Mingxin Xu : Citation Profile

Are you Mingxin Xu?

3

H index

2

i10 index

54

Citations

RESEARCH PRODUCTION:

4

Articles

5

Papers

RESEARCH ACTIVITY:

   9 years (2004 - 2013). See details.
   Cites by year: 6
   Journals where Mingxin Xu has often published
   Relations with other researchers
   Recent citing documents: 19.    Total self citations: 0 (0 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pxu35
   Updated: 2020-05-23    RAS profile: 2014-10-28    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Mingxin Xu.

Is cited by:

Anthropelos, Michail (2)

Ewald, Christian-Oliver (1)

Gospodinov, Nikolay (1)

Pallavicini, Andrea (1)

Pham, Thach (1)

Powell, Robert (1)

Pouliasis, Panos (1)

Tiwari, Aviral (1)

Černý, Aleš (1)

Papapostolou, Nikos (1)

Vo, Duc (1)

Cites to:

Acerbi, Carlo (6)

Artzner, Philippe (4)

Schied, Alexander (4)

Tasche, Dirk (3)

Riedel, Frank (2)

Kondor, Imre (2)

Shapiro, Alexander (2)

Ruszczynski, Andrzej (2)

Fabozzi, Frank (1)

Huisman, Ronald (1)

Kramkov, Dmitry (1)

Main data

Where Mingxin Xu has published?

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany3

Recent works citing Mingxin Xu (2018 and 2017)

YearTitle of citing document
2019Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274.

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2017Asymptotics for the Discrete-Time Average of the Geometric Brownian Motion and Asian Options. (2017). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:1706.09659.

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2018Deep Hedging. (2018). Wood, Ben ; Teichmann, Josef ; Gonon, Lukas ; Buhler, Hans. In: Papers. RePEc:arx:papers:1802.03042.

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2020Optimal hedging under fast-varying stochastic volatility. (2019). Solna, Knut ; Garnier, Josselin. In: Papers. RePEc:arx:papers:1810.08337.

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2019Supervised Deep Neural Networks (DNNs) for Pricing/Calibration of Vanilla/Exotic Options Under Various Different Processes. (2019). Oskoui, Amir ; Karatas, Tugce ; Hirsa, Ali. In: Papers. RePEc:arx:papers:1902.05810.

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2020Finance Without Brownian Motions: An Introduction To Simplified Stochastic Calculus. (2019). Ruf, Johannes ; Vcern, Alevs . In: Papers. RePEc:arx:papers:1912.03651.

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2020Hedging problems for Asian options with transactions costs. (2020). Shishkova, Alena ; Pergamenchtchikov, Serguei. In: Papers. RePEc:arx:papers:2001.01443.

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2019Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR. (2019). Gao, Jianjun ; Cui, Xiangyu ; Li, Duan ; Strub, Moris S. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301502.

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2017Equal risk pricing under convex trading constraints. (2017). Guo, Ivan ; Zhu, Song-Ping. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:76:y:2017:i:c:p:136-151.

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2019Hedging parameter risk. (2019). Schmelzle, Martin ; Rosch, Daniel ; Claussen, Arndt . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:100:y:2019:i:c:p:111-121.

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2017News sentiment and jumps in energy spot and futures markets. (2017). Dokumentov, Alexander ; Rotaru, Kristian ; Maslyuk-Escobedo, Svetlana. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:45:y:2017:i:c:p:186-210.

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2018Do Nonparametric Measures of Extreme Equity Risk Change the Parametric Ordinal Ranking? Evidence from Asia. (2018). Vo, Duc ; Pham, Thach ; Powell, Robert J. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:121-:d:175543.

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2019Market-Risk Optimization among the Developed and Emerging Markets with CVaR Measure and Copula Simulation. (2019). Tiwari, Aviral Kumar ; Trabelsi, Nader. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:78-:d:246399.

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2017Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index. (2017). Issaka, Aziz ; Sengupta, Indranil. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:4:d:10.1007_s10436-017-0302-3.

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2018On the implied market price of risk under the stochastic numéraire. (2018). Dokuchaev, Nikolai. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:2:d:10.1007_s10436-017-0315-y.

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2017A unified approach for the pricing of options relating to averages. (2017). Funahashi, Hideharu ; Kijima, Masaaki. In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:3:d:10.1007_s11147-017-9128-4.

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2018Market consistent valuations with financial imperfection. (2018). Gospodinov, Nikolay ; Assa, Hirbod. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:41:y:2018:i:1:d:10.1007_s10203-018-0207-2.

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2017Risk based capital for guaranteed minimum withdrawal benefit. (2017). Feng, Runhuan ; Vecer, Jan. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:3:p:471-478.

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2017GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS. (2017). Arai, Takuji. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:02:n:s021902491750011x.

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Works by Mingxin Xu:

YearTitleTypeCited
2013Optimal Dynamic Portfolio with Mean-CVaR Criterion In: Papers.
[Full Text][Citation analysis]		paper3
2013Optimal Dynamic Portfolio with Mean-CVaR Criterion.(2013) In: Risks.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
2006Risk measure pricing and hedging in incomplete markets In: Annals of Finance.
[Full Text][Citation analysis]		article23
2005Risk Measure Pricing and Hedging in Incomplete Markets.(2005) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23		paper
2010Minimizing Conditional Value-at-Risk under Constraint on Expected Value In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2007Parameter estimation from multinomial trees to jump diffusions with k means clustering In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2007Tradable measure of risk In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2009A continuous-time search model with job switch and jumps In: Mathematical Methods of Operations Research.
[Full Text][Citation analysis]		article0
2004Pricing Asian options in a semimartingale model In: Quantitative Finance.
[Full Text][Citation analysis]		article28

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated May, 3 2020. Contact: CitEc Team