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Jie-Cao He
Institution:
Zhejiang Wanli University
Observed institutions:
Zhejiang Wanli University,
National Chengchi University
ORCID:
0000-0001-8262-4914
Observed ORCID:
0000-0001-8262-4914
OpenAlex ID:
A5032361452
What drives jumps in the secured Overnight Financing Rate? Evidence from the arbitrage-free Nelson–Siegel model with jump diffusion
2024
·
Dong-Jie Fang
, Zong-Wei Yeh
, et al.
·
Pacific-Basin Finance Journal
·
3
Upside and downside correlated jump risk premia of currency options and expected returns
2023
·
Jie-Cao He
, Hsing-Hua Chang
, et al.
·
Financial Innovation
·
2
PDF
The dynamics of correlated shocks: option pricing and estimation in a regime-switching co-jump model
2026
·
Ting-Fu Chen
, Jie-Cao He
, et al.
·
Journal of Statistical Computation and Simulation
Valuation of callable range accrual linked to CMS Spread under generalized swap market model
2023
·
Jie-Cao He
, Chang-Chieh Hsieh
, et al.
·
International Review of Financial Analysis
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Works count:
4
Citation count:
5
H-index:
2
I10-index:
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