Yongjin Wang

Nankai University - Business School

94 Weijin Road, Nankai District

Tianjin, 300071

China

  • Nankai University - Business School

SCHOLARLY PAPERS

12

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14

Scholarly Papers (12)

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1.

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 243 (194,689)

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

2.

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 229 (206,097)

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

3.

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 177 (260,453)

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

4.

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 172 (266,923)

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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

5.

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 144 (309,498)

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

6.

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 136 (323,621)

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

7.

A Markov Chain Approximation Scheme for Option Pricing Under Skew Diffusions

Stevens Institute of Technology School of Business Research Paper
Number of pages: 31 Posted: 25 Jun 2019
Kailin Ding, Zhenyu Cui and Yongjin Wang
Nankai University - School of Mathematical Sciences, Stevens Institute of Technology - School of Business and Nankai University - Business School
Downloads 119 (357,394)
Citation 3

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Skew diffusion, local time, continuous-time Markov chain, option pricing, target zone,psychological barriers

8.

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 105 (390,257)

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

9.

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 72 (491,806)

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

10.

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 70 (499,353)

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

11.

Quality and Unequal Gains from Tariff Liberalization

Number of pages: 43 Posted: 20 Oct 2022 Last Revised: 01 Nov 2022
Mi Dai and Yongjin Wang
Beijing Normal University (BNU) and Nankai University - Business School
Downloads 14 (830,715)

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Quality, tariff pass-through, real income inequality, strategic interactions

12.

The Issuer-Pays Business Model and Competitive Rating Market: Rating Network Structure

Journal of Real Estate Finance and Economics, Vol. 55, No. 2, 2017
Posted: 06 Oct 2017
Xiaoyang Zhuo, Guangli Xu and Yongjin Wang
Beijing Institute of Technology - School of Management and Economics, Nankai University and Nankai University - Business School

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Rating network structure; Credit rating agencies; Ratings shopping; Rating accuracy