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

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