61 citations · 72 across the 16 of their papers we have counts for
4 papers · 1 filter
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…
Portfolio optimization with insider's initial information and counterparty risk
Caroline Hillairet, Ying Jiao
We study the gain of an insider having private information which concerns the default risk of a counterparty. More precisely, the default time τis modelled as the first time a stoc…
Credit derivatives pricing with default density term structure modelled by Lévy random fields
Lijun Bo, Ying Jiao, Xuewei Yang
We model the term structure of the forward default intensity and the default density by using Lévy random fields, which allow us to consider the credit derivatives with an after-de…
Information Asymmetry in Pricing of Credit Derivatives
Caroline Hillairet, Ying Jiao
We study the pricing of credit derivatives with asymmetric information. The managers have complete information on the value process of the firm and on the default threshold, while…