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Yang, Zhaojun's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
3,590 |
Total
Citations
26 |
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1.
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Ewald, Christian-Oliver
University of Glasgow Yang, Zhaojun
Hunan University - School of Finance and Statistics
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569
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4
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Models of mean-reversion, equilibrium distributions
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2.
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Implied Volatility from Asian Options Via Monte Carlo Methods
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Ewald, Christian-Oliver
University of Glasgow Yang, Zhaojun
Hunan University - School of Finance and Statistics Xiao, Yajun
University of Freiburg - Department of Economics
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Posted:
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19 Jan 07
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Last Revised:
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07 Dec 09
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548
(22,766)
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Yang, Zhaojun
Hunan University - School of Finance and Statistics Ewald, Christian-Oliver
University of Glasgow Xiao, Yajun
University of Freiburg - Department of Economics
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implied volatility, Monte Carlo simulation, Asian options, exotic options, calibration, local volatility
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Ewald, Christian-Oliver
University of Glasgow Yang, Zhaojun
Hunan University - School of Finance and Statistics Xiao, Yajun
University of Freiburg - Department of Economics
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19 Jan 07
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Last Revised:
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03 Jan 08
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548
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implied volatility, Monte Carlo simulation, Asian options, exotic options
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3.
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Yang, Zhaojun
Hunan University - School of Finance and Statistics Ewald, Christian-Oliver
University of Glasgow
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13 Jan 07
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Last Revised:
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14 Oct 08
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449
(29,684)
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8
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Real Options, Models of Mean-Reversion, Optimal Control, Incomplete Market Models
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4.
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Ewald, Christian-Oliver
University of Glasgow Schenk-Hoppé, Klaus Reiner
University of Leeds - Leeds University Business School Yang, Zhaojun
Hunan University - School of Finance and Statistics
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364
(38,642)
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Stochastic volatility models, incomplete markets, Delta hedging, locally R-minimizing hedging strategies, Malliavin calculus
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5.
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Yang, Zhaojun
Hunan University - School of Finance and Statistics Ewald, Christian-Oliver
University of Glasgow Menkens, Olaf
Dublin City University - School of Mathematical Sciences
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30 Jun 09
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Last Revised:
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26 May 12
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222
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1
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Asian options, option pricing, hedging, Malliavin calculus
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6.
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Yang, Zhaojun
Hunan University - School of Finance and Statistics Ewald, Christian-Oliver
University of Glasgow
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21 Jan 08
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Last Revised:
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14 Apr 08
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186
(81,122)
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3
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Geometric mean reversion, non-equilibrium analysis, economic dynamics, econometrics
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7.
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Yang, Jinqiang
affiliation not provided to SSRN Yang, Zhaojun
Hunan University - School of Finance and Statistics
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156
(95,532)
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2
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Real Options, Investment Threshold, Economic Regime, Partial Information, Information Value
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8.
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Yang, Zhaojun
Hunan University - School of Finance and Statistics Yang, Jinqiang
affiliation not provided to SSRN
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22 Apr 09
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Last Revised:
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17 Dec 09
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139
(105,649)
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Liquidity Modelling, Liquidity Costs, Arbitrage-Free Interval, Modified Hedge
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9.
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Yang, Zhaojun
Hunan University - School of Finance and Statistics Zhang, Hai
Hunan University
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27 Jul 12
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Last Revised:
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04 Sep 12
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130
(111,735)
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Equity-for-guarantee swap, Capital structure, Guarantee cost
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10.
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Yang, Zhaojun
Hunan University - School of Finance and Statistics Ewald, Christian-Oliver
University of Glasgow Wang, Wen-Kai
National University of Kaohsiung - Department of Finance
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07 Aug 07
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Last Revised:
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11 May 10
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109
(128,443)
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Partial information, value of information, stochastic optimal control, stochastic filtering, information economics
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11.
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Song, Dandan
affiliation not provided to SSRN Yang, Zhaojun
Hunan University - School of Finance and Statistics
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108
(129,285)
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Partial information, American option, Consumption utility-based indifference pricing, incomplete market
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12.
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Yang, Zhaojun
Hunan University - School of Finance and Statistics Yang, Jinqiang
affiliation not provided to SSRN
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107
(130,165)
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6
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Partial Information, Consumption Utility-Based Indifference Pricing, Real Options, Implied Information Value
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13.
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Yang, Zhaojun
Hunan University - School of Finance and Statistics Shi, Feng
China University of Petroleum, Beijng - Business school
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21 Jan 08
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Last Revised:
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13 Jan 12
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85
(152,040)
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Continuous Evolutionary Finance, Time-dependent Strategy, Evolutionary Stable Bond Market, Bond Valuation, Benchmark Interest Rate
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14.
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Song, Dandan
affiliation not provided to SSRN Yang, Jinqiang
Shanghai University of Finance and Economics Yang, Zhaojun
Hunan University - School of Finance and Statistics
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| Posted: |
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12 Jan 12
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Last Revised:
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14 May 12
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83
(154,349)
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high-water mark, hedge fund, performance fee, partial information
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15.
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Wang, Xiaolin
Hunan University Yang, Zhaojun
Hunan University - School of Finance and Statistics
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82
(155,516)
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1
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Contingent convertible Bond, Capital structure, Consumption utility-based indifference pricing
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16.
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Yang, Zhaojun
Hunan University - School of Finance and Statistics Song, Dandan
affiliation not provided to SSRN Yang, Jinqiang
affiliation not provided to SSRN
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| Posted: |
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05 Jan 11
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Last Revised:
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20 Jan 11
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66
(176,571)
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1
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Partial information, Cash flows, Consumption utility-based indifference pricing, Real options, Implied information value
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17.
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Wang, Xiaolin
Hunan University Yang, Zhaojun
Hunan University - School of Finance and Statistics
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| Posted: |
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16 Dec 12
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Last Revised:
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07 Jan 13
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62
(182,527)
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contingent convertible bond, capital structure, utility-based pricing, idiosyncratic risk, risk-prevention incentive
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18.
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Yang, Zhaojun
Hunan University - School of Finance and Statistics Zhao, Zhiming
Hunan University - School of Finance and Statistics
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| Posted: |
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16 Jan 13
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Last Revised:
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04 Feb 13
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49
(204,232)
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Contingent convertible security, Contingent convertible bond, Capital structure, Equilibrium pricing
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19.
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Jiang, Wuyuan
Hunan Institute of Science and Technology Yang, Zhaojun
Hunan University - School of Finance and Statistics Li, Xinping
Hunan Institute of Science and Technology
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41
(219,901)
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Gerber-Shiu discounted penalty function, multi-layer dividend strategy, integro-differential equation, phase-type distribution
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20.
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Jiang, Wuyuan
Hunan Institute of Science and Technology Yang, Zhaojun
Hunan University - School of Finance and Statistics
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35
(233,041)
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Perturbed process, Dividend payments, Multiple thresholds, Integro-differential equations, Phase-type distribution
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21.
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Yang, Zhaojun
Hunan University - School of Finance and Statistics Ewald, Christian-Oliver
University of Glasgow
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Evolutionary Economics, Evolutionary Finance, continuous-time portfolio theory, endogenously determined asset prices, evolutionary stability of trading strategies
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