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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.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…