已发表或接受的英文论文
[1] P. Chen, and Y. Song. (2024) A General Approximation Method for Optimal Stopping and Random Delay. Mathematical Finance. 34(1): 5-35. [DOI]
[2] T. Wang, Y. Song, and L. J. Hong. (2023) Fast Approximation to Discrete-Event Simulation of Markovian Queueing Networks. Proceedings of the 2023 Winter Simulation Conference, 3613-3623. [DOI]
[3] P. Chen, and Y. Song. (2022) Irreversible Investment with Random Delay and Partial Prepayment. Operations Research Letters. 50(5): 434-440. [DOI]
[4] X. Lian, and Y. Song. (2021) Pricing and Calibration of the Futures Options Market: A Unified Approximation. Journal of Futures Markets. 41(7): 1074-1091. [DOI]
[5] Y. Song, N. Cai, and S. Kou. (2018) Computable Error Bounds of Laplace Inversion for Pricing Asian Options. INFORMS Journal on Computing. 30(4): 634-645. [DOI]
[6] N. Cai, Y. Song, and N. Chen. (2017) Exact Simulation of the SABR Model. Operations Research. 65(4): 931–951. [DOI]
[7] N. Cai, Y. Song, and S. Kou. (2015) A General Framework for Pricing Asian Options under Markov Processes. Operations Research. 63(3): 540–554. [DOI]
已发表中文论文
[1] 华挺, 宋颖达. (2019) 金融租赁公司流动性风险研究. 运筹与管理. 28(9): 157-166. [DOI]
工作论文
[1] N. Cai, Y. Song, and S. Kou. A Unified Framework for Regime-Switching Models. [SSRN]
[2] L. J. Hong, Y. Song, and T. Wang. Fast Discrete-Event Simulation of Markovian Queueing Networks through Euler Approximation.
科研项目
共享服务资源组织与优化研究, 国家自然科学基金重点项目, 项目号: 72031006, 参与人, 2021年 - 2025年
一般机制转换模型下的期权定价, 国家自然科学基金青年项目, 项目号: 71701197, 主持人, 2018年 - 2020年
期权定价与马尔科夫过程, 国家自然科学基金面上项目, 项目号: 71571129, 参与人, 2016年 - 2019年
