29 citations · 29 across the 2 of their papers we have counts for
2 papers
q-fin.PR2010
A Top-down Model for Cash CLO
Yadong Li, Ziyu Zheng
We propose a top-down model for cash CLO. This model can consistently price cash CLO tranches both within the same deal and across different deals. Meaningful risk measures for cas…
math.PR2009★ 29 cited
Weak solutions for forward--backward SDEs--a martingale problem approach
Jin Ma, Jianfeng Zhang, Ziyu Zheng
In this paper, we propose a new notion of Forward--Backward Martingale Problem (FBMP), and study its relationship with the weak solution to the forward--backward stochastic differe…