3 citations · 10 across the 28 of their papers we have counts for
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q-fin.PM2015
Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations
Yusong Li, Harry Zheng
In this paper we study a continuous-time stochastic linear quadratic control problem arising from mathematical finance. We model the asset dynamics with random market coefficients…
q-fin.MF2015
Weak Convergence of Path-Dependent SDEs in Basket CDS Pricing with Contagion Risk
Yao Tung Huang, Qingshuo Song, Harry Zheng
We investigate the computational aspects of the basket CDS pricing with counterparty risk under a credit contagion model of multinames. This model enables us to capture the systema…