Faculty

Institution

Unit

Venue

Zhenyu Cui

Associate Professor

Stevens Institute of Technology

Affiliations

Stevens School of Business

Zhenyu Cui is currently serving as a Stevens School Of Business Associate Professor at Stevens Institute of Technology.

Honors

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Experiences

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Education

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Zhenyu Cui

Stevens Institute of Technology

Associate Professor

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finance financial economics applied mathematics mathematical finance option pricing empirical finance social science research economics international finance asset pricing operations research statistics valuation stochastic volatility models modeling and simulation computational finance stochastic process volatility modeling derivative pricing variable annuities american options general framework management science numerical simulations estimation theory markov processes asian options scientific computing theoretical economics mathematical optimization statistical methodology engineering science finance research international financial markets economic analysis dynamic pricing stochastic calculus foreign exchange markets dynamic economics portfolio choice markov chain approximations efficient simulation timer options diffusion limits martingale property time-homogeneous diffusions affine garch models barrier options markov chain approximation time-homogeneous diffusion models asian economics computational optimization statistical software machine learning research computational statistics financial econometrics econodynamics stochastic optimization theoretical modeling mathematical economics central banking international pricing temporal complexity diffusion process pricing policy computer modeling statistical analysis parallel processing modeling method applied mathematical modelling mathematical modelling behavioral finance long-term care economic evaluation trade-off analysis choice models financial engineering financial modeling

Notable Scholarly Works

Notable Federal Grants

Collaborators

A General Valuation Framework for Rough Stochastic Local Volatility Models and Applications. European Journal of Operational Research (2024)

Wensheng YangJingtang MaZhenyu Cui

valuationfinancial economicsrisk managementderivative pricingeconomicstrade-off analysisvolatility modelingfinancegeneral valuation frameworkempirical financeeconomic analysisasset pricingoperations research

A New Approach to Sensitivity Analysis Based on Dirac Delta Family Methods. 2018 Winter Simulation Conference (WSC) (2024)

Zhenyu CuiKailin DingYanchu LiuLingjiong Zhu

climate dynamicsatmospheric researchnumerical modeling (geology)environmental sciencegeoscientific model developmentmodeling and simulationclimate modellingnumerical simulationsearth sciencediscrete-event simulationatmospheric sciencesensitivity analysis

A Unified Consensus-Based Parallel Algorithm for High-Dimensional Regression With Combined Regularizations. Computational Statistics & Data Analysis (2024)

Xiaofei WuRongmei LiangZhimin ZhangZhenyu Cui

scientific computingparallel processingstatistical softwarehigh-dimensional statisticsapplied statisticsparallel computingcomputational sciencestatistical analysisstatistical inferencehigh-dimensional regressionstatisticsstatistical methodologymachine learning researchdata scienceapplied mathematicscomputational statisticscombined regularizations

Efficient Valuation of Variable Annuities Under Regime-Switching Jump Diffusion Models With Surrender Risk and Mortality Risk. Communications in Nonlinear Science and Numerical Simulation (2024)

Wei ZhongZhimin ZhangZhenyu Cui

efficient valuationmortality riskmathematical financesurrender risknumerical simulationsapplied mathematicsvariable annuities

Multi-Block Linearized Alternating Direction Method for Sparse Fused Lasso Modeling Problems. Applied Mathematical Modelling (2024)

Xiaofei WuRongmei LiangZhimin ZhangZhenyu Cui

mathematical optimizationapplied probabilitymodeling methodapplied mathematicsmathematical modellingapplied mathematical modelling

Partial Index Tracking Enhanced Mean–Variance Portfolio. International Journal of Finance & Economics (2024)

Zhaokun CaiZhenyu CuiMajeed Simaan

financial economicsrisk managementfinancial analysisinternational financial marketsinvestment managementfinanceportfolio managementmean-variance portfoliointernational financepartial index

The Economic Value of Mean Squared Error: Evidence From Portfolio Selection. (2024)

Zhaokun CaiZhenyu CuiNathan LassanceMajeed Simaan

economic valuefinancial economicsportfolio allocationportfolio choiceportfolio selectioneconomicseconomic analysis

Valuation of Guaranteed Lifelong Withdrawal Benefit With the Long-Term Care Option. Insurance Mathematics and Economics (2024)

Yang YangShaoying ChenZhenyu CuiZhimin Zhang

valuationhealth insurancelong-term careeconomicseconomic evaluationinsurancehealth economicsoption pricinglong-term care optionasset pricing

Analysis of Vix-Linked Fee Incentives in Variable Annuities via Continuous-Time Markov Chain Approximation. Quantitative Finance (2023)

Anne MacKayMarie-Claude VachonZhenyu Cui

financial economicsmathematical financecomputational financeeconomicsfinancequantitative analysis (finance)empirical financestatisticscorporate financevix-linked fee incentivesvariable annuities

A Unified Consensus-Based Parallel Admm Algorithm for High-Dimensional Regression With Combined Regularizations. arXiv (Cornell University) (2023)

Wu, XiaofeiZhang, ZhiminCui, Zhenyu

machine learningparallel computinghigh-dimensional regressiondata scienceapplied mathematicscomputer sciencecombined regularizations

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Zhenyu Cui

Associate Professor

Stevens Institute of Technology

Affiliations

Stevens School of Business

Zhenyu Cui is currently serving as a Stevens School Of Business Associate Professor at Stevens Institute of Technology.

Honors

Create free account to unlock more features

Experiences

Create free account to unlock more features

Education

Create free account to unlock more features

Zhenyu Cui

Stevens Institute of Technology

Associate Professor

You can click a keyword to filter the displayed items

Notable Scholarly Works

Notable Federal Grants

Collaborators

A General Valuation Framework for Rough Stochastic Local Volatility Models and Applications. European Journal of Operational Research (2024)

Wensheng YangJingtang MaZhenyu Cui

A New Approach to Sensitivity Analysis Based on Dirac Delta Family Methods. 2018 Winter Simulation Conference (WSC) (2024)

Zhenyu CuiKailin DingYanchu LiuLingjiong Zhu

A Unified Consensus-Based Parallel Algorithm for High-Dimensional Regression With Combined Regularizations. Computational Statistics & Data Analysis (2024)

Xiaofei WuRongmei LiangZhimin ZhangZhenyu Cui

Efficient Valuation of Variable Annuities Under Regime-Switching Jump Diffusion Models With Surrender Risk and Mortality Risk. Communications in Nonlinear Science and Numerical Simulation (2024)

Wei ZhongZhimin ZhangZhenyu Cui

efficient valuationmortality riskmathematical financesurrender risknumerical simulationsapplied mathematicsvariable annuities

Multi-Block Linearized Alternating Direction Method for Sparse Fused Lasso Modeling Problems. Applied Mathematical Modelling (2024)

Xiaofei WuRongmei LiangZhimin ZhangZhenyu Cui

mathematical optimizationapplied probabilitymodeling methodapplied mathematicsmathematical modellingapplied mathematical modelling

Partial Index Tracking Enhanced Mean–Variance Portfolio. International Journal of Finance & Economics (2024)

Zhaokun CaiZhenyu CuiMajeed Simaan

financial economicsrisk managementfinancial analysisinternational financial marketsinvestment managementfinanceportfolio managementmean-variance portfoliointernational financepartial index

The Economic Value of Mean Squared Error: Evidence From Portfolio Selection. (2024)

Zhaokun CaiZhenyu CuiNathan LassanceMajeed Simaan

economic valuefinancial economicsportfolio allocationportfolio choiceportfolio selectioneconomicseconomic analysis

Valuation of Guaranteed Lifelong Withdrawal Benefit With the Long-Term Care Option. Insurance Mathematics and Economics (2024)

Yang YangShaoying ChenZhenyu CuiZhimin Zhang

valuationhealth insurancelong-term careeconomicseconomic evaluationinsurancehealth economicsoption pricinglong-term care optionasset pricing

Analysis of Vix-Linked Fee Incentives in Variable Annuities via Continuous-Time Markov Chain Approximation. Quantitative Finance (2023)

Anne MacKayMarie-Claude VachonZhenyu Cui

financial economicsmathematical financecomputational financeeconomicsfinancequantitative analysis (finance)empirical financestatisticscorporate financevix-linked fee incentivesvariable annuities

A Unified Consensus-Based Parallel Admm Algorithm for High-Dimensional Regression With Combined Regularizations. arXiv (Cornell University) (2023)

Wu, XiaofeiZhang, ZhiminCui, Zhenyu

machine learningparallel computinghigh-dimensional regressiondata scienceapplied mathematicscomputer sciencecombined regularizations

1
2
3
4
5
11
10 / page

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University of Texas at Austin

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