RESEARCH INTERESTS

Financial Econometrics, Asset Prices, Empirical Finance, Inference for Stochastic Processes

EDUCATION EXPERIENCES

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SECONDARY ACADEMIC APPOINTMENTS

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PUBLICATIONS

JOURNAL PAPERS IN ENGLISH

1. ZHANG Xili, XIAO Weilin, Arbitrage with fractional Gaussian processes, PHYSICA A-Statistical Mechanics and its Applications, 2017, 471(0), 620-628.
2. XIAO Weilin, ZHANG Xili, Pricing equity warrants with a promised lowest price in Merton’s jump–diffusion model, Physica A: Statistical Mechanics and its Applications, 2016, 458(), 219-238.
3. XIAO Weilin, ZHANG Weiguo, ZHANG Xili, Parameter identification for drift fractional Brownian motions with application to the Chinese stock markets, Communications in Statistics-Simulation and Computation, 2015, 44(8), 2117-2136.
4. ZHANG Weiguo, XIAO Weilin, Wentao KONG, Yue ZHANG, Fuzzy pricing of geometric Asian options and its algorithm, Applied Soft Computing, 2015, 28(), 360-367.
5. XU Weidong, Weijun XU, XIAO Weilin, Pricing black-scholes options with correlated credit risk and jump risk, Applied Economics Letters, 2015, 22(2), 87-93.
6. XU Weidong, WU Chongfeng, XIAO Weilin, Ambiguity, asset prices, and excess volatility in a pure-exchange economy, Quantitative Finance, 2014, 14(3), 393-399.
7. Yiming DING, Yaozhong HU, XIAO Weilin, Litan YAN, Long-memory processes and applications, Abstract and Applied Analysis, 2014, (), 1-1.
8. Pu ZHANG, XIAO Weilin, ZHANG Xili, Panqiang NIU, Parameter identification for fractional Ornstein-Uhlenbeck processes based on discrete observation, Ecomomic Modelling, 2014, 36(), 198-203.
9. Pu ZHANG, Qi SUN, XIAO Weilin, Parameter identification in mixed Brownian-fractional Brownian motions using Powell's optimization algorithm, Ecomomic Modelling, 2014, 40(), 314-329.
10. XIAO Weilin, ZHANG Weiguo, ZHANG Xili, Xiaoyan CHEN, The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate, Physica A: Statistical Mechanics and Its Applications, 2014, 394(), 320-337.
11. ZHANG Xili, ZHANG Weiguo, XIAO Weilin, Multi-period portfolio optimization under possibility measures, Ecomomic Modelling, 2013, 35(), 401-408.
12. Weijun XU, Xiaolong PENG, XIAO Weilin, The fuzzy jump-diffusion model to pricing European vulnerable options, International Journal of Fuzzy Systems, 2013, 15(3), 317-325.
13. XIAO Weilin, ZHANG Weiguo, YAO Zheng, Xiaohui WANG, The impact of issuing warrant and debt on behavior of the firm's stock, Ecomomic Modelling, 2013, 31(2), 635-641.
14. XIAO Weilin, ZHANG Weiguo, ZHANG Xili, Xiaoli ZHANG, Pricing model for equity warrants in a mixed fractional Brownian environment and its algorithm, Physica A: Statistical Mechanics and Its Applications, 2012, 391(), 6418-6431.
15. XU Weidong, Weijun XU, Hongyi LI, XIAO Weilin, A jump-diffusion approach to modelling vulnerable option pricing, Finance Research Letters, 2012, 9(1), 48-56.
16. XIAO Weilin, ZHANG Weiguo, ZHANG Xili, Minimum contrast estimator for fractional Ornstein-Uhlenbeck Processes, Science China-Mathematics, 2012, 55(7), 1497-1511.
17. Weijun XU, Qi SUN, XIAO Weilin, A new energy model to capture the behavior of energy price processes, Economic Modelling, 2012, 29(), 1585-1591.
18. Zhang Weiguo, ZHANG Xili, XIAO Weilin, Portfolio selection under possibilistic mean–variance utility and a SMO algorithm, European Journal of Operational Research, 2009, 197(2), 693-700.

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