1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.ST2017
Managing Volatility Risk: An Application of Karhunen-Loève Decomposition and Filtered Historical Simulation
Jinglun Yao, Sabine Laurent, Brice Bénaben
Implied volatilities form a well-known structure of smile or surface which accommodates the Bachelier model and observed market prices of interest rate options. For the swaptions t…
q-fin.ST2017★ 1 cited
Checking account activity and credit default risk of enterprises: An application of statistical learning methods
Jinglun Yao, Maxime Levy-Chapira, Mamikon Margaryan
The existence of asymmetric information has always been a major concern for financial institutions. Financial intermediaries such as commercial banks need to study the quality of p…