Research output

Full Publications

1. VIX option pricing with exponentially decaying jumps, with Yue-Kuen Kwok, Yifan Ye 

   • International Journal of Theoretical and Applied Finance, 2026, Accepted, [code] 

2. From Prompting to Autonomous Discovery: A Closed-Loop Agentic LLM Framework for Financial Signal Generation, with Yikuan Huang

   • International Joint Conference on Artificial Intelligence (IJCAI) on FinLLM Workshop, 2026

   • Short preliminary version, extended into a full-length manuscript under submission

   • 🎉 Oral Paper Award!

3. Valuation of VIX derivatives: Incorporating larger spikes in volatility-of-volatility dynamics, with Doojin Ryu, Yifan Ye

   • Journal of Derivatives (Leading practitioner journal in derivatives), 2026, 33(4), 54-80. [code]

   • Python package available online: pip install VIX-Spike [PyPI]

4. Dynamic portfolio choice with stochastic liquidity risk: A perturbation approach, with Jayden Zian Wang, Yifan Ye

   • Finance Research Letters, 2026, 99, 109847.

5. VIX term structure in the rough Heston model via Markovian approximation, with Yifan Ye, Yue-Kuen Kwok

   • Journal of Futures Markets, 2026, 46(5), 799-823. [code]

   • Python package available online: pip install VIXRHeston [PyPI]

6. On cross-stock predictability of peer return gaps in China, with Yilin Chen

   • Finance Research Open, 2026, 2(1), 100088. [code]

7. Merton (1976) implied jump, with Junhong Yu, Xinfeng Ruan 

   • Journal of Economic Dynamics and Control, 2025, 180, 105199.

8. Modeling the implied volatility smirk in China: Do non-affine two-factor stochastic volatility models work?, with Yifan Ye, Xinfeng Ruan  

   • Journal of Futures Markets, 2025, 45(6), 612-636. [code] 

9. Option profit and loss attribution and pricing in the Chinese options market, with Xiaolan Jia, Xinfeng Ruan 

   • Pacific-Basin Finance Journal, 2025, 91, 102682.