Details about Jiling Cao
Access statistics for papers by Jiling Cao.
Last updated 2021-10-22. Update your information in the RePEc Author Service.
Short-id: pca805
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Working Papers
2020
- Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure
Papers, arXiv.org View citations (4)
2017
- Ex-post core, fine core and rational expectations equilibrium allocations
Papers, arXiv.org 
See also Journal Article Ex-post core, fine core and rational expectations equilibrium allocations, Journal of Mathematical Economics, Elsevier (2018) (2018)
2016
- Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching
Papers, arXiv.org 
See also Journal Article Pricing Variance Swaps in a Hybrid Model of Stochastic Volatility and Interest Rate with Regime-Switching, Methodology and Computing in Applied Probability, Springer (2018) View citations (2) (2018)
2015
- Rational Expectations Equilibria: Existence and Representation
MPRA Paper, University Library of Munich, Germany View citations (2)
See also Journal Article Rational expectations equilibria: existence and representation, Economic Theory Bulletin, Springer (2016) View citations (4) (2016)
2013
- Strategic real options with stochastic volatility in a duopoly model
MPRA Paper, University Library of Munich, Germany 
See also Journal Article Strategic real options with stochastic volatility in a duopoly model, Chaos, Solitons & Fractals, Elsevier (2014) View citations (1) (2014)
2011
- Infinite dimensional mixed economies with asymmetric information
MPRA Paper, University Library of Munich, Germany
- On the core and Walrasian expectations equilibrium in infinite dimensional commodity spaces
MPRA Paper, University Library of Munich, Germany 
See also Journal Article On the core and Walrasian expectations equilibrium in infinite dimensional commodity spaces, Economic Theory, Springer (2013) View citations (14) (2013)
Journal Articles
2021
- Specification analysis of VXX option pricing models under Lévy processes
Journal of Futures Markets, 2021, 41, (9), 1456-1477 View citations (1)
2020
- Inferring information from the S&P 500, CBOE VIX, and CBOE SKEW indices
Journal of Futures Markets, 2020, 40, (6), 945-973 View citations (10)
- Monetary policy and financial economic growth
The Journal of Economic Asymmetries, 2020, 22, (C) View citations (3)
- Pricing VIX derivatives with infinite‐activity jumps
Journal of Futures Markets, 2020, 40, (3), 329-354 View citations (5)
- Rough stochastic elasticity of variance and option pricing
Finance Research Letters, 2020, 37, (C) View citations (3)
2018
- Ex-post core, fine core and rational expectations equilibrium allocations
Journal of Mathematical Economics, 2018, 74, (C), 128-138 
See also Working Paper Ex-post core, fine core and rational expectations equilibrium allocations, Papers (2017) (2017)
- Pricing Variance Swaps in a Hybrid Model of Stochastic Volatility and Interest Rate with Regime-Switching
Methodology and Computing in Applied Probability, 2018, 20, (4), 1359-1379 View citations (2)
See also Working Paper Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching, Papers (2016) (2016)
2016
- Pricing variance swaps under stochastic volatility and stochastic interest rate
Applied Mathematics and Computation, 2016, 277, (C), 72-81 View citations (13)
- Rational expectations equilibria: existence and representation
Economic Theory Bulletin, 2016, 4, (2), 367-386 View citations (4)
See also Working Paper Rational Expectations Equilibria: Existence and Representation, MPRA Paper (2015) View citations (2) (2015)
2014
- Strategic real options with stochastic volatility in a duopoly model
Chaos, Solitons & Fractals, 2014, 58, (C), 40-51 View citations (1)
See also Working Paper Strategic real options with stochastic volatility in a duopoly model, MPRA Paper (2013) (2013)
2013
- On the core and Walrasian expectations equilibrium in infinite dimensional commodity spaces
Economic Theory, 2013, 53, (3), 537-560 View citations (14)
See also Working Paper On the core and Walrasian expectations equilibrium in infinite dimensional commodity spaces, MPRA Paper (2011) (2011)
- Optimal Investment with Multiple Risky Assets for an Insurer in an Incomplete Market
Discrete Dynamics in Nature and Society, 2013, 2013, 1-12
- Robust efficiency in mixed economies with asymmetric information
Journal of Mathematical Economics, 2013, 49, (1), 49-57 View citations (18)
2012
- Blocking efficiency in an economy with asymmetric information
Journal of Mathematical Economics, 2012, 48, (6), 396-403 View citations (21)
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