61 citations · 72 across the 16 of their papers we have counts for
17 papers
Well-posedness of a system of SDEs driven by jump random measures
Ying Jiao, Nikolaos Kolliopoulos
We establish well-posedness for a class of systems of SDEs with non-Lipschitz coefficients in the diffusion and jump terms and with two sources of interdependence: a monotone funct…
The Alpha-Heston Stochastic Volatility Model
Ying Jiao, Chunhua Ma, Simone Scotti +1
We introduce an affine extension of the Heston model where the instantaneous variance process contains a jump part driven by -stable processes with . In this framewor…
Pricing formulae for derivatives in insurance using the Malliavin calculus
Caroline Hillairet, Ying Jiao, Anthony Réveillac
In this paper we provide a valuation formula for different classes of actuarial and financial contracts which depend on a general loss process, by using the Malliavin calculus. In…
Trading against disorderly liquidation of a large position under asymmetric information and market impact
Caroline Hillairet, Cody Hyndman, Ying Jiao +1
We consider trading against a hedge fund or large trader that must liquidate a large position in a risky asset if the market price of the asset crosses a certain threshold. Liquida…
Information uncertainty related to marked random times and optimal investment
Ying Jiao, Idris Kharroubi
We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous random mark added at default t…
Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling
Ying Jiao, Chunhua Ma, Simone Scotti
We introduce a class of interest rate models, called the -CIR model, which gives a natural extension of the standard CIR model by adopting the -stable L{é}vy process and pres…