Xuewei Yang

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes	2021-06-23	Paper
INTERNATIONAL RESERVE MANAGEMENT: A DRIFT‐SWITCHING REFLECTED JUMP‐DIFFUSION MODEL	2018-04-13	Paper
Optimal processing rate and buffer size of a jump-diffusion processing system	2015-01-22	Paper
Smooth-pasting property on reflected Lévy processes and its applications in credit risk modeling	2014-12-02	Paper
Erratum to ``Lévy risk model with two-sided jumps and a barrier dividend strategy	2014-07-16	Paper
Credit Derivatives Pricing Based on Lévy Field Driven Term Structure	2014-05-02	Paper
On the default probability in a regime-switching regulated market	2014-04-14	Paper
On the conditional default probability in a regulated market with jump risk	2014-03-04	Paper
A new numerical scheme for a class of reflected stochastic differential equations	2014-02-11	Paper
On the conditional default probability in a regulated market: a structural approach	2013-12-13	Paper
Kernel-correlated Lévy field driven forward rate and application to derivative pricing	2013-10-21	Paper
Optimal investment and consumption with default risk: HARA utility	2013-09-20	Paper
Optimal portfolio and consumption selection with default risk	2013-04-10	Paper
FIRST PASSAGE TIMES OF REFLECTED GENERALIZED ORNSTEIN–UHLENBECK PROCESSES	2013-03-05	Paper
The hitting time density for a reflected Brownian motion	2013-01-11	Paper
Stochastic portfolio optimization with default risk	2012-11-22	Paper
Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes	2012-08-30	Paper
A note on transition density for the reflected Ornstein-Uhlenbeck process	2012-05-18	Paper
Lévy risk model with two-sided jumps and a barrier dividend strategy	2012-04-18	Paper
Markov-modulated jump-diffusions for currency option pricing	2012-02-10	Paper
DERIVATIVE PRICING BASED ON THE EXCHANGE RATE IN A TARGET ZONE WITH REALIGNMENT	2011-11-22	Paper
First Passage Times of (Reflected) Ornstein-Uhlenbeck Processes Over Random Jump Boundaries	2011-10-25	Paper
Some integral functionals of reflected SDEs and their applications in finance	2011-04-28	Paper
An optimal portfolio problem in a defaultable market	2010-11-26	Paper
Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes	2010-10-22	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Xuewei Yang