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Published Papers (Available at http://ssrn.com/author=1028833)
  1. Can financial innovation succeed by catering to behavioral preferences? Evidence from a callable options market, with Xindan Li and Avanidhar Subrahmanyam (UCLA Anderson), Journal of Financial Economics, 128(1): 38-65, April 2018. (DOI: 10.1016/j.jfineco.2018.01.010)    Download (PDF on SSRN)

  2. International reserve management: a drift-switching reflected jump-diffusion model, with Ning Cai (HKUST), Mathematical Finance, 28(1): 409--446, January 2018.    Download (PDF on SSRN)

  3. Optimal processing rate and buffer size of a jump-diffusion processing system, with Xindan Li, Dan Tang and Yongjin Wang, Annals of Operations Research, 217(1): 319--335, June 2014.    Download (PDF on SSRN)

  4. Smooth-pasting property on reflected Lévy processes and its applications in credit risk modeling, with Lijun Bo, Science China: Mathematics, 57(6): 1237--1256, June 2014.    Download (PDF on SSRN)

  5. Credit derivatives pricing based on Lévy field driven term structure, with Lijun Bo and Ying Jiao, Stochastic Analysis and Applications, 32(2): 229--252, March 2014.    Download (PDF on SSRN)

  6. On the default probability in a regime-switching regulated market, with Lijun Bo and Yongjin Wang, Methodology and Computing in Applied Probability, 16(1): 101--113, March 2014.    Download (PDF on SSRN)

  7. On the conditional default probability in regulated market with jump risk, with Lijun Bo, Xindan Li and Yongjin Wang, Quantitative Finance, 13(12): 1967--1975, December 2013.    Download (PDF on SSRN)

  8. A new numerical scheme for a class of reflected stochastic differential equations, Monte Carlo Methods and Applications, 19(4): 273--279, December 2013.    Download (PDF on SSRN)

  9. Optimal investment and consumption with default risk: HARA utility, with Lijun Bo, Xindan Li and Yongjin Wang, Asia-Pacific Financial Markets, 20(3): 261--281, September 2013.    Download (PDF on SSRN)

  10. Kernel-correlated Lévy field driven forward rate and application to derivative pricing, with Lijun Bo and Yongjin Wang, Applied Mathematics and Optimization, 68(1): 21--41, August 2013.    Download (PDF on SSRN)

  11. First passage times of reflected generalized Ornstein-Uhlenbeck processes, with Lijun Bo, Guijun Ren and Yongjin Wang, Stochastics and Dynamics, 13(1), 1250014, March 2013.    Download (PDF on SSRN)

  12. Stochastic portfolio optimization with default risk, with Lijun Bo and Yongjin Wang, Journal of Mathematical Analysis and Applications, 397(2): 467--480, January 2013.    Download (PDF on SSRN)

  13. Optimal portfolio and consumption selection with default risk, with Lijun Bo and Yongjin Wang, Frontiers of Mathematics in China, 7(6): 1019--1042, December 2012.    Download (PDF on SSRN)

  14. Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes, with Lijun Bo, Statistics and Probability Letters, 82(7): 1374--1382, July 2012.    Download (PDF on SSRN)

  15. The hitting time density for a reflected Brownian motion, with Qin Hu and Yongjin Wang, Computational Economics, 40(1):1--18, June 2012.    Download (PDF on SSRN)

  16. Lévy risk model with two-sided jumps and a barrier dividend strategy, with Lijun Bo, Renming Song, Dan Tang and Yongjin Wang, Insurance: Mathematics and Economics, 50(2): 280--291, March 2012.    Download (PDF on SSRN)    Erratum

  17. A note on transition density for the reflected Ornstein-Uhlenbeck process, with Xiaoyu Xing and Yongsheng Xing, Statistics and Probability Letters, 82(1): 586--591, March 2012.    Download (PDF on SSRN)

  18. On conditional default probability in a regulated market: a structural approach, with Lijun Bo, Dan Tang and Yongjin Wang, Quantitative Finance, 11(12): 1695--1702, December 2011.    Download (PDF on SSRN)

  19. Derivative pricing based on the exchange rate in a target zone with realignment, with Lijun Bo and Yongjin Wang, International Journal of Theoretical and Applied Finance, 14(6): 945--956, September 2011.    Download (PDF on SSRN)

  20. First passage times of (reflected) Ornstein-Uhlenbeck processes over random jump boundaries, with Lijun Bo and Yongjin Wang, Journal of Applied Probability, 48(3): 723--732, September 2011.    Download (PDF on SSRN)

  21. Some integral functionals of reflected SDEs and their applications in finance, with Lijun Bo and Yongjin Wang, Quantitative Finance, 11(3): 343--348, March 2011.    Download (PDF on SSRN)

  22. Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes, with Lijun Bo, Yongjin Wang and Guannan Zhang, Journal of Statistical Planning and Inference, 141(1): 588--596, January 2011.    Download (PDF on SSRN)

  23. An optimal portfolio problem in a defaultable market, with Lijun Bo and Yongjin Wang, Advances in Applied Probability, 42(3): 689--705, September 2010.    Download (PDF on SSRN)

  24. Markov-modulated jump-diffusions for currency option pricing, with Lijun Bo and Yongjin Wang, Insurance: Mathematics and Economics, 46(3): 461--469, June 2010.    Download (PDF on SSRN)


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