Xin Guo
Xin Guo
UC Berkeley, Cornell Univeristy, IBM
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Information and option pricings
X Guo
Taylor & Francis Group 1 (1), 38-44, 2001
On the optimality of conditional expectation as a Bregman predictor
A Banerjee, X Guo, H Wang
IEEE Transactions on Information Theory 51 (7), 2664-2669, 2005
Closed-form solutions for perpetual American put options with regime switching
Q Zhang, X Guo
SIAM Journal on Applied Mathematics 64 (6), 2034-2049, 2004
An explicit solution to an optimal stopping problem with regime switching
X Guo
Journal of Applied Probability 38 (2), 464-481, 2001
Irreversible investment with regime shifts
X Guo, J Miao, E Morellec
Journal of Economic Theory 122 (1), 37-59, 2005
Optimal partially reversible investment with entry decision and general production function
X Guo, H Pham
Stochastic Processes and their Applications 115 (5), 705-736, 2005
Optimal selling rules in a regime switching model
X Guo, Q Zhang
IEEE Transactions on Automatic Control 50 (9), 1450-1455, 2005
Some optimal stopping problems with nontrivial boundaries for pricing exotic options
X Guo, L Shepp
Journal of Applied Probability 38 (3), 647-658, 2001
Impulse control of multidimensional jump diffusions
MHA Davis, X Guo, G Wu
SIAM Journal on Control and Optimization 48 (8), 5276-5293, 2010
Credit risk models with incomplete information
X Guo, RA Jarrow, Y Zeng
Mathematics of Operations Research 34 (2), 320-332, 2009
Modeling the recovery rate in a reduced form model
X Guo, RA Jarrow, Y Zeng
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2009
Connections between singular control and optimal switching
X Guo, P Tomecek
SIAM Journal on Control and Optimization 47 (1), 421-443, 2008
Learning mean-field games
X Guo, A Hu, R Xu, J Zhang
arXiv preprint arXiv:1901.09585, 2019
Inside information and stock fluctuations
X Guo
Rutgers The State University of New Jersey-New Brunswick, 1999
Smooth fit principle for impulse control of multidimensional diffusion processes
X Guo, G Wu
SIAM Journal on Control and Optimization 48 (2), 594-617, 2009
Distressed debt prices and recovery rate estimation
X Guo, RA Jarrow, H Lin
Review of Derivatives Research 11 (3), 171-204, 2008
Information reduction in credit risk models
X Guo, RA Jarrow, Y Zeng
Preprint, Cornell University, 2005
Intensity process and compensator: A new filtration expansion approach and the Jeulin–Yor theorem
X Guo, Y Zeng
The Annals of Applied Probability 18 (1), 120-142, 2008
Optimal execution with multiplicative price impact
X Guo, M Zervos
SIAM Journal on Financial Mathematics 6 (1), 281-306, 2015
Optimal spot market inventory strategies in the presence of cost and price risk
X Guo, P Kaminsky, P Tomecek, M Yuen
Mathematical Methods of Operations Research 73 (1), 109-137, 2011
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