Selected academic foundation
Research
A curated research map behind the technology tracks. The website should organize papers by method and workflow rather than present a single undifferentiated publication list.
Option surfaces and implied information
- Joint arbitrage-free smoothing of American call and put options surfaces — European Journal of Operational Research (2026).
- Tighter bounds for implied volatility based on the Dirac Delta family method — Journal of Futures Markets (2025).
- A new representation of the risk-neutral distribution and its applications — Quantitative Finance (2022).
- A model-free Fourier cosine method for estimating the risk-neutral density — Journal of Derivatives (2021).
- Model-free option-implied quantiles — revise & resubmit (2026).
Pricing and computational methods
- A general valuation framework for SABR and stochastic local volatility models — SIAM Journal on Financial Mathematics (2018).
- Pricing discretely monitored barrier options under Markov processes using Markov chain approximations — Journal of Derivatives (2021).
- Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates — Mathematical Methods of Operations Research (2021).
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations — European Journal of Operational Research (2021).
- Windowed complex Fourier series for multi-asset contingent claims — under review (2026).
Equity and volatility derivatives
- Joint Implied Willow Tree: an approach for joint S&P 500/VIX calibration — Journal of Futures Markets (2025).
- Implied Willow Tree — Journal of Derivatives (2024).
- VIX Options Valuation via Continuous-time Markov Chain Approximation and Ito-Taylor Expansion — Journal of Derivatives (2024).
- Valuation and calibration of VIX options and target volatility options with affine GARCH models — Journal of Futures Markets (2020).
Insurance and annuities
- Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation — Quantitative Finance (2023).
- Valuation of Guaranteed Lifelong Withdrawal Benefit with Long-term Care Option — Insurance: Mathematics and Economics (2024).
- Efficient Pricing and Greeks Calculation for Multi-Asset Variable Annuities under a Multivariate OUSV Model — Insurance: Mathematics and Economics (2026).
For the full publication record, link the production site to Professor Cui’s institutional CV, Google Scholar and SSRN.