Xiaofeng Yang
Zhejiang University
3 Papers
18 Citations
Xiaofeng Yang is an academic researcher from Zhejiang University. The author has contributed to research in topics: Copula (probability theory) & Black–Scholes model. The author has an hindex of 2, co-authored 3 publications.
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Papers
Portfolio optimization with CVaR under VG process
TL;DR: The approach for portfolio optimization by introducing Levy processes focuses on describing the dynamics of assets' log price with Variance Gamma copula (VGC) rather than GC, which is suitable for any investment companies.
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Pricing Convertible Bond with Call Clause in Exponential Variance Gamma Model
Jinping Yu,Xiaofeng Yang,Shenghong Li,Xiaohu Yang +3 more
- 24 Jul 2009
TL;DR: This paper gets the pricing framework of the convertible bond with call clause in exponential variance gamma (EVG) model rather than the classical Black-Scholes (BS) model, and concludes that the difference of prices is insignificantly and the optimal stopping strategies are exactly the same.
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