Xianming Sun

Zhongnan University of Economics and Law - School of Finance

WenQuan Building, 182# Nanhu Avenue

East Lake High-tech Development Zone

Wuhan, Hubei 430073

China

SCHOLARLY PAPERS

5

DOWNLOADS

227

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Uncertainty Quantification of Derivative Instruments

Number of pages: 25 Posted: 20 Mar 2015 Last Revised: 21 Mar 2015
Xianming Sun and Michèle Vanmaele
Zhongnan University of Economics and Law - School of Finance and Ghent University - Department of Applied Mathematics, Computer Science and Statistics
Downloads 62 (381,580)

Abstract:

Loading...

Parameter uncertainty; Derivative pricing; Worst-case approach; Smolyak; Monte Carlo; Entropy

2.

Analytical Approximation for Distorted Expectations

Number of pages: 16 Posted: 01 Jun 2015 Last Revised: 23 Jul 2015
Xianming Sun, Siqing Gan and Michèle Vanmaele
Zhongnan University of Economics and Law - School of Finance, affiliation not provided to SSRN and Ghent University - Department of Applied Mathematics, Computer Science and Statistics
Downloads 55 (404,414)

Abstract:

Loading...

Distortion risk measure; Fourier-cosine series expansion; Interpolation approximation

3.

Efficient Semi-Analytical Simulation for Heston Model

Forthcoming, Computational Economics
Number of pages: 14 Posted: 25 Oct 2011 Last Revised: 19 Apr 2013
Xianming Sun
Zhongnan University of Economics and Law - School of Finance
Downloads 52 (414,774)

Abstract:

Loading...

option price, mean-reverting square root process, volatility process, splitting technique, convergence

4.

Optional Disclosure and Observational Learning

Number of pages: 50 Posted: 07 Dec 2017
Diefeng Peng, Yulei Rao, Xianming Sun and Erte Xiao
Central South University, Central South University, Zhongnan University of Economics and Law - School of Finance and Monash University
Downloads 39 (465,474)

Abstract:

Loading...

Observational Learning, Information Cascade, Optional Disclosure, Other-Regarding Preferences

5.

Horizon-unbiased Investment with Ambiguity

Number of pages: 30 Posted: 24 May 2019
Qian Lin, Xianming Sun and Chao Zhou
Wuhan University - School of Economics and Management, Zhongnan University of Economics and Law - School of Finance and National University of Singapore (NUS) - Department of Mathematics
Downloads 19 (573,453)

Abstract:

Loading...

Ambiguity, Forward Performance, Robust Investment, Risk Premium