Dewen Xiong

Shanghai Jiao Tong University — China

Economics, Econometrics and Finance · Social Sciences

7h-index177citations36works0.02yr avg
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Research Topics

Stochastic processes and financial applications(33), Financial Risk and Volatility Modeling(14), Risk and Portfolio Optimization(11), Economic theories and models(10), Credit Risk and Financial Regulations(7)

Publications36 total

The optimal strategy of the dynamic mean−variance problem for pairs trading with a common stochastic factor
Probability Uncertainty and Quantitative Risk·2024Open Access
Optimal Strategy of the Dynamic Mean-Variance Problem for Pairs Trading under a Fast Mean-Reverting Stochastic Volatility Model
Mathematics·2023· 1 citedOpen Access
An FBSDE approach to market impact games with stochastic parameters
Probability Uncertainty and Quantitative Risk·2021· 5 citedOpen Access
Characterization of fully coupled FBSDE in terms of portfolio optimization
Electronic Journal of Probability·2020Open Access
Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization
SIAM Journal on Financial Mathematics·2019· 16 cited
The study of dynamics for credit default risk by backward stochastic differential equation method
International Journal of Financial Engineering·2018· 2 cited
Robust utility maximization with extremely ambiguity-loving and ambiguity-aversion preferences
Stochastics·2017· 5 cited
Characterization of Fully Coupled FBSDE in Terms of Portfolio\n Optimization
arXiv (Cornell University)·2017Open Access
Characterization of Fully Coupled FBSDE in Terms of Portfolio Optimization under Probability and Discounting Uncertainty
arXiv (Cornell University)·2017Open Access
Alpha-robust mean-variance reinsurance-investment strategy
Journal of Economic Dynamics and Control·2016· 52 cited
Utility maximization under<font><i>g</i>*</font>-expectation
Stochastic Analysis and Applications·2016· 3 cited
Dynamic CRRA-utility indifference value in generalized Cox process model
Journal of Financial Engineering·2014
The exp-UIV for Markets with Partial Information and Complete Information
Stochastic Analysis and Applications·2014· 2 cited
Dynamic CRRA-Utility Indifference Value in Generalized Cox Model
SSRN Electronic Journal·2014Open Access
The Dynamic Spread of the Forward CDS with General Random Loss
Abstract and Applied Analysis·2014Open Access
A Generalized Itô-Ventzell Formula to Derive Forward Utility Models in a Jump Market
Stochastic Analysis and Applications·2013· 3 cited
The martingale representation in a progressive enlargement of a filtration with jumps
arXiv (Cornell University)·2013· 5 citedOpen Access
Parametrization in the progressively enlarged filtration
arXiv (Cornell University)·2013Open Access
Modeling the Forward CDS Spreads with Jumps
Stochastic Analysis and Applications·2012· 1 cited
Defaultable Bond Markets with Jumps
Stochastic Analysis and Applications·2012· 3 cited
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Frequent Co-authors

Michael Kohlmann(17), Zhongxing Ye(9), Kun Tian(6), Peng Luo(5), Samuel Drapeau(4), Bin Li(3), Lihe Wang(2), Yaoyuan Zhang(2), Danping Li(1), Peng Luo(1), Alexander Schied(1), Siyuan Li(1), Yongxu Jiang(1), Wen-Cai Chen(1), Wenchao Yan(1), George Xianzhi Yuan(1)