Xing, Hao

Number of items: 21.
Article
  • Matoussi, Anis, Xing, Hao (2018). Convex duality for Epstein-Zin stochastic differential utility. Mathematical Finance, 28(4), 991-1019. https://doi.org/10.1111/mafi.12168
  • Cvitanić, Jakŝa, Xing, Hao (2018). Asset pricing under optimal contracts. Journal of Economic Theory, 173, 142-180. https://doi.org/10.1016/j.jet.2017.10.005
  • Xing, Hao, Žitković, Gordan (2018). A class of globally solvable Markovian quadratic BSDE systems and applications. Annals of Probability, 46(1), 491-550. https://doi.org/10.1214/17-AOP1190 picture_as_pdf
  • Cosso, Andrea, Pham, Huyên, Xing, Hao (2017). BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data. Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 53(4), 1528-1547. https://doi.org/10.1214/16-AIHP762
  • Robertson, Scott, Xing, Hao (2017). Long term optimal investment in matrix valued factor models. SIAM Journal on Financial Mathematics, 8(1), 400-434. https://doi.org/10.1137/15M1030625
  • Xing, Hao (2017). Consumption investment optimization with Epstein-Zin utility in incomplete markets. Finance and Stochastics, 21(1), 227-262. https://doi.org/10.1007/s00780-016-0297-z
  • Guasoni, Paolo, Muhle-Karbe, Johannes, Xing, Hao (2017). Robust portfolios and weak incentives in long-run investments. Mathematical Finance, 27(1), 3-37. https://doi.org/10.1111/mafi.12087
  • Xing, Hao (2017). Stability of the exponential utility maximization problem with respect to preferences. Mathematical Finance, 27(1), 38-67. https://doi.org/10.1111/mafi.12073
  • Li, Cheng, Xing, Hao (2015). Asymptotic Glosten-Milgrom equilibrium. SIAM Journal on Financial Mathematics, 6(1), 242-280. https://doi.org/10.1137/130943121
  • Robertson, Scott, Xing, Hao (2015). Large time behavior of solutions to semi-linear equations with quadratic growth in the gradient. SIAM Journal on Control and Optimization, 53(1), 185-212. https://doi.org/10.1137/13094311X
  • Guasoni, Paolo, Kardaras, Constantinos, Robertson, Scott, Xing, Hao (2014). Abstract, classic, and explicit turnpikes. Finance and Stochastics, 18(1), 75-114. https://doi.org/10.1007/s00780-013-0216-5
  • Cetin, Umut, Xing, Hao (2013). Point process bridges and weak convergence of insider trading models. Electronic Journal of Probability, 18(26), 1-24. https://doi.org/10.1214/EJP.v18-2039
  • Jena, Rudra P., Kim, Kyoung-Kuk, Xing, Hao (2012). Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions. Stochastic Processes and Their Applications, 122(8), 2961-2993. https://doi.org/10.1016/j.spa.2012.05.007
  • Xing, Hao (2012). On backward stochastic differential equations and strict local martingales. Stochastic Processes and Their Applications, 122(6), 2265-2291. https://doi.org/10.1016/j.spa.2012.03.003
  • Bayraktar, Erhan, Kardaras, Constantinos, Xing, Hao (2012). Valuation equations for stochastic volatility models. SIAM Journal on Financial Mathematics, 3(1), 351-373. https://doi.org/10.1137/110842302
  • Bayraktar, Erhan, Xing, Hao (2012). Regularity of the optimal stopping problem for jump diffusions. SIAM Journal on Control and Optimization, 50(3), 1337-1357. https://doi.org/10.1137/100810915
  • Bayraktar, Erhan, Kardaras, Constantinos, Xing, Hao (2011). Strict local martingale deflators and valuing American call-type options. Finance and Stochastics, 16(2), 275-291. https://doi.org/10.1007/s00780-011-0155-y
  • Bayraktar, Erhan, Xing, Hao (2010). On the uniqueness of classical solutions of Cauchy problems. Proceedings of the American Mathematical Society, 138(06), 2061-2064. https://doi.org/10.1090/S0002-9939-10-10306-2
  • Bayraktar, Erhan, Xing, Hao (2010). Pricing Asian options for jump diffusion. Mathematical Finance, 21(1), 117-143. https://doi.org/10.1111/j.1467-9965.2010.00426.x
  • Bayraktar, Erhan, Xing, Hao (2009). Analysis of the optimal exercise boundary of American options for jump diffusions. SIAM Journal on Mathematical Analysis, 41(2), 825-860. https://doi.org/10.1137/080712519
  • Bayraktar, Erhan, Xing, Hao (2009). Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions. Mathematical Methods of Operations Research, 70(3), 505-525. https://doi.org/10.1007/s00186-008-0282-1