Wei-Lin Xiao

Available identifiers

zbMath Open xiao.wei-linMaRDI QIDQ711394

List of research outcomes

Publication	Date of Publication	Type
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process	2023-02-01	Paper
Parameter identification for mixed fractional Brownian motions with the drift parameter	2022-08-12	Paper
Simulation of an integro-differential equation and application in estimation of ruin probability with mixed fractional Brownian motion	2021-07-05	Paper
Parameter identification for the discretely observed geometric fractional Brownian motion	2020-03-27	Paper
Asymptotic theory for rough fractional Vasicek models	2019-04-18	Paper
ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL	2019-03-27	Paper
Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model	2018-11-13	Paper
Arbitrage with fractional Gaussian processes	2018-11-13	Paper
The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate	2018-09-20	Paper
Least squares estimation for the drift parameters in the sub-fractional Vasicek processes	2018-06-20	Paper
https://portal.mardi4nfdi.de/entity/Q3447931	2015-10-28	Paper
Parameter Identification for Drift Fractional Brownian Motions with Application to the Chinese Stock Markets	2015-07-29	Paper
Ambiguity, asset prices, and excess volatility in a pure-exchange economy	2014-09-05	Paper
Maximum-likelihood estimators in the mixed fractional Brownian motion	2014-03-14	Paper
https://portal.mardi4nfdi.de/entity/Q5398624	2014-02-28	Paper
Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes	2013-01-28	Paper
Exact maximum likelihood estimators for drift fractional Brownian motion at discrete observa\-tion	2012-06-01	Paper
https://portal.mardi4nfdi.de/entity/Q3110243	2012-01-27	Paper
Modeling chinese stock returns with stable distribution	2011-11-11	Paper
Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation	2011-11-11	Paper
Fuzzy pricing of American options on stocks with known dividends and its algorithm	2011-07-27	Paper
Possibilistic approaches to portfolio selection problem with general transaction costs and a CLPSO algorithm	2010-10-26	Paper
https://portal.mardi4nfdi.de/entity/Q3408227	2010-02-25	Paper
A fuzzy portfolio selection method based on possibilistic mean and variance	2009-09-18	Paper
Portfolio selection under possibilistic mean-variance utility and a SMO algorithm	2009-04-30	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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