mathematical Economics, Elsevier, vol. 48(6), pages 396-403.
Cited by:
- Chiara Donnini & Maria Laura Pesce, 2021.
"Fairness and Formation Rules of Coalitions,"
CSEF Working Papers
624, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 24 May 2023.
- Chiara Donnini & Marialaura Pesce, 2023. "Fairness and formation rules of coalitions," International Journal of Economic Theory, The International Society for Economic Theory, vol. 19(4), pages 933-960, December.
- Wei He & Nicholas C. Yannelis, 2013. "A New Perspective on Rational Expectations," Economics Discussion Paper Series 1317, Economics, The University of Manchester.
- He, Wei & Yannelis, Nicholas C., 2015. "Equilibrium theory under ambiguity," Journal of Mathematical Economics, Elsevier, vol. 61(C), pages 86-95.
- Bhowmik, Anuj & Saha, Sandipan, 2022. "On blocking mechanisms in economies with club goods," MPRA Paper 114928, University Library of Munich, Germany.
- Bhowmik, Anuj & Graziano, Maria Gabriella, 2015.
"On Vind’s theorem for an economy with atoms and infinitely many commodities,"
Journal of Mathematical Economics, Elsevier, vol. 56(C), pages 26-36.
- Anuj Bhowmik & Maria Gabriella Graziano, 2014. "On Vind's Theorem for an Economy with Atoms and Infinitely Many Commodities," CSEF Working Papers 364, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Bhowmik, Anuj & Cao, Jiling, 2018.
"Ex-post core, fine core and rational expectations equilibrium allocations,"
Journal of Mathematical Economics, Elsevier, vol. 74(C), pages 128-138.
- Anuj Bhowmik & Jiling Cao, 2017. "Ex-post core, fine core and rational expectations equilibrium allocations," Papers 1703.08807, arXiv.org.
- Bhowmik, Anuj & Cao, Jiling, 2013. "Robust efficiency in mixed economies with asymmetric information," Journal of Mathematical Economics, Elsevier, vol. 49(1), pages 49-57.
- Bhowmik, Anuj & Cao, Jiling, 2015.
"Rational Expectations Equilibria: Existence and Representation,"
MPRA Paper
63196, University Library of Munich, Germany.
- Anuj Bhowmik & Jiling Cao, 2016. "Rational expectations equilibria: existence and representation," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 4(2), pages 367-386, October.
- Bhowmik, Anuj, 2014.
"Core and Coalitional Fairness: The Case of Information Sharing Rule,"
MPRA Paper
56644, University Library of Munich, Germany.
- Anuj Bhowmik, 2015. "Core and coalitional fairness: the case of information sharing rules," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 60(3), pages 461-494, November.
- Bhowmik, Anuj & Centrone, Francesca & Martellotti, Anna, 2016.
"Coalitional Extreme Desirability in Finitely Additive Economies with Asymmetric Information,"
MPRA Paper
71084, University Library of Munich, Germany.
- Bhowmik, Anuj & Centrone, Francesca & Martellotti, Anna, 2019. "Coalitional extreme desirability in finitely additive economies with asymmetric information," Journal of Mathematical Economics, Elsevier, vol. 84(C), pages 83-93.
- Bhowmik, Anuj, 2022. "On The Core Of An Economy With Arbitrary Consumption Sets And Asymmetric Information," MPRA Paper 115795, University Library of Munich, Germany.
- Bhowmik, Anuj, 2013. "Edgeworth equilibria: separable and non-separable commodity spaces," MPRA Paper 46796, University Library of Munich, Germany.
- Pesce, Marialaura, 2014.
"The veto mechanism in atomic differential information economies,"
Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 33-45.
- Maria Laura Pesce, 2013. "The Veto Mechanism in Atomic Differential Information Economies," CSEF Working Papers 331, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Bhowmik, Anuj, 2014. "Coalitional Fairness: The Case of Exact Feasibility with Asymmetric Information," MPRA Paper 52788, University Library of Munich, Germany.
- Carlos Hervés-Beloso & Claudia Meo & Emma Moreno-García, 2014. "Information and size of coalitions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 55(3), pages 545-563, April.
- Anuj Bhowmik & Maria Gabriella Graziano, 2018.
"Blocking Coalitions and Fairness in Asset Markets and Asymmetric Information Economies,"
CSEF Working Papers
510, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Bhowmik Anuj & Gabriella Graziano Maria, 2020. "Blocking Coalitions and Fairness in Asset Markets and Asymmetric Information Economies," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 20(1), pages 1-29, January.
- Wei He & Nicholas C. Yannelis, 2013. "Equilibrium Theory under Ambiguity," Economics Discussion Paper Series 1307, Economics, The University of Manchester.
- Chiara Donnini & Maria Laura Pesce, 2021.
"Fairness and Formation Rules of Coalitions,"
CSEF Working Papers
624, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 24 May 2023.
More information
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Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-MIC: Microeconomics (3) 2011-12-13 2015-03-27 2017-04-09
- NEP-CTA: Contract Theory and Applications (2) 2011-12-13 2012-01-10
- NEP-GTH: Game Theory (2) 2011-12-13 2012-01-10
- NEP-BEC: Business Economics (1) 2013-04-06
- NEP-COM: Industrial Competition (1) 2013-04-06
- NEP-DGE: Dynamic General Equilibrium (1) 2011-12-13
- NEP-ORE: Operations Research (1) 2013-04-06
- NEP-UPT: Utility Models and Prospect Theory (1) 2015-03-27
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