Dr Oscar Tian

T: +61 3 99050802
E: oscar.tian@monash.edu

* Monash University Researcher Profile - including biography, publications and grants
* Google Scholar

Research Overview

Volatility modelling, option pricing, risk management, retirement income products.

Selected Publications

[1] Zhang, Rongju ; Langrené, Nicolas ; Tian, Yu ; Zhu, Zili ; Klebaner, Fima ; Hamza, Kais. "Dynamic portfolio optimization with liquidity cost and market impact : a simulation-and-regression approach". In: Quantitative Finance. 2019 ; Vol. 19, No. 3. pp. 519-532. https://doi.org/10.1080/14697688.2018.1524155

[2] Zhang, Henry ; Langrené, Nicolas ; Tian, Yu ; Zhu, Zili ; Klebaner, Fima ; Hamza, Kais. "Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method". In: Journal of Computational Finance. 2019 ; Vol. 23, No. 1. pp. 97-127. https://doi.org/10.21314/JCF.2019.368

[3] Tian, Yu ; Zhu, Zili ; Lee, Geoffrey Matthew ; Klebaner, Fima C ; Hamza, Kais. "Calibrating and pricing with a stochastic-local volatility model". In: Journal of Derivatives. 2015 ; Vol. 22, No. 3. pp. 21-39. https://doi.org/10.3905/jod.2015.22.3.021

[4] Tian, Yu ; Rood, Ron ; Oosterlee, Cornelis W. "Efficient portfolio valuation incorporating liquidity risk". In: Quantitative Finance. 2013 ; Vol. 13, No. 10. pp. 1575 - 1586. https://doi.org/10.1080/14697688.2013.779013

[5] Tian, Yu ; Zhu, Zili ; Klebaner, Fima ; Hamza, Kais. "Pricing barrier and American options under the SABR model on the graphics processing unit". In: Concurrency and Computation-Practice & Experience. 2012 ; Vol. 24, No. 8. pp. 867 - 879. https://doi.org/10.1002/cpe.1771