5 citations · 7 across the 8 of their papers we have counts for
8 papers
Perfectly Fitting CDO Prices Across Tranches: A Theoretical Framework with Efficient Algorithms
Lan Bu, Ning Cai, Chenxi Xia +1
This paper addresses a key challenge in CDO modeling: achieving a perfect fit to market prices across all tranches using a single, consistent model. The existence of such a perfect…
Rating criteria, risk measures, and risk consistency
Nan Guo, Ruodu Wang, Chenxi Xia +1
Categorical ratings are widely used by investors to screen financial products, such as defaultable securities and investment funds. We model rating criteria as discrete transforms…
Inference of high quantiles of a heavy-tailed distribution from block data
Yongcheng Qi, Mengzi Xie, Jingping Yang
In this paper we consider the estimation problem for high quantiles of a heavy-tailed distribution from block data when only a few largest values are observed within blocks. We pro…
Asymptotic expansion for the transition densities of stochastic differential equations driven by the gamma processes
Fan Jiang, Xin Zang, Jingping Yang
In this paper, enlightened by the asymptotic expansion methodology developed by Li(2013b) and Li and Chen (2016), we propose a Taylor-type approximation for the transition densitie…
Common Decomposition of Correlated Brownian Motions and its Financial Applications
Tianyao Chen, Xue Cheng, Jingping Yang
In this paper, we develop a theory of common decomposition for two correlated Brownian motions, in which, by using change of time method, the correlated Brownian motions are repres…
Decomposing Correlated Random Walks on Common and Counter Movements
Tianyao Chen, Xue Cheng, Jingping Yang
Random walk is one of the most classical and well-studied model in probability theory. For two correlated random walks on lattice, every step of the random walks has only two state…