1 citations · 3 across the 4 of their papers we have counts for
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q-fin.MF2019★ 1 cited
Common Decomposition of Correlated Brownian Motions and its Financial Applications
Tianyao Chen, Xue Cheng, Jingping Yang
In this paper, we develop a theory of common decomposition for two correlated Brownian motions, in which, by using change of time method, the correlated Brownian motions are repres…
q-fin.MF2019
Optimal execution with dynamic risk adjustment
Xue Cheng, Marina Di Giacinto, Tai-Ho Wang
This paper considers the problem of optimal liquidation of a position in a risky security in a financial market, where price evolution are risky and trades have an impact on price…