6 citations · 21 across the 5 of their papers we have counts for
6 papers
On Progressive Filtration Expansions with a Process; Applications to Insider Trading
Younes Kchia, Philip Protter
In this paper we study progressive filtration expansions with càdlàg processes. Using results from the theory of the weak convergence of -fields, we first establish a semimartin…
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…
Linking progressive and initial filtration expansions
Younes Kchia, Martin Larsson, Philip Protter
In this paper we study progressive filtration expansions with random times. We show how semimartingale decompositions in the expanded filtration can be obtained using a natural lin…
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…