University College Dublin logo
Dr Yajun Xiao

Dr

Yajun Xiao

Lecturer/Assistant Professor
School of Business
01 716 8074
University College Dublin, School of Business, Graduate School of Business Carysfort Avenue Blackrock Co. Dublin

PUBLICATIONS

JOURNAL ARTICLE
Rollover risk and credit risk under time-varying margin
4 Mar 2017Quantitative Finance17(3):455-469
He X-Z, Lütkebohmert E, Xiao Y
JOURNAL ARTICLE
Endogenous Credit Spreads and Optimal Debt Financing Structure in the Presence of Liquidity Risk
Jan 2017European Financial Management23(1):55-86
Lütkebohmert E, Oeltz D, Xiao Y
CHAPTER
Collateralized Borrowing and Default Risk
1 Jul 2016Advanced Modelling in Mathematical Finance: In Honour of Ernst Eberlein167-187
JOURNAL ARTICLE
A Multiperiod Bank Run Model for Liquidity Risk*
1 Apr 2014Review of Finance18(2):803-842
Liang G, Lütkebohmert E, Xiao Y
CHAPTER
Malliavin differentiability of a class of Feller-diffusions with relevance in finance - A Festschrift in Honor of Robert J Elliott
1 Oct 2012Advances in statistics, probability and actuarial science41-51
JOURNAL ARTICLE
Information: price and impact on general welfare and optimal investment. an anticipative stochastic differential game model
Mar 2011Advances in Applied Probability43(01):97-120
Ewald C-O, Xiao Y
CONFERENCE PAPER
Quantification of liquidity risk in a two-period model
1 Feb 2011Actuarial and Financial Mathematics Conference Interplay between finance and insurance
JOURNAL ARTICLE
IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS
Mar 2009International Journal of Theoretical and Applied Finance12(02):153-178
YANG ZHAOJUN, EWALD CHRISTIAN-OLIVER, XIAO YAJUN
JOURNAL ARTICLE
On the qualitative effect of volatility and duration on prices of Asian options
Sep 2008Finance Research Letters5(3):162-171
Carr P, Ewald C-O, Xiao Y
CONFERENCE PAPER
Optimal portfolios in a competing-insiders market: An anticipative stochastic differential game model
1 Jul 2007The 2nd International Conference on Game Theory and Application