61 citations · 72 across the 16 of their papers we have counts for
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q-fin.TR2016
Trading against disorderly liquidation of a large position under asymmetric information and market impact
Caroline Hillairet, Cody Hyndman, Ying Jiao +1
We consider trading against a hedge fund or large trader that must liquidate a large position in a risky asset if the market price of the asset crosses a certain threshold. Liquida…
q-fin.PR2016
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…
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…