61 citations · 72 across the 16 of their papers we have counts for
6 papers · 1 filter
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…
Optimal investment under multiple defaults risk: A BSDE-decomposition approach
Ying Jiao, Idris Kharroubi, Huyên Pham
We study an optimal investment problem under contagion risk in a financial model subject to multiple jumps and defaults. The global market information is formulated as a progressiv…
What happens after a default: the conditional density approach
Nicole El Karoui, Monique Jeanblanc, Ying Jiao
We present a general model for default time, making precise the role of the intensity process, and showing that this process allows for a knowledge of the conditional distribution…
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…
Zero bias transformation and asymptotic expansions
Ying Jiao
We apply the zero bias transformation to deduce a recursive asymptotic expansion formula for expectation of functions of sum of independent random variables in terms of normal expe…
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…