Xiangwei Wan

Shanghai Jiao Tong University - Antai College of Economics & Management

Associate Professor of Finance

No.1954 Huashan Road

Shanghai Jiao Tong University

Shanghai, Shanghai 200030

China

http://sites.google.com/view/wanxiangwei/research

SCHOLARLY PAPERS

12

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CROSSREF CITATIONS

5

Scholarly Papers (12)

1.

Pi Portfolio Management: Reaching Goals While Avoiding Losses

Number of pages: 59 Posted: 07 Sep 2019 Last Revised: 05 Apr 2023
California Institute of Technology - Division of the Humanities and Social Sciences, Boston University, Shanghai Jiao Tong University - Antai College of Economics & Management and Hightree Advisors LLC
Downloads 1,062 (40,324)
Citation 2

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portfolio selection, portfolio management, goal investing, mean-variance, prospect theory

2.

Approximate Arbitrage-Free Option Pricing Under the SABR Model

Journal of Economic Dynamics and Control, Vol. 83, 2017
Number of pages: 22 Posted: 20 Oct 2016 Last Revised: 13 Sep 2017
Nian Yang, Nan Chen, Yanchu Liu and Xiangwei Wan
Nanjing University - School of Business, The Chinese University of Hong Kong (CUHK), Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 423 (132,163)
Citation 3

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SABR model; Approximate solution; Arbitrage-free option pricing; Perturbation method

3.

Non-Concave Utility Maximization without the Concavification Principle

Number of pages: 64 Posted: 19 Jul 2019 Last Revised: 03 Sep 2019
Min Dai, Steven Kou, Shuaijie Qian and Xiangwei Wan
The Hong Kong Polytechnic University, Boston University, Department of Mathematics, HKUST and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 383 (147,973)
Citation 3

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Non-Concave Utility, Portfolio Constraints, Discontinuous Viscosity Solution

4.

A Non-Zero-Sum Game Approach for Convertible Bonds: Tax Benefits, Bankrupt Cost and Early/Late Call

Number of pages: 45 Posted: 26 Nov 2010
Nan Chen, Min Dai and Xiangwei Wan
The Chinese University of Hong Kong (CUHK), The Hong Kong Polytechnic University and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 217 (265,538)

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convertible bonds, stochastic non-zero-sum game, Nash equilibrium, tax benefit, credit risk, late and early calls, variational inequalities

5.

A New Delta Expansion for Multivariate Diffusions via the Ito-Taylor Expansion

Number of pages: 75 Posted: 18 Oct 2017 Last Revised: 10 Jan 2019
Nian Yang, Nan Chen and Xiangwei Wan
Nanjing University - School of Business, The Chinese University of Hong Kong (CUHK) and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 186 (305,535)
Citation 4

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closed-form density expansion, delta expansion, Ito-Taylor expansion, multivariate diffusions, maximum likelihood estimation

6.

The Survival Probability of the SABR Model: Asymptotics and Application

Number of pages: 29 Posted: 29 Oct 2016 Last Revised: 09 Jan 2018
Nian Yang and Xiangwei Wan
Nanjing University - School of Business and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 167 (336,020)
Citation 4

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SABR model; Survival probability; Probability of hitting zero; Implied volatility

7.

Sensitivity Analysis of Nonlinear Behavior with Distorted Probability

Number of pages: 50 Posted: 31 Oct 2013
Xi-Ren Cao and Xiangwei Wan
Shanghai Jiao Tong University (SJTU) and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 165 (339,509)
Citation 1

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probability distortion, mono-linearity, portfolio management, perturbation analysis, sensitivity-based optimization

8.

Hermite Expansion of Transition Densities and European Option Prices for Multivariate Diffusions with Jumps

Number of pages: 65 Posted: 02 Jul 2019 Last Revised: 15 Dec 2020
Xiangwei Wan and Nian Yang
Shanghai Jiao Tong University - Antai College of Economics & Management and Nanjing University - School of Business
Downloads 153 (361,759)
Citation 1

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Hermite expansion, Irreducible diffusions, Transition densities, European option pricing, Stochastic volatility models

9.

Explicit Pathwise Expansion for Multivariate Diffusions and Its Application to Equivalence of Density Expansions

Number of pages: 25 Posted: 12 Feb 2021 Last Revised: 13 Mar 2024
Nan Chen, Xiangwei Wan and Nian Yang
The Chinese University of Hong Kong (CUHK), Shanghai Jiao Tong University - Antai College of Economics & Management and Nanjing University - School of Business
Downloads 99 (502,781)
Citation 1

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Pathwise Taylor Expansion, Hermite Expansion, Ito-Taylor Expansion, Equivalence, Transition densities, Multivariate diffusions

10.

Mono-Linearity-Based Axiomatic Approach to Non-Linear Expected Utility

Number of pages: 45 Posted: 13 Nov 2013
Xi-Ren Cao and Xiangwei Wan
Shanghai Jiao Tong University (SJTU) and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 85 (553,944)
Citation 1

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Mono-linearity, Dual theory, Smooth preference, Independence axiom, Unbounded outcomes, Rank-dependent expected utility, Axiomatic approach.

11.

Double-Exponential Jumps in Returns and GARCH Diffusion in Volatilities: Evidence from the Chinese SSE 50ETF Option Market

Number of pages: 43 Posted: 23 Apr 2024
Chunhui Qiao, Xiangwei Wan and Nian Yang
Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management, Shanghai Jiao Tong University - Antai College of Economics & Management and Nanjing University - School of Business
Downloads 38 (811,195)

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double-exponential jumps, GARCH stochastic volatility model, option panel

12.

Enhancing Black-Scholes Delta Hedging via Deep Learning

Number of pages: 34 Posted: 11 Jul 2024
Chunhui Qiao and Xiangwei Wan
Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 23 (941,588)

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Option Hedging, Black-Scholes Delta, Residuals Learning, Local Error Minimization JEL Classification: G13, C81