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Number of items: 10.
2018
Jin, Xing, Luo, Dan and Zeng, Xudong (2018) Dynamic asset allocation with uncertain jump risks : a pathwise optimization approach. Mathematics of Operations Research, 43 (2). pp. 347-376. doi:10.1287/moor.2017.0854 ISSN 0364-765X.
Hong, Yi and Jin, Xing (2018) Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix. European Journal of Operational Research, 265 (1). pp. 389-398. doi:10.1016/j.ejor.2017.08.010 ISSN 0377-2217.
2016
Jin, Xing and Yang, Cheng-Yu (2016) Efficient estimation of lower and upper bounds for pricing higher-dimensional American arithmetic average options by approximating their payoff functions. International Review of Financial Analysis, 44 . pp. 65-77. doi:10.1016/j.irfa.2016.01.009 ISSN 1057-5219.
2013
Jin, Xing, Li, Xun, Tan, Hwee Huat and Wu, Zhenyu (2013) A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction. European Journal of Operational Research, Volume 231 (Number 2). pp. 362-370. doi:10.1016/j.ejor.2013.05.035 ISSN 0377-2217.
Jin, Xing and Zhang, Kun (2013) Dynamic optimal portfolio choice in a jump-diffusion model with investment constraints. Journal of Banking & Finance, Volume 37 (Number 5). pp. 1733-1746. doi:10.1016/j.jbankfin.2013.01.017 ISSN 0378-4266.
2012
Fu, Haifeng, Jin, Xing, Pan, Guangming and Yang, Yanrong (2012) Estimating multiple option Greeks simultaneously using random parameter regression. Journal of Computational Finance, 16 (2). pp. 85-118. ISSN 1460-1559.
Jin, Xing and Zhang, A. X. (2012) Decomposition of optimal portfolio weight in a jump-diffusion model and its applications. Review of Financial Studies, Vol.25 (No.9). pp. 2877-2919. doi:10.1093/rfs/hhs083 ISSN 0893-9454.
2007
Jin, Xing, Tan, Hwee Huat and Sun, Junhua (2007) A state-space partitioning method for pricing high-dimensional American-style options. Mathematical Finance, Vol.17 (No.3). pp. 399-426. doi:10.1111/j.1467-9965.2007.00309.x ISSN 0960-1627.
Jin, Xing, Wang, Leping and Yu, Jun (2007) Temporal aggregation and riskβreturn relation. Finance Research Letters , Volume 4 (Number 2). pp. 104-115. doi:10.1016/j.frl.2007.01.001 ISSN 1544-6123.
2006
Jin, Xing and Zhang, Allen X. (2006) Reclaiming quasi-Monte Carlo efficiency in portfolio value-at-risk simulation through Fourier transform. Management Science, Vol.52 (No.6). pp. 925-938. doi:10.1287/mnsc.1060.0505 ISSN 0025-1909.
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