3 citations · 3 across the 2 of their papers we have counts for
2 papers
math.PR2009
Zero bias transformation and asymptotic expansions II : the Poisson case
Ying Jiao
We apply a discrete version of the methodology in \cite{gauss} to obtain a recursive asymptotic expansion for $\esp[h(W)]$ in terms of Poisson expectations, where is a sum of i…
math.PR2009★ 3 cited
Optimal investment with counterparty risk: a default-density modeling approach
Ying Jiao, Huyen Pham
We consider a financial market with a stock exposed to a counterparty risk inducing a drop in the price, and which can still be traded after this default time. We use a default-den…