61 citations · 72 across the 16 of their papers we have counts for
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q-fin.RM2015
Dynamics of multivariate default system in random environment
Nicole El Karoui, Monique Jeanblanc, Ying Jiao
We consider a multivariate default system where random environmental information is available. We study the dynamics of the system in a general setting and adopt the point of view…
q-fin.RM2013★ 3 cited
Hedging under multiple risk constraints
Ying Jiao, Olivier Klopfenstein, Peter Tankov
Motivated by the asset-liability management of a nuclear power plant operator, we consider the problem of finding the least expensive portfolio, which outperforms a given set of st…