Xingye Yue

affiliation not provided to SSRN

SCHOLARLY PAPERS

3

DOWNLOADS

489

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Calibration of Stochastic Volatility Models: An Optimal Control Approach

Number of pages: 26 Posted: 21 Oct 2012
Min Dai, Ling Tang and Xingye Yue
The Hong Kong Polytechnic University, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 382 (109,690)

Abstract:

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calibration, stochastic volatility model, option prices, optimal control, inverse problem

2.

A Worst-Case Risk Measure by G-VaR

Number of pages: 25 Posted: 06 Jun 2019 Last Revised: 29 Oct 2020
Ziting Pei, Xishun Wang, Yuhong Xu and Xingye Yue
Soochow University, affiliation not provided to SSRN, Soochow university and affiliation not provided to SSRN
Downloads 81 (411,896)

Abstract:

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worst-case value-at-risk, portfolio management, G-normal distribution

3.

Realization Utility with Path-Dependent Reference Points

Forthcoming, SIAM Journal on Financial Mathematics
Number of pages: 50 Posted: 12 Apr 2021 Last Revised: 08 Jun 2022
Linghui Kong, Cong Qin and Xingye Yue
Soochow University, Soochow University and affiliation not provided to SSRN
Downloads 26 (655,770)

Abstract:

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Realization Utility, Path-Dependent Reference Points, Variational Inequality, Penalty Method