4 citations · 6 across the 4 of their papers we have counts for
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math.PR2020★ 1 cited
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…
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…