Xiao-Song Qian

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
Pricing airbag option via first passage time approach Quantitative Finance	2024-08-26	Paper
Valuation of kth-to-default credit-linked notes with counterparty risk in a reduced-form model Communications in Statistics: Theory and Methods	2023-06-27	Paper
Indifference pricing of credit default swaps in a multi-period model Journal of Industrial and Management Optimization	2023-06-23	Paper
Pricing default risk in mortgage-backed securities under a regime-switching reduced-form model Communications in Statistics: Theory and Methods	2022-05-23	Paper
Basket credit derivative pricing in a Markov chain model with interacting intensities Mathematical Problems in Engineering	2020-10-28	Paper
Explicit formulas for pricing credit-linked notes with counterparty risk under reduced-form framework IMA Journal of Management Mathematics	2019-06-18	Paper
Explicit formulas for pricing of callable mortgage-backed securities in a case of prepayment rate negatively correlated with interest rates Journal of Mathematical Analysis and Applications	2012-07-04	Paper
A mathematical modeling for the lookback option with jump-diffusion using binomial tree method Journal of Computational and Applied Mathematics	2011-08-02	Paper
scientific article; zbMATH DE number 5504925 (Why is no real title available?)	2009-02-09	Paper
Convergence of the binomial tree method for Asian options in jump-diffusion models Journal of Mathematical Analysis and Applications	2007-04-10	Paper
scientific article; zbMATH DE number 2230700 (Why is no real title available?)	2005-11-21	Paper
Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model SIAM Journal on Numerical Analysis	2005-03-01	Paper
scientific article; zbMATH DE number 2063837 (Why is no real title available?)	2004-03-30	Paper
scientific article; zbMATH DE number 2061060 (Why is no real title available?)	2004-03-21	Paper
scientific article; zbMATH DE number 2051964 (Why is no real title available?)	2004-03-07	Paper
scientific article; zbMATH DE number 1941581 (Why is no real title available?)	2003-10-31	Paper
scientific article; zbMATH DE number 1775355 (Why is no real title available?)	2003-09-21	Paper
Numerical analysis on binomial tree methods for a jump-diffusion model. Journal of Computational and Applied Mathematics	2003-07-29	Paper
scientific article; zbMATH DE number 1762061 (Why is no real title available?)	2002-07-01	Paper

Research outcomes over time

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