6 citations · 15 across the 3 of their papers we have counts for
4 papers
Is there a bubble in LinkedIn's stock price?
Robert Jarrow, Younes Kchia, Philip Protter
Recent academic work has developed a method to determine, in real time, if a given stock is exhibiting a price bubble. Currently there is speculation in the financial press concern…
On progressive filtration expansion with a process
Younes Kchia, Philip Protter
In this paper we study progressive filtration expansions with cadlag processes. Using results from the weak convergence of sigma fields theory, we first establish a semimartingale…
Credit contagion and risk management with multiple non-ordered defaults
Younes Kchia, Martin Larsson
The classical reduced-form and filtration expansion framework in credit risk is extended to the case of multiple, non-ordered defaults, assuming that conditional densities of the d…
Discretely sampled variance and volatility swaps versus their continuous approximations
Robert Jarrow, Younes Kchia, Martin Larsson +1
Discretely sampled variance and volatility swaps trade actively in OTC markets. To price these swaps, the continuously sampled approximation is often used to simplify the computati…