Xiangwei Wan : Citation Profile

Shanghai Jiao Tong University

5

H index

1

i10 index

65

Citations

RESEARCH PRODUCTION:

7

Articles

1

Papers

RESEARCH ACTIVITY:

   14 years (2010 - 2024). See details.
   Cites by year: 4
   Journals where Xiangwei Wan has often published
   Relations with other researchers
   Recent citing documents: 17.    Total self citations: 1 (1.52 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwa615
   Updated: 2026-10-24    RAS profile: 2024-12-08    
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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 Xiangwei Wan.

Is cited by:

Choi, Jaehyuk (4)

Kristensen, Dennis (4)

Mele, Antonio (2)

Germano, Guido (2)

Moreno, Manuel (1)

Cites to:

Lo, Andrew (3)

Cao, Charles (3)

Andersen, Torben (3)

Chen, Zhiwu (3)

Basak, Suleyman (2)

Schneider, Paul (2)

Mele, Antonio (2)

Kristensen, Dennis (2)

Xiu, Dacheng (2)

Pascucci, Andrea (1)

Ait-Sahalia, Yacine (1)

Main data

Where Xiangwei Wan has published?

Journals with more than one article published# docs
Journal of Economic Dynamics and Control2

Recent works citing Xiangwei Wan (2025 and 2024)

YearTitle of citing document
2025Model-free Analysis of Dynamic Trading Strategies. (2025). Xu, Renyuan ; Cont, Rama ; Ananova, Anna. In: Papers. RePEc:arx:papers:2011.02870.

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2025Non-Concave Utility Maximization with Transaction Costs. (2023). Qian, Shuaijie ; Yang, Chen. In: Papers. RePEc:arx:papers:2307.02178.

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2025Non-concave distributionally robust stochastic control in a discrete time finite horizon setting. (2024). Sester, Julian ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2404.05230.

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2024Optimal Carbon Emission Control With Allowances Purchasing. (2024). Dong, Yuchao ; Chen, Xinfu ; Huang, Wenlin ; Liang, Jin. In: Papers. RePEc:arx:papers:2407.08477.

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2025Meyer-Zheng topology and multi-asset behavioral portfolio selection under transaction costs. (2025). Sidorenko, Artur. In: Papers. RePEc:arx:papers:2505.01876.

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2025Portfolio selection with exogenous and endogenous transaction costs under a two-factor stochastic volatility model. (2025). Wang, Zirun ; He, Xin-Jiang ; Zhou, KE ; Yan, Dong. In: Papers. RePEc:arx:papers:2510.21156.

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2026Nonconcave Portfolio Choice under Smooth Ambiguity. (2026). Zhu, Shihao ; Marinacci, Massimo ; Chen, AN ; Borgonovo, Emanuele. In: Papers. RePEc:arx:papers:2603.08552.

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2026Conditional distribution of the time-average of a geometric Brownian motion and option pricing in the SABR model. (2026). Pirjol, Dan. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:529:y:2026:i:c:s0096300326001967.

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2024Closed-form approximations of moments and densities of continuous–time Markov models. (2024). Kristensen, Dennis ; Mele, Antonio ; Lee, Young Jun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:168:y:2024:i:c:s0165188924001404.

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2026Efficient and accurate simulation of the stochastic-alpha-beta-rho model. (2026). Kwok, Yue Kuen ; Hu, Lilian ; Choi, Jaehyuk. In: European Journal of Operational Research. RePEc:eee:ejores:v:329:y:2026:i:1:p:166-179.

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2026Deep hedging 0DTE options. (2026). Egebjerg, Sebastian. In: Journal of Financial Stability. RePEc:eee:finsta:v:84:y:2026:i:c:s1572308926000379.

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2026Explicit occupation-time laws via operator reduction for Lévy processes with two-sided rational jumps. (2026). Ait-Aoudia, Djilali. In: Statistics & Probability Letters. RePEc:eee:stapro:v:235:y:2026:i:c:s0167715226000908.

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2024A Continuous Time Framework for Sequential Goal-Based Wealth Management. (2024). Zhang, Yuchong ; Capponi, Agostino. In: Management Science. RePEc:inm:ormnsc:v:70:y:2024:i:11:p:7664-7691.

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2024Pricing and hedging autocallable products by Markov chain approximation. (2024). Zhang, Gongqiu ; Li, Lingfei ; Cui, Yeda. In: Review of Derivatives Research. RePEc:kap:revdev:v:27:y:2024:i:3:d:10.1007_s11147-024-09206-z.

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2024Asymptotics for credit portfolio losses due to defaults in a multi-sector model. (2024). Zhang, Zhimin ; Yang, Yang ; Chen, Shaoying. In: Annals of Operations Research. RePEc:spr:annopr:v:337:y:2024:i:1:d:10.1007_s10479-024-05934-5.

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2025Approximating the Dynamic VaR Risk Measure in Ruin Theory. (2025). Zhang, Zhimin ; Cui, Zhenyu ; Su, Wen. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:27:y:2025:i:4:d:10.1007_s11009-025-10233-y.

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2024VIX option pricing through nonaffine GARCH dynamics and semianalytical formula. (2024). Zhang, Yuanyuan ; Wang, QI ; Liu, Junting. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:7:p:1189-1223.

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Works by Xiangwei Wan:

YearTitleTypeCited
2024Enhancing Black-Scholes Delta Hedging via Deep Learning In: Papers.
[Full Text][Citation analysis]		paper1
2017SENSITIVITY ANALYSIS OF NONLINEAR BEHAVIOR WITH DISTORTED PROBABILITY In: Mathematical Finance.
[Full Text][Citation analysis]		article1
2021Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article5
2017Approximate arbitrage-free option pricing under the SABR model In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article8
2019A new delta expansion for multivariate diffusions via the Itô-Taylor expansion In: Journal of Econometrics.
[Full Text][Citation analysis]		article9
2022Nonconcave Utility Maximization with Portfolio Bounds In: Management Science.
[Full Text][Citation analysis]		article8
2010Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options In: Mathematics of Operations Research.
[Full Text][Citation analysis]		article30
2018The survival probability of the SABR model: asymptotics and application In: Quantitative Finance.
[Full Text][Citation analysis]		article3

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