Similar Search Results

Can financial innovation succeed by catering to behavioral preferences? : evidence from a callable options market

Li, Xindan; Subrahmanyam, Avanidhar; Yang, Xuewei - In: Journal of financial economics 128 (2018) 1, pp. 38-65

Persistent link: https://www.econbiz.de/10011969106

International reserve management : a drift-switching reflected jump-diffusion model

Cai, Ning; Yang, Xuewei - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 409-446

Persistent link: https://www.econbiz.de/10011969150

The Hitting Time Density for a Reflected Brownian Motion

Hu, Qin; Wang, Yongjin; Yang, Xuewei - In: Computational Economics 40 (2012) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10010866828

Leverage is a double-edged sword

Subrahmanyam, Avanidhar; Tang, Ke; Wang, Jingyuan; … - In: The journal of finance : the journal of the American … 79 (2024) 2, pp. 1579-1634

Persistent link: https://www.econbiz.de/10014535529

The Hitting Time Density for a Reflected Brownian Motion

Hu, Qin; Wang, Yongjin; Yang, Xuewei - In: Computational economics 40 (2012) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10009977721

Delta hedging and volatility-price elasticity : a two-step approach

Xia, Kun; Yang, Xuewei; Zhu, Peng - In: Journal of banking & finance 153 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014490307

A note on transition density for the reflected Ornstein–Uhlenbeck process

Xing, Xiaoyu; Xing, Yongsheng; Yang, Xuewei - In: Statistics & Probability Letters 82 (2012) 3, pp. 586-591

This note focuses on the Ornstein–Uhlenbeck process reflected at its long-run level (or long-run mean). The analytical closed-form of the transition density is obtained by virtue of the Skorokhod equation and the time-change for martingales. Our result is consistent with that presented by...

Persistent link: https://www.econbiz.de/10010576156

Credit portfolio selection with decaying contagion intensities

Bo, Lijun; Capponi, Agostino; Chen, Peng‐Chu - In: Mathematical Finance 29 (2018) 1, pp. 137-173

Persistent link: https://www.econbiz.de/10012095149

Counterparty risk for CDS : default clustering effects

Bo, Lijun; Capponi, Agostino - In: Journal of banking & finance 52 (2015), pp. 29-42

Persistent link: https://www.econbiz.de/10011377294

Bilateral credit valuation adjustment for large credit derivatives portfolios

Bo, Lijun; Capponi, Agostino - In: Finance and stochastics 18 (2014) 2, pp. 431-482

Persistent link: https://www.econbiz.de/10010340674