61 citations · 72 across the 16 of their papers we have counts for
5 papers · 1 filter
Multiple defaults and contagion risks
Ying Jiao
We study multiple defaults where the global market information is modelled as progressive enlargement of filtrations. We shall provide a general pricing formula by establishing a r…
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…