61 citations · 72 across the 16 of their papers we have counts for
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q-fin.PR2011
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…
math.PR2011★ 61 cited
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…