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Xuewei Yang · Study

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Xuewei Yang

9 works· latest 2024· 2 institutionscluster: provisionalORCID 0000-0002-9769-3119

h-index9

i109

Citations353

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Most cited in this library

Markov-modulated jump–diffusions for currency option pricing2010 · 66 citations
Some integral functionals of reflected SDEs and their applications in finance2010 · 52 citations
An optimal portfolio problem in a defaultable market2010 · 42 citations
Can financial innovation succeed by catering to behavioral preferences? Evidence from a callable options market2018 · 42 citations
On the conditional default probability in a regulated market: a structural approach2010 · 42 citations

Works

9 shown

Leverage Is a Double‐Edged Sword

The Journal of Finance·2024·4 authors·Open access

27citations

Winners, Losers, and Regulators in a Derivatives Market Bubble

Review of Financial Studies·2020·3 authors·Open access

26citations

Can financial innovation succeed by catering to behavioral preferences? Evidence from a callable options market

Journal of Financial Economics·2018·3 authors·Open access

42citations

The Hitting Time Density for a Reflected Brownian Motion

Computational Economics·2011·3 authors

21citations

Some integral functionals of reflected SDEs and their applications in finance

Quantitative Finance·2010·3 authors

52citations

An optimal portfolio problem in a defaultable market

Advances in Applied Probability·2010·3 authors·Open access

42citations

Maximum likelihood estimation for reflected Ornstein–Uhlenbeck processes

Journal of Statistical Planning and Inference·2010·4 authors

35citations

On the conditional default probability in a regulated market: a structural approach

Quantitative Finance·2010·4 authors

42citations

Markov-modulated jump–diffusions for currency option pricing

Insurance Mathematics and Economics·2010·3 authors

66citations