| Pricing discretely monitored barrier options and defaultable bonds in Lévy process models: a fast Hilbert transform approach L Feng, V Linetsky Mathematical Finance 18 (3), 337-384, 2008 | 214 | 2008 |
| Pricing options in jump-diffusion models: an extrapolation approach L Feng, V Linetsky Operations Research 56 (2), 304-325, 2008 | 196 | 2008 |
| Computing exponential moments of the discrete maximum of a Lévy process and lookback options L Feng, V Linetsky Finance and Stochastics 13 (4), 501-529, 2009 | 74 | 2009 |
| Inverting analytic characteristic functions and financial applications L Feng, X Lin SIAM Journal on Financial Mathematics 4 (1), 372-398, 2013 | 58 | 2013 |
| Simulating Lévy processes from their characteristic functions and financial applications Z Chen, L Feng, X Lin ACM Transactions on Modeling and Computer Simulation (TOMACS) 22 (3), 14, 2012 | 44 | 2012 |
| Pricing Bermudan options in Lévy process models L Feng, X Lin SIAM Journal on Financial Mathematics 4 (1), 474-493, 2013 | 42 | 2013 |
| On the solution of complementarity problems arising in American options pricing L Feng, V Linetsky, J Luis Morales, J Nocedal Optimization Methods and Software 26 (4-5), 813-825, 2011 | 35 | 2011 |
| Analytical results and efficient algorithm for optimal portfolio deleveraging with market impact J Chen, L Feng, J Peng, Y Ye Operations Research, 2012 | 29 | 2012 |
| Subspace Accelerated Matrix Splitting Algorithms for Asymmetric and Symmetric Linear Complementarity Problems DP Robinson, L Feng, JM Nocedal, JS Pang SIAM Journal on Optimization 23 (3), 1371-1397, 2013 | 15 | 2013 |
| Inverse transform method for simulating Lévy processes and discrete Asian options pricing Z Chen, L Feng, X Lin Proceedings of the 2011 Winter Simulation Conference, 444-456, 2011 | 13 | 2011 |
| Variational methods in derivatives pricing L Feng, P Kovalov, V Linetsky, M Marcozzi Handbooks in Operations Research and Management Science 15, 301-342, 2008 | 11 | 2008 |
| Quadratic Finite Element and Preconditioning for Options Pricing in the SVCJ Model YY Zhang, HK Pang, L Feng, XQ Jin Journal of Computational Finance, Forthcoming, 2014 | 7 | 2014 |
| On the valuation of options in jump-diffusion models by variational methods L Feng, V Linetsky, M Marcozzi Technical Report, 2004 | 6 | 2004 |
| On the monitoring error of the supremum of a normal jump diffusion process A Chen, L Feng, R Song Journal of Applied Probability 48 (4), 1021-1034, 2011 | 4 | 2011 |
| An Algorithm for Linear Complementarity and its Application in American Options Pricing L Feng, V Linetsky, JL Morales, J Nocedal AIP Conference Proceedings 1168 (2), 1400-1402, 2009 | 1 | 2009 |
| Pricing Bermudan options in Lévy models L Feng, X Lin Proceedings of the 2011 NSF Engineering Research and Innovation Conference, 2011 | | 2011 |
Jorge NocedalProfessor, Industrial Engineering, Northwestern UniversityVerified email at NORTHWESTERN.EDU
