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Xuewei Yang
Xuewei Yang
Professor of Finance, School of Management and Engineering, Nanjing University
Verified email at nju.edu.cn - Homepage
Title
Cited by
Cited by
Year
Markov-modulated jump–diffusions for currency option pricing
L Bo, Y Wang, X Yang
Insurance: Mathematics and Economics 46 (3), 461-469, 2010
892010
Can Financial Innovation Succeed by Catering to Behavioral Preferences? Evidence from a Callable Options Market
X Li, A Subrahmanyam, X Yang
Journal of Financial Economics (JFE), 2017
622017
Some integral functionals of reflected SDEs and their applications in finance
L Bo, Y Wang, X Yang
Quantitative Finance 11 (3), 343-348, 2011
522011
An optimal portfolio problem in a defaultable market
L Bo, Y Wang, X Yang
Advances in Applied Probability 42 (3), 689-705, 2010
472010
On the conditional default probability in a regulated market: a structural approach
L Bo, D Tang, Y Wang, X Yang
Quantitative Finance 11 (12), 1695-1702, 2011
452011
Maximum likelihood estimation for reflected Ornstein–Uhlenbeck processes
L Bo, Y Wang, X Yang, G Zhang
Journal of Statistical Planning and Inference 141 (1), 588-596, 2011
352011
The hitting time density for a reflected Brownian motion
Q Hu, Y Wang, X Yang
Computational Economics 40, 1-18, 2012
282012
LÚvy risk model with two-sided jumps and a barrier dividend strategy
L Bo, R Song, D Tang, Y Wang, X Yang
Insurance: Mathematics and Economics 50 (2), 280-291, 2012
252012
Winners, losers, and regulators in a derivatives market bubble
X Li, A Subrahmanyam, X Yang
The Review of Financial Studies 34 (1), 313-350, 2021
192021
Stochastic portfolio optimization with default risk
L Bo, Y Wang, X Yang
Journal of Mathematical Analysis and Applications 397 (2), 467-480, 2013
192013
Sequential maximum likelihood estimation for reflected generalized Ornstein–Uhlenbeck processes
L Bo, X Yang
Statistics & Probability Letters 82 (7), 1374-1382, 2012
162012
First passage times of (reflected) Ornstein-Uhlenbeck processes over random jump boundaries
L Bo, Y Wang, X Yang
Journal of applied probability 48 (3), 723-732, 2011
162011
On the conditional default probability in a regulated market with jump risk
L Bo, X Li, Y Wang, X Yang
Quantitative Finance 13 (12), 1967-1975, 2013
142013
Optimal investment and consumption with default risk: Hara utility
L Bo, X Li, Y Wang, X Yang
Asia-Pacific Financial Markets 20, 261-281, 2013
132013
On the default probability in a regime-switching regulated market
L Bo, Y Wang, X Yang
Methodology and Computing in Applied Probability 16, 101-113, 2014
112014
First passage times of reflected generalized Ornstein–Uhlenbeck processes
L Bo, G Ren, Y Wang, X Yang
Stochastics and Dynamics 13 (01), 1250014, 2013
112013
International Reserve Management: A Drift‐Switching Reflected Jump‐Diffusion Model
N Cai, X Yang
Mathematical Finance 28 (1), 409-446, 2018
92018
Leverage Is a Double‐Edged Sword
A Subrahmanyam, K Tang, J Wang, X Yang
The Journal of Finance, 2024
72024
A rating-based sovereign credit risk model: Theory and evidence
H Li, T Li, X Yang
University of Michigan, City University of Hong Kong, and Nanjing Universityá…, 2014
72014
Sovereign CDS spreads with credit rating
H Li, T Li, X Yang
American Finance, 2017
6*2017
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