1 citations · 1 across the 2 of their papers we have counts for
3 papers
q-fin.MF2025
Pricing Options on Forwards in Function-Valued Affine Stochastic Volatility Models
Jian He, Sven Karbach, Asma Khedher
We study the pricing of European-style options written on forward contracts within function-valued infinite-dimensional affine stochastic volatility models. The dynamics of the und…
q-fin.RM2024
Calibration of the rating transition model for high and low default portfolios
Jian He, Asma Khedher, Peter Spreij
In this paper we develop Maximum likelihood (ML) based algorithms to calibrate the model parameters in credit rating transition models. Since the credit rating transition models ar…
cs.CE2023★ 1 cited
A dimension reduction approach for loss valuation in credit risk modelling
Jian He, Asma Khedher, Peter Spreij
This paper addresses the ``curse of dimensionality'' in the loss valuation of credit risk models. A dimension reduction methodology based on the Bayesian filter and smoother is pro…