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Yang, Xuewei's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
461 |
Total
Citations
10 |
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1.
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Yang, Xuewei
Nanjing University - School of Management and Engineering Wang, Yongjin
Nankai University - School of Business Bo, Lijun
Nankai University - School of Mathematical Sciences
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137
(106,032)
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Spot Foreign Exchange Rate, Rare Event, Time-Inhomogeneity, Esscher Transform, Currency Option
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2.
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Bo, Lijun
Nankai University - School of Mathematical Sciences Tang, Dan
Nankai University - School of Mathematical Sciences Wang, Yongjin
Nankai University - School of Business Yang, Xuewei
Nanjing University - School of Management and Engineering
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79
(157,747)
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4
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Conditional default probability, reflected Ornstein-Uhlenbeck process, default risk, inverse Laplace transform
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3.
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Yang, Xuewei
Nanjing University - School of Management and Engineering Bo, Lijun
Nankai University - School of Mathematical Sciences Song, Renming
affiliation not provided to SSRN Tang, Dan
affiliation not provided to SSRN Wang, Yongjin
Nankai University - School of Business
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67
(173,691)
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Risk model, Barrier strategy, Levy process, Two-sided jump, Time of ruin, Deficit, Expected discounted dividend, Optimal dividend barrier, Integro-differential operator, Double exponential distribution, Reflected jump-diffusions, Laplace transform
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4.
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Yang, Xuewei
Nanjing University - School of Management and Engineering Hu, Qin
Nankai University - School of Mathematical Sciences Wang, Yongjin
Nankai University - School of Business
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38
(224,307)
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Reflected Brownian motion, hitting time, distribution function, density function, spectral representation, bankrupt probability, defaultable bond
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5.
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Yang, Xuewei
Nanjing University - School of Management and Engineering Li, Xindan
affiliation not provided to SSRN Ren, Guijun
affiliation not provided to SSRN Wang, Yongjin
affiliation not provided to SSRN Bo, Lijun
affiliation not provided to SSRN
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37
(226,523)
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1
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Reflected diffusion, Ornstein-Uhlenbeck processes, exchange rate, target zone, maximum likelihood estimation, Monte Carlo simulation
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6.
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Yang, Xuewei
Nanjing University - School of Management and Engineering Bo, Lijun
Nankai University - School of Mathematical Sciences Wang, Yongjin
Nankai University - School of Business
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33
(238,293)
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4
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Reflected stochastic differential equation, integral functionals, Laplace transform, numerical inversion, conditional default probability, digital option
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7.
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Yang, Xuewei
Nanjing University - School of Management and Engineering Bo, Lijun
Nankai University - School of Mathematical Sciences Wang, Yongjin
Nankai University - School of Business
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26
(255,280)
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Target zone exchange rate, currency derivative pricing, bounded diffusion, Markov chain, realignment, Jacobi diffusion
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8.
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Yang, Xuewei
Nanjing University - School of Management and Engineering
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24
(261,769)
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1
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Stochastic differential equations, Reflecting boundary, Numerical scheme, Simulation, Ornstein-Uhlenbeck processes
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9.
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Yang, Xuewei
Nanjing University - School of Management and Engineering Bo, Lijun
Nankai University - School of Mathematical Sciences Song, Renming
affiliation not provided to SSRN Tang, Dan
affiliation not provided to SSRN Wang, Yongjin
Nankai University - School of Business
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20
(275,477)
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Errata, Risk model, Barrier strategy, Levy process, Two-sided jump, Optimal dividend barrier, Double exponential distribution, Reflected jump-diffusions
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Records 1 -
9
of 9 matches
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1
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