Details about Xuewei YANG

Access statistics for papers by Xuewei YANG.

Last updated 2013-11-20. Update your information in the RePEc Author Service.

Short-id: pya363

Working Papers

2011

1. Credit derivatives pricing with default density term structure modelled by L\'evy random fields
   Papers, arXiv.org

Journal Articles

2013

1. Optimal Investment and Consumption with Default Risk: HARA Utility
   Asia-Pacific Financial Markets, 2013, 20, (3), 261-281 View citations (1)

2012

2. A note on transition density for the reflected Ornstein–Uhlenbeck process
   Statistics & Probability Letters, 2012, 82, (3), 586-591 View citations (1)
3. Lévy risk model with two-sided jumps and a barrier dividend strategy
   Insurance: Mathematics and Economics, 2012, 50, (2), 280-291 View citations (5)
4. Sequential maximum likelihood estimation for reflected generalized Ornstein–Uhlenbeck processes
   Statistics & Probability Letters, 2012, 82, (7), 1374-1382 View citations (2)
5. The Hitting Time Density for a Reflected Brownian Motion
   Computational Economics, 2012, 40, (1), 1-18 View citations (5)

2010

6. Markov-modulated jump-diffusions for currency option pricing
   Insurance: Mathematics and Economics, 2010, 46, (3), 461-469 View citations (34)
7. Some integral functionals of reflected SDEs and their applications in finance
   Quantitative Finance, 2010, 11, (3), 343-348 View citations (9)