Підписатись
Yuying Li
Yuying Li
Professor Cheriton School of Computer Science, University of Waterloo
Підтверджена електронна адреса в uwaterloo.ca - Домашня сторінка
Назва
Посилання
Посилання
Рік
An interior trust region approach for nonlinear minimization subject to bounds
TF Coleman, Y Li
SIAM Journal on optimization 6 (2), 418-445, 1996
43861996
On the convergence of interior-reflective Newton methods for nonlinear minimization subject to bounds
TF Coleman, Y Li
Mathematical programming 67 (1), 189-224, 1994
18661994
A subspace, interior, and conjugate gradient method for large-scale bound-constrained minimization problems
MA Branch, TF Coleman, Y Li
SIAM Journal on Scientific Computing 21 (1), 1-23, 1999
13111999
A reflective Newton method for minimizing a quadratic function subject to bounds on some of the variables
TF Coleman, Y Li
SIAM Journal on Optimization 6 (4), 1040-1058, 1996
8741996
Minimizing CVaR and VaR for a portfolio of derivatives
S Alexander, TF Coleman, Y Li
Journal of Banking & Finance 30 (2), 583-605, 2006
3852006
A computational algorithm for minimizing total variation in image restoration
Y Li, F Santosa
IEEE transactions on image processing 5 (6), 987-995, 1996
2691996
Reconstructing the unknown local volatility function
TF Coleman, Y Li, A Verma
Quantitative Analysis In Financial Markets: Collected Papers of the New York …, 2001
2492001
Auto insurance fraud detection using unsupervised spectral ranking for anomaly
K Nian, H Zhang, A Tayal, T Coleman, Y Li
The Journal of Finance and Data Science 2 (1), 58-75, 2016
1642016
Hedging guarantees in variable annuities under both equity and interest rate risks
TF Coleman, Y Li, MC Patron
Insurance: Mathematics and Economics 38 (2), 215-228, 2006
1262006
Calibration and hedging under jump diffusion
C He, JS Kennedy, TF Coleman, PA Forsyth, Y Li, KR Vetzal
Review of Derivatives Research 9, 1-35, 2006
1152006
A globally and quadratically convergent affine scaling method for linearℓ1 problems
TF Coleman, Y Li
Mathematical Programming 56 (1), 189-222, 1992
110*1992
Minimizing tracking error while restricting the number of assets
TF Coleman, Y Li, J Henniger
Journal of Risk 8 (4), 33, 2006
1012006
Robustly hedging variable annuities with guarantees under jump and volatility risks
TF Coleman, Y Kim, Y Li, M Patron
Journal of Risk and Insurance 74 (2), 347-376, 2007
992007
A globally convergent method for l_p problems
Y Li
SIAM Journal on Optimization 3 (3), 609-629, 1993
701993
A trust region and affine scaling interior point method for nonconvex minimization with linear inequality constraints
TF Coleman, Y Li
Mathematical Programming 88, 1-31, 2000
642000
Derivative portfolio hedging based on CVaR
S Alexander, TF Coleman, Y Li
New Risk Measures in Investment and Regulation: Wiley, 2003
572003
Dynamic Hedging with a Deterministic Volatility Function Model
AV Thomas F. Coleman, Yohan Kim, Yuying Li
Journal of Risk 4 (1), 64-90, 2001
54*2001
A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
Y Li, PA Forsyth
Insurance: Mathematics and Economics 86, 189-204, 2019
482019
A Global and Quadratically Convergent Method for Linear Problems
TF Coleman, Y Li
SIAM Journal on Numerical Analysis 29 (4), 1166-1186, 1992
471992
Centering, trust region, reflective techniques for nonlinear minimization subject to bounds
Y Li
Cornell University, 1993
451993
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Статті 1–20