3 papers
math.PR2025
Scaling limits for INAR processes
Nian Yao
In this paper, we study law of large numbers, central limit theorem, large and moderate deviations for INAR() processes, which as a special case, includes both discrete-tim…
q-fin.MF2020
Asymptotic Smiles for an Affine Jump-Diffusion Model
Nian Yao, Zhiqiu Li, Zhichao Ling +1
In this paper, we study the asymptotic behaviors of implied volatility of an affine jump-diffusion model. Let log stock price under risk-neutral measure follow an affine jump-diffu…
q-fin.PM2017
Optimal excess-of-loss reinsurance and investment problem for an insurer with default risk under a stochastic volatility model
Nian Yao, Zhiming Yang
In this paper, we study an optimal excess-of-loss reinsurance and investment problem for an insurer in defaultable market. The insurer can buy reinsurance and invest in the followi…