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Robust Equilibrium Excess-of-L...
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1
Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
Zhao, Hui
;
Shen, Yang
;
Zeng, Yan
;
Zhang, WenJun
- In:
Insurance / Mathematics & economics
88
(
2019
),
pp. 159-180
Persistent link: https://www.econbiz.de/10012105537
Saved in:
2
Continuous-time stochastic mutual fund management game between active and passive funds
Han, Kai
;
Rong, Ximin
;
Shen, Yang
;
Zhao, Hui
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1647-1667
Persistent link: https://www.econbiz.de/10012653705
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3
Optimal investment-reinsurance with delay for mean-variance insurers : a maximum principle approach
Shen, Yang
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
57
(
2014
),
pp. 1-12
Persistent link: https://www.econbiz.de/10010402753
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4
Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
Shen, Yang
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
62
(
2015
),
pp. 118-137
Persistent link: https://www.econbiz.de/10011312080
Saved in:
5
Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
Li, Danping
;
Shen, Yang
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
78
(
2018
),
pp. 72-86
Persistent link: https://www.econbiz.de/10011825217
Saved in:
6
How do capital structure and economic regime affect fair prices of bank's equity and liabilities?
Hainaut, Donatien
;
Shen, Yang
;
Zeng, Yan
- In:
Risk management decisions and wealth management in …
,
(pp. 519-545)
.
2018
Persistent link: https://www.econbiz.de/10011871675
Saved in:
7
Optimal investment and reinsurance strategies under 4/2 stochastic volatility model
Wang, Wenyuan
;
Muravey, Dmitry
;
Shen, Yang
;
Zeng, Yan
-
2023
Persistent link: https://www.econbiz.de/10014336459
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8
Specification analysis of VXX option pricing models under Lévy processes
Cao, Jiling
;
Ruan, Xinfeng
;
Su, Shu
;
Zhang, WenJun
- In:
Journal of Futures Markets
41
(
2021
)
9
,
pp. 1456-1477
Persistent link: https://www.econbiz.de/10012632609
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9
Pricing VIX derivatives with infinite‐activity jumps
Cao, Jiling
;
Ruan, Xinfeng
;
Su, Shu
;
Zhang, WenJun
- In:
Journal of Futures Markets
40
(
2019
)
3
,
pp. 329-354
Persistent link: https://www.econbiz.de/10012189103
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10
Inferring information from the S&P 500, CBOE VIX, and CBOE SKEW indices
Cao, Jiling
;
Ruan, Xinfeng
;
Zhang, WenJun
- In:
Journal of Futures Markets
40
(
2020
)
6
,
pp. 945-973
Persistent link: https://www.econbiz.de/10012189121
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