Xin-Jiang He

University of Wollongong

Australia

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Articles (16)

Analytically pricing European options in dynamic markets: Incorporating liquidity variations and economic cycles

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Year:

2024

ANALYTICALLY PRICING EUROPEAN OPTIONS UNDER A TWO-FACTOR STOCHASTIC INTEREST RATE MODEL WITH A STOCHASTIC LONG-RUN EQUILIBRIUM LEVEL

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Year:

2024

Closed‐Form Formulae for Variance and Volatility Swaps Under Stochastic Volatility With Stochastic Liquidity Risks

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Year:

2024

Analytically pricing foreign exchange options under a three-factor stochastic volatility and interest rate model: A full correlation structure

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Year:

2024

Equilibrium pricing of European crude oil options with stochastic behaviour and jump risks

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Year:

2024

Analytically pricing European options with a two-factor Stein–Stein model

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Year:

2024

A simple European option pricing formula with a skew Brownian motion

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Year:

2023

Exchange options with stochastic liquidity risk

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Year:

2023

Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure

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Year:

2023

Analytically pricing exchange options with stochastic liquidity and regime switching

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Year:

2023

Analytically pricing variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching

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Year:

2023

Volatility swaps valuation under a modified risk-neutralized Heston model with a stochastic long-run variance level

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Year:

2023

Continuous time mean–variance–utility portfolio problem and its equilibrium strategy

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Year:

2022

A closed-form pricing formula for European options in an illiquid asset market

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Year:

2022

Analytical pricing formulae for variance and volatility swaps with a new stochastic volatility and interest rate model

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Year:

2022

VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL

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Year:

2022

Collaborators (1)

Song-Ping Zhu

Head of School, Senior Professor

University of Wollongong

AUSTRALIA

Xin-Jiang He

Research Interests

Explore related searches

Contact this professor

Articles (16)

Analytically pricing European options in dynamic markets: Incorporating liquidity variations and economic cycles

ANALYTICALLY PRICING EUROPEAN OPTIONS UNDER A TWO-FACTOR STOCHASTIC INTEREST RATE MODEL WITH A STOCHASTIC LONG-RUN EQUILIBRIUM LEVEL

Closed‐Form Formulae for Variance and Volatility Swaps Under Stochastic Volatility With Stochastic Liquidity Risks

Analytically pricing foreign exchange options under a three-factor stochastic volatility and interest rate model: A full correlation structure

Equilibrium pricing of European crude oil options with stochastic behaviour and jump risks

Analytically pricing European options with a two-factor Stein–Stein model

A simple European option pricing formula with a skew Brownian motion

Exchange options with stochastic liquidity risk

Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure

Analytically pricing exchange options with stochastic liquidity and regime switching

Analytically pricing variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching

Volatility swaps valuation under a modified risk-neutralized Heston model with a stochastic long-run variance level

Continuous time mean–variance–utility portfolio problem and its equilibrium strategy

A closed-form pricing formula for European options in an illiquid asset market

Analytical pricing formulae for variance and volatility swaps with a new stochastic volatility and interest rate model

VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL

Collaborators (1)

Song-Ping Zhu

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