Wei Fan

Tsinghua University

No.1, Tsinghuayuan Road,Haidian District

Beijing, Beijing

China

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 28,186

SSRN RANKINGS

Top 28,186

in Total Papers Downloads

1,318

CITATIONS

2

Scholarly Papers (7)

1.

Gold Pricing Model During the Financial Crisis

Number of pages: 17 Posted: 09 May 2012 Last Revised: 10 Jul 2012
Sihai Fang, Wei Fan and Tao Lu
Hongyuan Securities, Tsinghua University and Research Center, China Securities Regulatory Commission
Downloads 428 (45,666)
Citation 2

Abstract:

Gold, Financial crisis, Asset pricing

2.

The Puzzle of Warrants Trading Below Their Intrinsic Values in China's A-Share Market

Number of pages: 14 Posted: 07 May 2008
Qiang Liu, Song-Ping Zhu and Wei Fan
Southwestern University of Finance and Economics - School of Finance, University of Wollongong and Tsinghua University
Downloads 263 (91,562)

Abstract:

Chinese warrant, intrinsic value, abnormal warrant price, T 1 trading rule, irrational behavior, rational trading strategy

3.

On the Relationship Between Call Price and the Probability of the Call Ending in the Money

Number of pages: 7 Posted: 12 Feb 2007
Wei Fan
Tsinghua University
Downloads 204 (123,336)

Abstract:

Black-Scholes formula, volatility, probability of the call ending in the money

4.

Explorations in Cyber International Relations (ECIR) - Data Dashboard Report #1: CERT Data Sources and Prototype Dashboard System

MIT Sloan Research Paper No. 4754-09
Number of pages: 49 Posted: 24 Sep 2009
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Department of Political Science, Massachusetts Institute of Technology (MIT) - Electrical Engineering and Computer Science, Massachusetts Institute of Technology (MIT), HEC Paris - Information Systems and Operations Management and Tsinghua University
Downloads 107 (195,697)

Abstract:

5.

On the Pricing and Hedging of Volatility-Linked Notes

Number of pages: 23 Posted: 04 Jan 2010
Wei Fan and Zhufei Yan
Tsinghua University and Bocconi University
Downloads 68 (259,277)

Abstract:

Key Words: volatility-linked notes, GARCH(1,1), stochastic volatility, replicated method, Monte-Carlo simulation

6.

On the China's Local Government Debt Risk

Number of pages: 19 Posted: 22 Aug 2014
Qiao Yu and Wei Fan
Tsinghua University - School of Economics & Management and Tsinghua University
Downloads 51 (259,277)

Abstract:

Local government debts, Ability-to-repay, Public policy and management

7.

Call Warrants on the China Security Market: Pricing Biases and Investors Confusion

Number of pages: 11 Posted: 12 Mar 2012
Wei Fan and Xinyi Yuan
Tsinghua University and affiliation not provided to SSRN
Downloads 31 (319,689)

Abstract:

call warrant, Black-Scholes model, EGARCH model, under the lower bound puzzle, arbitrage