4 citations · 6 across the 4 of their papers we have counts for
5 papers
When ratios fall: A dynamic approach to contingent convertibles
Li Chen, Liang Wang, Weixuan Xia
We propose a novel valuation framework for contingent convertible (CoCo) bonds based on the issuing bank's Common Equity Tier 1 (CET1) ratio, which is widely acknowledged as an ind…
Crypto Inverse-Power Options and Fractional Stochastic Volatility
Boyi Li, Weixuan Xia
Recent empirical evidence has highlighted the crucial role of jumps in both price and volatility within the cryptocurrency market. In this paper, we integrate price--volatility co-…
Regulating stochastic clocks
Zhe Fei, Weixuan Xia
Stochastic clocks represent a class of time change methods for incorporating trading activity into continuous-time financial models, with the ability to deal with typical asymmetri…
Average-tempered stable subordinators with applications
Weixuan Xia
In this paper the running average of a subordinator with a tempered stable distribution is considered. We investigate a family of previously unexplored infinite-activity subordinat…
Power-type derivatives for rough volatility with jumps
Liang Wang, Weixuan Xia
In this paper we propose a novel pricing-hedging framework for volatility derivatives which simultaneously takes into account rough volatility and volatility jumps. Our model direc…