5 papers
Efficient and Accurate Calibration to FX Market Skew with Fully Parameterized Local Volatility Model
Dongli Wu, Bufan Zhang, Xiao Lin
When trading American and Asian options in the FX derivatives market, banks must calculate prices using a complex mathematical model. It is often observed that different models pro…
Credible Persuasion
Xiao Lin, Ce Liu
We propose a new notion of credibility for Bayesian persuasion problems. A disclosure policy is credible if the sender cannot profit from tampering with her messages while keeping…
Robust Aggregation of Correlated Information
Henrique de Oliveira, Yuhta Ishii, Xiao Lin
Decisions are typically made by drawing on multiple sources of information, yet the correlation among these sources is often hard to assess. We study robustly optimal strategies\,-…
How to Sell Hard Information
S. Nageeb Ali, Nima Haghpanah, Xiao Lin +1
The seller of an asset has the option to buy hard information about the value of the asset from an intermediary. The seller can then disclose the acquired information before sellin…
The Zero-Coupon Rate Model for Derivatives Pricing
Xiao Lin
The aim of this paper is to present a dual-term structure model of interest rate derivatives in order to solve the two hardest problems in financial modeling: the exact volatility…