4 citations · 6 across the 4 of their papers we have counts for
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q-fin.PR2026
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…
q-fin.PR2024
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-…
q-fin.PR2020★ 1 cited
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…