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Xiyue Han
Ph.D. in Actuarial Science, University of Waterloo
xiyue.han@uwaterloo.ca

I am a postdoctoral fellow at University of Waterloo supervised by Professors Alexander Schied and Ruodu Wang.

Interests

  • Financial mathematics
  • Applied probability
  • Actuarial Science

Academia

University of Waterloo
2019 - 2024
Ph.D. in Actuarial Science
Supervised by Prof. Alexander Schied
University of Waterloo
2017 - 2019
MMath in Actuarial Science
Supervised by Prof. Alexander Schied
University of Hong Kong
2013 - 2017
B.Sc. in Actuarial Science
Advised by Prof. Jae-Kyung Woo

Publications

Estimating the Roughness Exponent of Stochastic Volatility from Discrete Observations of the Realized Variance, 2023, arXiv preprint
Xiyue Han , Alexander Schied
pdf
On Laws Absolutely Continuous with Respect to Fractional Brownian Motion, 2023, arXiv preprint
Xiyue Han , Alexander Schied
pdf
Robust Faber–Schauder Approximation based on Discrete Observations of an Antiderivative, 2022, arXiv preprint
Xiyue Han , Alexander Schied
pdf
Step Roots of Littlewood Polynomials and the Extrema of Functions in the Takagi Class, 2022, Mathematical Proceedings of the Cambridge Philosophical Society, 173, 591-618
Xiyue Han , Alexander Schied
pdf
A Limit Theorem for Bernoulli Convolutions and the Φ-Variation of Functions in the Takagi Class, 2022, Journal of Theoretical Probability, 35, 2853-2878
Xiyue Han , Alexander Schied , Zhengyuan Zhang
pdf
A Gladyshev theorem for trifractional Brownian motion and n-th order fractional Brownian motion, 2021, Electronic Communications in Probability, 26, 1-12
Xiyue Han
pdf
A Probabilistic Approach to the Φ-variation of Classical Fractal Functions with Critical Roughness, 2021, Statistics & Probability Letters, 168, 108920
Xiyue Han , Alexander Schied , Zhengyuan Zhang
pdf
The Roughness Exponent and its Model-free Estimation, 2021, arXiv preprint
Xiyue Han , Alexander Schied
pdf