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Mingyang Xu

affiliation not provided to SSRN

SCHOLARLY PAPERS

10

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Rank 17,566

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Top 17,566

in Total Papers Downloads

6,926

TOTAL CITATIONS

2

Scholarly Papers (10)

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1.

SOFR Derivative Pricing Using a Short Rate Model

Number of pages: 18 Posted: 27 Jan 2022
Mingyang Xu
affiliation not provided to SSRN
Downloads 3,696 (7,581)

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SOFR, Averaging, Affine, Hull-White, Swaption, Option, Futures, Callable Floater, Convexity Adjustment

2.

On Calibration and Simulation of Local Volatility Model with Stochastic Interest Rate

Number of pages: 31 Posted: 24 Jun 2019
Mingyang Xu and Robert Berec
affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 1,583 (28,935)

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Stochastic Interest Rate, Hybrid Local Volatility, Dupire Forward PDE, Arrow-Debreu Price, Finite Difference, Volatility Regularization, Predictor-Corrector

3.

Monte Carlo Calibration Method of Stochastic Volatility Model with Stochastic Interest Rate

Number of pages: 22 Posted: 24 Jun 2019
Mingyang Xu
affiliation not provided to SSRN
Downloads 466 (153,416)

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Implied Volatility Skew and Smile, Hybrid Stochastic Volatility Model, Stochastic Interest Rate, G2++, Monte Carlo, Conditional Expectation

4.

A New Stochastic Inflation Model for Inflation Derivatives

Number of pages: 21 Posted: 11 Mar 2022
Mingyang Xu
affiliation not provided to SSRN
Downloads 410 (178,078)

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Inflation derivative, stochastic inflation model, forward inflation index, zero-coupon inflation rate, year-on-year inflation rate, Monte Carlo Simulation

5.

Survey of Model Selection and Model Combination

Number of pages: 39 Posted: 17 Jan 2011
Mingyang Xu and Michael Golay
affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 251 (303,770)
Citation 2

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Model selection, model combination, model distance, principle of parsimony, generability estimation

6.

Candidate Model Choice in Feature-Based Model Combination

Number of pages: 19 Posted: 17 Jan 2011
Mingyang Xu and Michael Golay
affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 145 (508,926)

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Candidate model choice, feature-based model combination, model assessment, Bayesian information aggregation

7.

Low-Beta Puzzles: Implications for Factor Investing

Number of pages: 24 Posted: 12 Aug 2025 Last Revised: 24 Aug 2025
Mingyang Xu
affiliation not provided to SSRN
Downloads 109 (645,052)

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CAPM, Behavioral Finance, Risk Premium, Risk Factor Model, Cross-Sectional Regression, Beta-Neutral, Dollar Neutral, Multi-Factor Strategy, Portfolio Optimization, Low-Beta Anomaly

8.

Adaptive Fuzzy Mixture of Local Feature Models

Number of pages: 32 Posted: 17 Jan 2011
Mingyang Xu and Michael Golay
affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 91 (736,406)

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Adaptive fuzzy mixture, local feature model, PCA, ICA, phase transition, fuzzy parametric clustering, Real-coded Genetic Algorithm

9.

Data-Guided Model Combination by Decomposition and Aggregation

Machine Learning, Vol. 63, No. 1, pp. 43-67
Number of pages: 30 Posted: 17 Jan 2011
Mingyang Xu and Michael Golay
affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 90 (742,061)

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Model Selection, Model Combination, Model Dependence, Model Structure, Model Decomposition, Principal Component Analysis, Independent Component Analysis, BIC, Cross-Validation

10.

Individual Shrinkage-Based Fuzzy Variable Selection

Number of pages: 17 Posted: 17 Jan 2011
Mingyang Xu and Michael Golay
affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 85 (771,553)

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Model selection, multiple regression, generalized ridge regression, effective model dimensionality, genetic algorithm, derivative-free local optimization