Xuewei Yang

Xuewei (Aaron) Yang is a Professor of Finance at the School of Management and Engineering, Nanjing University. He received a B.Sc. in mathematics from Xidian University in 2006 and a Ph.D. in probability and statistics from Nankai University in 2011. From January 2012 through January 2013, he was a postdoc fellow in finance at the City University of Hong Kong. He is mainly interested in theoretical and empirical asset pricing, investor behavior and financial innovation.

RESEARCH INTERESTS

• Asset Pricing, Behavioral Finance, Credit Risk
• Stochastic Models and their

Companies

• Associate Professor 南京大学 (2014)
• Visiting Scholar UCLA Anderson School of Management (2017 — 2017)
• Assistant Professor Nanjing University (2013 — 2014)
• Visiting Scholar HKUST (2013 — 2013)
• Postdoc City University of Hong Kong (2012 — 2013)
• Visiting Scholar University of Illinois at Urbana-Champaign (2010 — 2011)

PUBLICATIONS

• Can financial innovation succeed by catering to behavioral preferences? Evidence from a callable options market, with Xindan Li and Avanidhar ubrahmanyam, Journal of Financial Economics, forthcoming, March 2017.
• International reserves management: A drift-switching reflected jump-diffusion model, with Ning Cai, Mathematical Finance, forthcoming, January 2016. (SSCI)
• Optimal processing rate and buffer size of a jump-diffusion processing system, with Xindan Li, Dan Tang and Yongjin Wang, Annals of Operations Research, 217(1): 319–335, June 2014. (SCI)
• Smooth-pasting property on reflected Lvy processes and its applications in credit risk modeling, with Lijun Bo, Science China: Mathematics, 57(6): 1237–1256, June 2014.
• On the default probability in a regime-switching regulated market, with Lijun Bo and Yongjin Wang, Methodology and Computing in Applied Probability, 16(1): 101–113, March 2014. (SCI)
• Credit derivatives pricing based on Levy field driven term structure, with Lijun Bo and Ying ´Jiao, Stochastic Analysis and Applications, 32(2): 229–252, March 2014. (SCI)
• On the conditional default probability in a regulated market with jump risk, with Lijun Bo, Xindan Li and Yongjin Wang, Quantitative Finance, 13(12): 1967–1975, December 2013. (SSCI)
• A new numerical scheme for a class of reflected stochastic differential equations, Monte Carlo Methods and Applications, 19(4): 273–279, December 2013.
• Optimal consumption and portfolio with a defaultable perpetual bond, with Lijun Bo, Xindan Li and Yongjin Wang, Asia-Pacific Financial Market, 20(3): 261–281, September 2013.
• Kernel correlated Levy field driven forward rate and application to derivative pricing, with Lijun Bo and Yongjin Wang, Applied Mathematics & Optimization, 68(1): 21–41, August 2013. (SCI)
• Stochastic portfolio optimization with default risk, with Lijun Bo and Yongjin Wang, Journal of Mathematical Analysis and Applications, 397(2): 467–480, January 2013. (SCI)
• First passage times of reected generalized Ornstein-Uhlenbeck processes, with Lijun Bo, Guijun Ren and Yongjin Wang, Stochastics and Dynamics, 13(1), 1250014, March 2013. (SCI)
• Optimal portfolio and consumption selection with default risk, with Lijun Bo and Yongjin Wang, Frontiers of Mathematics in China, 7(6): 1019–1042, 2012. (SCI)
• Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes, with Lijun Bo, Statistics and Probability Letters , 82(7): 1374–1382, 2012. (SCI)
• The hitting time density for a reflected Brownian motion, with Qin Hu and Yongjin Wang, Computational Economics, 40(1): 1-18, 2012. (SSCI, SCI)