Ziqing Xu

affiliation not provided to SSRN

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Scholarly Papers (2)

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1.

Analytical Solvability and Exact Simulation of Stochastic Volatility Models with Jumps

Number of pages: 51 Posted: 16 Aug 2021 Last Revised: 13 Sep 2021
Pingping Zeng, Ziqing Xu, Pingping Jiang and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST) - Department of Mathematics, affiliation not provided to SSRN, Nankai University - School of Mathematical Sciences and Hong Kong University of Science & Technology - Department of Mathematics
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stochastic volatility models with Levy jumps; conditional characteristic function; Hilbert transform method; interpolation; enhanced Hilbert interpolation method; almost exact simulation; weighted variance swaps; variance options

2.

Analytical Solvability and Exact Simulation in Models with Affine Stochastic Volatility and Levy Jumps

Number of pages: 46 Posted: 21 Oct 2022 Last Revised: 09 Nov 2022
Pingping Zeng, Ziqing Xu, Pingping Jiang and Yue Kuen Kwok
Southern University of Science and Technology, affiliation not provided to SSRN, Nankai University - School of Mathematical Sciences and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 41 (661,939)

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analytical solvability, exact simulation, stochastic volatility, Levy jumps, Hilbert transform method, interpolation, path-dependent derivatives