From 354a568787d37ac5fb6613b54986255ccecf2ba9 Mon Sep 17 00:00:00 2001 From: Chen Yang Date: Fri, 24 Oct 2025 18:03:31 +0800 Subject: [PATCH] Added paper with Lingfei and Qianyu; unbold submitted status. --- index.html | 23 ++++++++++++++++------- 1 file changed, 16 insertions(+), 7 deletions(-) diff --git a/index.html b/index.html index 1cd66ab..767b8aa 100644 --- a/index.html +++ b/index.html @@ -146,6 +146,15 @@

Selected Publications

    +
  1. Optimal Investment with Quadratic Transaction Costs in a Multi-factor and Stochastic Interest Rate Environment (with Lingfei Li and Qianyu Liu).
    + Working Paper. [Abstract|SSRN]
    + +

  2. Arbitrage on Decentralized Exchanges (with Xuedong He and Yutian Zhou).
    Working Paper. [Abstract|Periodic Evaluation with Non-Concave Utility (with Cong Qin and Harry Zheng).
    - submitted. [[Abstract|SSRN]
  3. Pricing Model for Data Assets in Investment-Consumption Framework with Ambiguity (with Xiaoshan Chen and Zhou Yang).
    - submitted. [Abstract|[Abstract|SSRN|arXiv]
  4. Arbitrage in Perpetual Contracts (with Min Dai and Linfeng Li).
    - submitted. Updated: September 2025. [Abstract|[Abstract|SSRN]
  5. Optimal Design of Automated Market Makers on Decentralized Exchanges (with Xuedong He and Yutian Zhou).
    - submitted. [Abstract|[Abstract|SSRN|arXiv]
  6. Calibration of Local Volatility Models under the Implied Volatility Criterion (with Xinfu Chen, Min Dai, and Zhou Yang).
    - submitted. [Abstract|[Abstract|SSRN]
  7. Patience is a Virtue: Optimal Investment in the Presence of Market Resilience (with Nan Chen, Min Dai, and Qiheng Ding).
    - submitted. Updated: July 2025. [Abstract|[Abstract|SSRN]
  8. Non-Concave Utility Maximization with Transaction Costs (with Shuaijie Qian).
    - submitted. [Abstract|[Abstract|SSRN|arXiv]