Xuewei Yang

Nanjing University - School of Management and Engineering

Associate Professor

22 Hankou Road, Gulou District

Nanjing, Jiangsu 210093

China

Nanjing University - Institute of New Finance

Nanjing, Jiangsu 210093

China

  • Nanjing University - School of Management and Engineering

  • Nanjing University - Institute of New Finance

SCHOLARLY PAPERS

20

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SSRN RANKINGS

Top 13,069

in Total Papers Downloads

7,568

TOTAL CITATIONS
Rank 28,830

SSRN RANKINGS

Top 28,830

in Total Papers Citations

15

Ideas:
“  I'm currently working on (1) investor behavior and market mechanism in derivatives market and (2) derivative pricing when underlying assets subject to price limits.  ”

  • Nanjing University - School of Management and Engineering

  • Nanjing University - Institute of New Finance

Scholarly Papers (20)

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1.

Leverage is a Double-Edged Sword

Journal of Finance, forthcoming
Number of pages: 88 Posted: 28 May 2021 Last Revised: 24 Jun 2023
Avanidhar Subrahmanyam, Ke Tang, Jingyuan Wang and Xuewei Yang
University of California, Los Angeles (UCLA) - Finance Area, Institute of Economics, School of Social Sciences, Tsinghua University, Beihang University (BUAA) and Nanjing University - School of Management and Engineering
Downloads 1,966 (17,150)
Citation 4

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Leverage, Futures, Margin call, Smart investors, Trading performance

2.

The Commonality of Sovereign Credit Risk: A Rating-Based Approach

Number of pages: 88 Posted: 21 Jan 2014 Last Revised: 17 Apr 2018
Haitao Li, Tao Li and Xuewei Yang
University of Michigan - Stephen M. Ross School of Business, City University of Hong Kong (CityU) - Department of Economics & Finance and Nanjing University - School of Management and Engineering
Downloads 1,046 (44,092)
Citation 2

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Credit Rating, Sovereign Credit Risk, Credit Default Swap, Systematic Risk, Eurozone Debt Crisis, Implied Credit Rating

3.

Winners, Losers, and Regulators in a Derivatives Market Bubble

The Review of Financial Studies, Forthcoming
Number of pages: 78 Posted: 07 Feb 2018 Last Revised: 31 Mar 2020
Xindan Li, Avanidhar Subrahmanyam and Xuewei Yang
Nanjing University, University of California, Los Angeles (UCLA) - Finance Area and Nanjing University - School of Management and Engineering
Downloads 735 (71,499)
Citation 1

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Warrants; Smart/naive investors, Financial sophistication; Trading performance; Individuals/institutions; Lotteries

4.

Can Financial Innovation Succeed by Catering to Behavioral Preferences? Evidence from a Callable Options Market

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 76 Posted: 23 Jan 2014 Last Revised: 10 Mar 2017
Xindan Li, Avanidhar Subrahmanyam and Xuewei Yang
Nanjing University, University of California, Los Angeles (UCLA) - Finance Area and Nanjing University - School of Management and Engineering
Downloads 629 (87,009)
Citation 3

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Lotteries; Gambling; Financial Innovation; Cumulative Prospect Theory; Callable Bull/Bear Contract (CBBC); Turbo Warrant

5.

Delta Hedging and Volatility-Price Elasticity: A Two-Step Approach

Journal of Banking and Finance, Vol. 153, 2023
Number of pages: 37 Posted: 24 Nov 2020 Last Revised: 13 Apr 2024
Kun Xia, Xuewei Yang and Peng Zhu
HKUST Business School, Nanjing University - School of Management and Engineering and Nanjing University
Downloads 408 (147,515)

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Option; Delta hedging; Dynamic of volatility-price elasticity; Risk management; Minimum variance

6.

International Reserve Management: A Drift-Switching Reflected Jump-Diffusion Model

Mathematical Finance, Forthcoming
Number of pages: 38 Posted: 29 Aug 2014 Last Revised: 09 Oct 2016
Ning Cai and Xuewei Yang
Department of Industrial Engineering and Decision Analytics, Hong Kong University of Science and Technology and Nanjing University - School of Management and Engineering
Downloads 339 (181,125)

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international reserves; shocks; leptokurtic feature; management strategy; limited capability of raising reserves; drift switching; reflected jump-diffusion

7.

Modeling the Exchange Rates in a Target Zone by Reflected Ornstein-Uhlenbeck Process

Number of pages: 21 Posted: 15 Jul 2012 Last Revised: 02 Sep 2016
Xuewei Yang, Guijun Ren, Yongjin Wang, Lijun Bo and Dongxing Li
Nanjing University - School of Management and Engineering, Independent, Nankai University - Business School, Xidian University and Nanjing University - School of Management and Engineering
Downloads 328 (187,598)
Citation 2

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Reflected diffusion, Ornstein-Uhlenbeck processes, exchange rate, target zone, maximum likelihood estimation, Monte Carlo simulation

8.

Markov-Modulated Jump-Diffusions for Currency Option Pricing

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 17 Posted: 10 Apr 2011
Xuewei Yang, Yongjin Wang and Lijun Bo
Nanjing University - School of Management and Engineering, Nankai University - Business School and University of Science and Technology of China (USTC)
Downloads 252 (246,506)

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Spot Foreign Exchange Rate, Rare Event, Time-Inhomogeneity, Esscher Transform, Currency Option

9.

On the Conditional Default Probability in a Regulated Market: A Structural Approach

Quantitative Finance, Forthcoming
Number of pages: 18 Posted: 04 May 2010 Last Revised: 14 Jun 2017
Lijun Bo, Dan Tang, Yongjin Wang and Xuewei Yang
University of Science and Technology of China (USTC), Nankai University - School of Mathematical Sciences, Nankai University - Business School and Nanjing University - School of Management and Engineering
Downloads 244 (254,580)

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Conditional default probability, reflected Ornstein-Uhlenbeck process, default risk, inverse Laplace transform

10.

Optimal Investment and Consumption with Default Risk: Hara Utility

Asia-Pacific Financial Markets, Forthcoming
Number of pages: 17 Posted: 26 Jun 2013
Xuewei Yang
Nanjing University - School of Management and Engineering
Downloads 210 (293,847)

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Optimal control, Portfolio optimization, Perpetual bond, Defaultable market, HJB equation

11.

The Hitting Time Density for a Reflected Brownian Motion

Computational Economics, 2011
Number of pages: 16 Posted: 15 Jun 2011
Xuewei Yang, Qin Hu and Yongjin Wang
Nanjing University - School of Management and Engineering, Nankai University - School of Mathematical Sciences and Nankai University - Business School
Downloads 201 (306,102)

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Reflected Brownian motion, hitting time, distribution function, density function, spectral representation, bankrupt probability, defaultable bond

12.

Levy Risk Model with Two-Sided Jumps and a Barrier Dividend Strategy

Insurance: Mathematics and Economics, Vol. 50, No. 2, 2012
Number of pages: 28 Posted: 11 Sep 2011 Last Revised: 04 Feb 2014
Xuewei Yang, Lijun Bo, Renming Song, Dan Tang and Yongjin Wang
Nanjing University - School of Management and Engineering, University of Science and Technology of China (USTC), affiliation not provided to SSRN, affiliation not provided to SSRN and Nankai University - Business School
Downloads 196 (313,293)

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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

13.

A Computational Approach to First Passage Problems of Reflected Hyper-Exponential Jump Diffusion Processes

INFORMS Journal on Computing, Forthcoming
Number of pages: 39 Posted: 07 Mar 2019 Last Revised: 06 Apr 2020
Ning Cai and Xuewei Yang
Department of Industrial Engineering and Decision Analytics, Hong Kong University of Science and Technology and Nanjing University - School of Management and Engineering
Downloads 192 (319,303)
Citation 1

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first passage times; reflected jump diffusion processes; hyper-exponential distributions; reflecting barrier; transition density; ordinary integro-differential equations; martingale methods

14.

A New Numerical Scheme for a Class of Reflected Stochastic Differential Equations

Monte Carlo Methods and Applications, 19(4): 273--279, 2013
Number of pages: 6 Posted: 31 May 2011 Last Revised: 04 Feb 2014
Xuewei Yang
Nanjing University - School of Management and Engineering
Downloads 156 (382,991)
Citation 1

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Stochastic differential equations, Reflecting boundary, Numerical scheme, Simulation, Ornstein-Uhlenbeck processes

15.

On the Conditional Default Probability in a Regulated Market with Jump Risk

Quantitative Finance, 13(12): 1967-1975, December 2013.
Number of pages: 17 Posted: 26 Jun 2013 Last Revised: 14 Jun 2017
Lijun Bo, Xindan Li, Yongjin Wang and Xuewei Yang
University of Science and Technology of China (USTC), Nanjing University, Nankai University - Business School and Nanjing University - School of Management and Engineering
Downloads 153 (389,360)

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Conditional default probability, Defaultable bond, Credit spread, Regulated market, Regulated jump-diffusions

16.

Some Integral Functionals of Reflected Sdes and Their Applications in Finance

Quantitative Finance, 11(3): 343--348, March 2011.
Number of pages: 10 Posted: 15 Jun 2011 Last Revised: 14 Jun 2017
Xuewei Yang, Lijun Bo and Yongjin Wang
Nanjing University - School of Management and Engineering, University of Science and Technology of China (USTC) and Nankai University - Business School
Downloads 151 (393,634)
Citation 1

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Reflected stochastic differential equation, integral functionals, Laplace transform, numerical inversion, conditional default probability, digital option

17.

Derivative Pricing Based on the Exchange Rate in a Target Zone with Realignment

International Journal of Theoretical and Applied Finance (IJTAF), Forthcoming
Number of pages: 13 Posted: 06 May 2011
Xuewei Yang, Lijun Bo and Yongjin Wang
Nanjing University - School of Management and Engineering, University of Science and Technology of China (USTC) and Nankai University - Business School
Downloads 118 (477,665)

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Target zone exchange rate, currency derivative pricing, bounded diffusion, Markov chain, realignment, Jacobi diffusion

18.

Kernel-Correlated Levy Field Driven Forward Rate and Application to Derivative Pricing

Applied Mathematics and Optimization, Forthcoming
Number of pages: 20 Posted: 26 Jun 2013 Last Revised: 09 Dec 2015
Lijun Bo, Yongjin Wang and Xuewei Yang
University of Science and Technology of China (USTC), Nankai University - Business School and Nanjing University - School of Management and Engineering
Downloads 90 (576,351)

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Forward interest rate, Kernel-correlated L'evy field, HJM model, Derivative pricing

19.

Errata on 'Levy Risk Model with Two-Sided Jumps and a Barrier Dividend Strategy'

Insurance: Mathematics and Economics, 50(2): 280-291, 2012
Number of pages: 4 Posted: 03 Apr 2012
Xuewei Yang, Lijun Bo, Renming Song, Dan Tang and Yongjin Wang
Nanjing University - School of Management and Engineering, University of Science and Technology of China (USTC), affiliation not provided to SSRN, University of International Business and Economics (UIBE) and Nankai University - Business School
Downloads 82 (609,451)

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Errata, Risk model, Barrier strategy, Levy process, Two-sided jump, Optimal dividend barrier, Double exponential distribution, Reflected jump-diffusions

20.

Understanding the Valuation Gap between State-Owned and Non-State-Owned Enterprises

Number of pages: 83 Posted: 02 Oct 2024 Last Revised: 03 Jan 2025
Yuanlan Cao, Avanidhar Subrahmanyam, Xuewei Yang and Peng Zhu
Nanjing University, University of California, Los Angeles (UCLA) - Finance Area, Nanjing University - School of Management and Engineering and Nanjing University
Downloads 72 (654,577)

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Chinese stock market, State-owned enterprises, Valuation