Xiaole Xue

Shandong University

27 Shanda Nanlu

South Rd.

Jinan, Shandong 250100

China

SCHOLARLY PAPERS

3

DOWNLOADS

80

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Derivatives Trading for Insurers

Insurance: Mathematics and Economics, Vol. 84, 40-53, 2019
Number of pages: 30 Posted: 22 Jun 2018 Last Revised: 10 May 2019
Xiaole Xue, Pengyu Wei and Chengguo Weng
Shandong University, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo
Downloads 38 (453,386)

Abstract:

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Derivatives trading, HJB equations, Investment-reinsurance, Stochastic control, Stochastic volatility

2.

A Central Bank Strategy for Defending a Currency Peg

Number of pages: 11 Posted: 17 Dec 2019 Last Revised: 02 Apr 2020
Imperial College London, University of Waterloo, University of Waterloo and Shandong University
Downloads 22 (534,858)

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currency target zone, currency peg, price impact, central bank intervention, singular stochastic control, second-order differential equation with infinite boundary conditions

3.

Mean-variance Hedging with Basis Risk

Xue, X., Zhang, J.*, Weng, C. (2019). Mean-variance hedging with basis risk. Applied Stochastic Models in Business and Industry, Forthcoming
Number of pages: 22 Posted: 31 May 2019
Xiaole Xue, Chengguo Weng and Jinggong Zhang
Shandong University, University of Waterloo and Nanyang Technological University (NTU) - Nanyang Business School
Downloads 20 (546,965)

Abstract:

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