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Xuewei Yang

Nanjing University - School of Management and Engineering

Associate Professor

22 Hankou Road, Gulou District

Nanjing, Jiangsu 210093

China

Jiangsu Key Laboratory of Digital Finance

No. 588 Xiangrong Road, Building B, 10th Floor

Sino-Dutch (Suzhou) Innovation Hub

Suzhou, Jiangsu 215133

China

Nanjing University - Institute of New Finance

Nanjing, Jiangsu 210093

China

  • Nanjing University - School of Management and Engineering

  • Jiangsu Key Laboratory of Digital Finance

  • Nanjing University - Institute of New Finance

SCHOLARLY PAPERS

20

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Top 13,998

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8,560

TOTAL CITATIONS
Rank 29,130

SSRN RANKINGS

Top 29,130

in Total Papers Citations

16

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

  • Jiangsu Key Laboratory of Digital Finance

  • 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 2,129 (18,549)
Citation 5

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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 1,088 (50,457)
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 804 (77,526)
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 694 (92,936)
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 538 (129,680)

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

6.

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 382 (194,740)
Citation 2

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

7.

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 361 (206,453)

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

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 264 (288,370)

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

9.

An Empirical Analysis of the Valuation Gap Between State-Owned and Non-State-Owned Enterprises

Number of pages: 108 Posted: 02 Oct 2024 Last Revised: 09 Aug 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 261 (297,664)

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State-owned enterprises, Valuation, Chinese stock market

10.

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 260 (294,135)

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

11.

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 240 (321,897)
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

12.

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 231 (330,287)

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

13.

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 225 (340,701)

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

14.

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 218 (351,440)

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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

15.

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 192 (397,477)
Citation 1

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

16.

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 174 (435,504)
Citation 1

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

17.

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 170 (442,467)

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

18.

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 129 (569,079)

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

19.

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 108 (649,907)

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

20.

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 92 (736,406)

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