5
H index
3
i10 index
110
Citations
Xingchun Wang : Citation Profile
University of International Business and Economics (UIBE) | RESEARCH PRODUCTION: 45 Articles 1 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
11 years (2012 - 2023). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Xingchun Wang. | Is cited by:
| Cites to:
|
Main data
Where Xingchun Wang has published?
Recent works citing Xingchun Wang (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Extraction of deterministic components for high frequency stochastic process -- an application from CSI 300 index. (2022). Sengupta, Indranil ; Zhou, Yan ; Sun, Baiqing ; Hui, Xianfei. In: Papers. RePEc:arx:papers:2204.02891. Full description at Econpapers || Download paper |
| 2023 | A comonotonic approximation to optimal terminal wealth under a multivariate Merton model with correlated jump risk. (2023). Maroufy, Vahed ; Madadi, Mohsen ; Rezapour, Mohsen ; Afhami, Bahareh. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:444:y:2023:i:c:s0096300322008761. Full description at Econpapers || Download paper |
| 2023 | Does short-term momentum exist in China?. (2023). Ruan, Xinfeng ; Li, Tianjiao ; Yue, Tian. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x22002153. Full description at Econpapers || Download paper |
| 2023 | An imprecise pricing model for Asian options based on Nonparametric predictive inference. (2023). He, Ting. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x23000070. Full description at Econpapers || Download paper |
| 2023 | An analytical GARCH valuation model for spread options with default risk. (2023). Yin, Xunbai ; Xu, Guangli ; Tang, Dan ; Song, Shiyu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:1-20. Full description at Econpapers || Download paper |
| 2023 | Belief-based momentum indicator and stock market return predictability. (2023). Liang, Chao ; Xu, Yongan ; Huo, Jiale. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002112. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Interest rate risk of Chinese commercial banks based on the GARCH-EVT model. (2023). Shan, Zhangming ; Chen, Xin ; Boamah, Valentina ; Zhou, Biao ; Tang, Decai. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-02321-6. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach. (2023). Yang, Xiao Guang ; Cui, Zhenyu ; Ding, Kailin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:2:p:217-241. Full description at Econpapers || Download paper |
| 2023 | Analytically pricing exchange options with stochastic liquidity and regime switching. (2023). Lin, Sha ; He, Xinjiang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:5:p:662-676. Full description at Econpapers || Download paper |
Works by Xingchun Wang:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2020 | Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2021 | Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes.(2021) In: Review of Derivatives Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2016 | The Pricing of Catastrophe Equity Put Options with Default Risk In: International Review of Finance. [Full Text][Citation analysis] | article | 5 |
| 2018 | Profitability of reversal strategies: A modified version of the Carhart model in China In: Economic Modelling. [Full Text][Citation analysis] | article | 12 |
| 2019 | Valuation of new-designed contracts for catastrophe risk management In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2020 | Catastrophe equity put options with floating strike prices In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 1 |
| 2020 | Valuing spread options with counterparty risk and jump risk In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 2 |
| 2021 | The values and incentive effects of options on the maximum or the minimum of the stock prices and market index In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 1 |
| 2021 | Valuation of options on the maximum of two prices with default risk under GARCH models In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 3 |
| 2022 | Exchange options for catastrophe risk management In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 1 |
| 2022 | Pricing basket spread options with default risk under Heston–Nandi GARCH models In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 2 |
| 2022 | Pricing vulnerable options with stochastic liquidity risk In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 1 |
| 2015 | Quadratic hedging strategies for volatility swaps In: Finance Research Letters. [Full Text][Citation analysis] | article | 0 |
| 2016 | Pricing vulnerable options with stochastic default barriers In: Finance Research Letters. [Full Text][Citation analysis] | article | 2 |
| 2016 | Pricing power exchange options with correlated jump risk In: Finance Research Letters. [Full Text][Citation analysis] | article | 7 |
| 2018 | Valuing executive stock options under correlated employment shocks In: Finance Research Letters. [Full Text][Citation analysis] | article | 2 |
| 2019 | Analytical valuation of power exchange options with default risk In: Finance Research Letters. [Full Text][Citation analysis] | article | 4 |
| 2019 | Valuation of catastrophe equity put options with correlated default risk and jump risk In: Finance Research Letters. [Full Text][Citation analysis] | article | 2 |
| 2021 | Pricing volatility-equity options under the modified constant elasticity of variance model In: Finance Research Letters. [Full Text][Citation analysis] | article | 0 |
| 2016 | Catastrophe equity put options with target variance In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 4 |
| 2017 | Pricing vulnerable options with stochastic volatility In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 12 |
| 2019 | Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 1 |
| 2020 | Pricing options on the maximum or minimum of multi-assets under jump-diffusion processes In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 3 |
| 2020 | Valuation of Asian options with default risk under GARCH models In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 3 |
| 2017 | Long time stability of nonlocal stochastic Kuramoto–Sivashinsky equations with jump noises In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 2018 | Long time behavior for stochastic Burgers equations with jump noises In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 2014 | Long time behavior for nonlocal stochastic Kuramoto–Sivashinsky equations In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 2021 | Pricing vulnerable options with jump risk and liquidity risk In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 1 |
| 2022 | Valuing fade-in options with default risk in Heston–Nandi GARCH models In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 1 |
| 2023 | Pricing vulnerable basket spread options with liquidity risk In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 0 |
| 2012 | Credit spreads, endogenous bankruptcy and liquidity risk In: Computational Management Science. [Full Text][Citation analysis] | article | 0 |
| 2021 | On the Transition Density and First Hitting Time Distributions of the Doubly Skewed CIR Process In: Methodology and Computing in Applied Probability. [Full Text][Citation analysis] | article | 1 |
| 2020 | Valuing vulnerable options with two underlying assets In: Applied Economics Letters. [Full Text][Citation analysis] | article | 2 |
| 2021 | Valuing vulnerable options with bond collateral In: Applied Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2022 | Pricing options on the maximum of two average prices under stochastic volatility models In: Applied Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2022 | Exchange options and spread options with stochastically correlated underlyings In: Applied Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2022 | Pricing European basket warrants with default risk under stochastic volatility models In: Applied Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2014 | Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 1 |
| 2020 | The valuation of vulnerable European options with risky collateral In: The European Journal of Finance. [Full Text][Citation analysis] | article | 1 |
| 2023 | Valuing basket-spread options with default risk under Hawkes jump-diffusion processes In: The European Journal of Finance. [Full Text][Citation analysis] | article | 0 |
| 2014 | Pricing Vulnerable Options with Correlated Credit Risk Under Jump?Diffusion Processes In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 17 |
| 2017 | Differences in the Prices of Vulnerable Options with Different Counterparties In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 2 |
| 2017 | The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 5 |
| 2019 | Pricing executive stock options with averaging features under the Heston–Nandi GARCH model In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 1 |
| 2020 | Analytical valuation of Asian options with counterparty risk under stochastic volatility models In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 4 |
| 2022 | Pricing vulnerable options under correlated skew Brownian motions In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 1 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team