61 citations · 72 across the 16 of their papers we have counts for
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q-fin.CP2017
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…
q-fin.CP2016
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…