Ying Jiao

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
Well-posedness of a system of SDEs driven by jump random measures	2023-09-19	Paper
Dynamic bivariate mortality modelling	2022-07-07	Paper
Information uncertainty related to marked random times and optimal investment	2020-02-17	Paper
Pricing formulae for derivatives in insurance using Malliavin calculus	2020-02-17	Paper
Successive enlargement of filtrations and application to insider information	2019-09-16	Paper
Picard successive approximation method for solving differential equations arising in fractal heat transfer with local fractional derivative	2019-02-14	Paper
Conditional Default Probability and Density	2018-12-13	Paper
MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH	2018-04-13	Paper
Trading against disorderly liquidation of a large position under asymmetric information and market impact	2018-03-07	Paper
Dynamics of multivariate default system in random environment	2017-11-09	Paper
Alpha-CIR model with branching processes in sovereign interest rate modeling	2017-07-21	Paper
https://portal.mardi4nfdi.de/entity/Q2978935	2017-05-02	Paper
Hedging under multiple risk constraints	2017-04-13	Paper
Asset allocation strategies in the presence of liability constraints	2016-12-13	Paper
Generalized density approach in progressive enlargement of filtrations	2015-11-27	Paper
Density Approach in Modeling Successive Defaults	2015-06-04	Paper
Portfolio optimization with insider's initial information and counterparty risk	2015-01-19	Paper
Optimal investment with counterparty risk: a default-density model approach	2014-12-18	Paper
Credit Derivatives Pricing Based on Lévy Field Driven Term Structure	2014-05-02	Paper
Optimal investment under multiple defaults risk: a BSDE-decomposition approach	2013-04-24	Paper
Credit risk with asymmetric information on the default threshold	2012-11-09	Paper
Zero bias transformation and asymptotic expansions	2012-04-22	Paper
INFORMATION ASYMMETRY IN PRICING OF CREDIT DERIVATIVES	2011-10-24	Paper
What happens after a default: the conditional density approach	2010-07-08	Paper
Stein's method and zero bias transformation for CDO tranche pricing	2010-04-22	Paper
Multiple defaults and contagion risks	2009-12-16	Paper
Gaussian and Poisson approximation: applications to CDOs tranche pricing	2009-04-28	Paper
Zero bias transformation and asymptotic expansions II : the Poisson case	2009-04-27	Paper
Valuation and VaR Computation for CDOs Using Stein’s Method	2008-12-01	Paper

Research outcomes over time

Doctoral students

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