Research

Publications (Google Scholar) :

1.  Chunhui Qiao and Xiangwei Wan (2024), Enhancing Black-Scholes Delta Hedging via Deep Learning. Available at SSRN: https://ssrn.com/abstract=4886055

2. Chunhui Qiao, Xiangwei Wan and Nian Yang (April 1, 2024), Double-Exponential Jumps in Returns and GARCH Diffusion in Volatilities: Evidence from the Chinese SSE 50ETF Option Market. Available at SSRN: https://ssrn.com/abstract=4802448 

3. Nan Chen, Xiangwei Wan and Nian Yang (September 1, 2023), Explicit Pathwise Expansion for Multivariate Diffusions and Its Application to Equivalence of Density Expansions. Available at SSRN: https://ssrn.com/abstract=3748893

4. Jaksa Cvitanic, Steven Kou, Xiangwei Wan and Karyn L. Williams (August 30, 2019), Pi Portfolio Management: Reaching Goals While Avoiding Drawdowns. Available at SSRN: https://ssrn.com/abstract=3444836.  

5.  Min Dai, Steven Kou, Shuaijie Qian, Xiangwei Wan (2022) Non-Concave Utility Maximization with Portfolio Bounds. Management Science, 68(11):8368-8385.

6.  Xiangwei and Yang, Nian (2021) Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps. Journal of Economic Dynamics and Control, 125, 104083.

7.  Nian Yang, Nan Chen, and Xiangwei Wan (2019) A New Delta Expansion for Multivariate Diffusions via the Ito-Taylor Expansion. Journal of Econometrics, 209(2), 256-288.

8.  Nian Yang and Xiangwei Wan (2018) The survival probability of the SABR model: Asymptotics and Application. Quantitative Finance, 18(10), 1767-1779.

9.  Nian Yang, Nan Chen, Yanchu Liu, and Xiangwei Wan (2017) Approximate arbitrage-free option pricing under the SABR model. Journal of Economic Dynamics and Control, 83, 198-214.

10.  Xi-Ren Cao and Xiangwei Wan (2017) Sensitivity Analysis of Nonlinear Behavior with Distorted Probability. Mathematical Finance, 27(1), 115-150. 

11.  Xi-Ren Cao and Xiangwei Wan (November 12, 2013) Mono-Linearity-Based Axiomatic Approach to Non-Linear Expected Utility. Unpublished Manuscript. Available at SSRN: https://ssrn.com/abstract=2353740.   

12.  Nan Chen, Min Dai and Xiangwei Wan (2013) A Nonzero-Sum Game Approach to  Convertible Bonds : Tax Benefit, Bankruptcy Cost, and Early/Late Calls. Mathematical Finance, 23(1), 57-93. 

13.  Ning Cai, Nan Chen and Xiangwei Wan (2010) Occupation Times of Jump-Diffusion Processes with Double-Exponential Jumps and the Pricing of Options. Mathematics of Operations Research. 35(2), 412-437. 

14.  Ning Cai, Nan Chen and Xiangwei Wan (2009) Pricing double-barrier options under a flexible jump diffusion model. Operations Research Letters 37(3), 163-167.