Xin Zang

Peking University

School of Mathematical Sciences, Peking University

Beijing, Beijing 100871

China

SCHOLARLY PAPERS

3

DOWNLOADS

318

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Double-jump Diffusion Model for VIX: Evidence from VVIX

Number of pages: 38 Posted: 24 Jun 2015 Last Revised: 23 Jul 2016
Xin Zang, Jun Ni, Jingzhi Huang and Lan Wu
Peking University, Pennsylvania State University - Department of Mathematics, Pennsylvania State University - Department of Finance and Peking University
Downloads 200 (220,507)
Citation 1

Abstract:

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Volatility indices, Volatility proxy, Cojump, Monte Carlo Markov chain, Bayesian analysis

2.

Analytic Value Function for Pairs Trading Strategy With a Levy-Driven Ornstein-Uhlenbeck Process

Number of pages: 41 Posted: 03 Apr 2020
Lan Wu, Xin Zang and Hongxin Zhao
Peking University, Peking University and Peking University
Downloads 103 (370,488)

Abstract:

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Pairs trading, Levy-driven Ornstein-Uhlenbeck process, Optimal thresholds, Two-sided exit problem

3.

Asymptotic Expansion for the Transition Densities of Stochastic Differential Equations Driven by the Gamma Processes

Number of pages: 31 Posted: 06 Apr 2020
Fan Jiang, Xin Zang and Jingping Yang
Peking University, Peking University and Peking University - School of Mathematical Sciences
Downloads 15 (778,716)

Abstract:

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