Xingye Yue

affiliation not provided to SSRN

SCHOLARLY PAPERS

2

DOWNLOADS

383

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

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
National University of Singapore (NUS) - Department of Mathematics, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 355 (87,943)

Abstract:

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

2.

Worst-Case Value at Risk and Portfolio Management: A Simple Method Incorporating Model Uncertainty

Number of pages: 33 Posted: 06 Jun 2019
Ziting Pei, Yuhong Xu, Xingye Yue and Xishun Wang
Soochow University, Soochow university, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 28 (499,670)

Abstract:

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