Guangli Xu

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Skew Ornstein-Uhlenbeck processes with sticky reflection and their applications to bond pricing Journal of Applied Probability	2024-11-15	Paper
Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model Quantitative Finance	2023-06-20	Paper
The analysis and property of two classes of skew Markov processes SCIENTIA SINICA Mathematica	2022-03-21	Paper
On the transition density and first hitting time distributions of the doubly skewed CIR process Methodology and Computing in Applied Probability	2021-11-09	Paper
A closed-form GARCH valuation model for power exchange options with counterparty risk Probability in the Engineering and Informational Sciences	2020-05-27	Paper
On the probability of default in a market with price clustering and jump risk Mathematics and Financial Economics	2020-04-29	Paper
THE VALUATION OF EXECUTIVE STOCK OPTIONS UNDER GARCH MODELS Probability in the Engineering and Informational Sciences	2019-11-07	Paper
A simple trinomial lattice approach for the skew-extended CIR models Mathematics and Financial Economics	2017-12-29	Paper
Long time stability of nonlocal stochastic Kuramoto-Sivashinsky equations with jump noises Statistics & Probability Letters	2017-10-06	Paper
The valuation of options on foreign exchange rate in a target zone International Journal of Theoretical and Applied Finance	2016-05-17	Paper
On first hitting times for skew CIR processes Methodology and Computing in Applied Probability	2016-04-12	Paper
On stability of the Markov-modulated skew CIR process Statistics & Probability Letters	2015-12-30	Paper
Some properties of doubly skewed CIR processes Journal of Mathematical Analysis and Applications	2015-11-17	Paper
The characteristics of singular rough sets on \(CS(K)\) Advances in Soft Computing	2011-03-02	Paper

Research outcomes over time

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