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Gauss and Poisson approximation: applications to CDO tranches pricing

 Nicole El Karoui , Ying Jiao , David Kurtz
2008
Pré-publication, Document de travail hal-00324208v1
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Optimal asset allocation subject to withdrawal risk and solvency constraints

 Areski Cousin , Ying Jiao , Christian y Robert , Olivier David Zerbib
2021
Pré-publication, Document de travail hal-03244380v1
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Existence of solutions to a system of SDEs with mean-field drift and jump random measures

 Ying Jiao , Nikolaos Kolliopoulos
2021
Pré-publication, Document de travail hal-03244356v1
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Density approach in modelling successive defaults

 Nicole El Karoui , Monique Jeanblanc , Ying Jiao
SIAM Journal on Financial Mathematics, 2015, 6 (1), pp.1-21
Article dans une revue hal-00870492v1

A branching process approach to power markets

 Ying Jiao , Chunhua Ma , Simone Scotti , Carlo Sgarra
Energy Economics, 2019, 79, pp.144-156. ⟨10.1016/j.eneco.2018.03.002⟩
Article dans une revue hal-02954986v1
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Information Asymmetry in Pricing of Credit Derivatives

 Caroline Hillairet , Ying Jiao
2010
Pré-publication, Document de travail hal-00457456v1
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Dynamic Bivariate Mortality Modelling

 Ying Jiao , Yahia Salhi , Shihua Wang
2021
Pré-publication, Document de travail hal-03244324v1

A quantitative approach to climate-related credit risk, using Shared Socioeconomic Pathways

 Florian Bourgey , Emmanuel Gobet , Ying Jiao
Quant Minds, Dec 2021, Barcelona, Spain
Communication dans un congrès hal-04506781v1
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Multiple defaults and contagion risks

 Ying Jiao
2009
Pré-publication, Document de travail hal-00441500v1
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Modelling sovereign risks: from a hybrid model to the generalized density approach

 Ying Jiao , Shanqiu Li
Mathematical Finance, 2015, 28 (1), pp.240-267
Article dans une revue hal-01158141v1
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Zero bias transformation and asymptotic expansions II : the Poisson case

 Ying Jiao
2009
Pré-publication, Document de travail hal-00378846v1
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Optimal investment with counterparty risk: a default-density modeling approach

 Ying Jiao , Huyen Pham
2009
Pré-publication, Document de travail hal-00365499v1
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Zero bias transformation and asymptotic expansions

 Ying Jiao
2009
Pré-publication, Document de travail hal-00365505v1
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Credit derivatives pricing with default density term structure modelled by Lévy random fields

 Lijun Bo , Ying Jiao , Xuewei Yang
Stochastic Analysis and Applications, 2014, 32 (2), pp.229-252
Article dans une revue hal-00651397v1
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Bridging socioeconomic pathways of CO2 emission and credit risk

 Florian Bourgey , Emmanuel Gobet , Ying Jiao
Annals of Operations Research, 2022, ⟨10.1007/s10479-022-05135-y⟩
Article dans une revue hal-03458299v2
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Credit Risk with asymmetric information on the default threshold

 Caroline Hillairet , Ying Jiao
Stochastics: An International Journal of Probability and Stochastic Processes, 2012, 84 (2-3), pp.183-198. ⟨10.1080/17442508.2011.575944⟩
Article dans une revue hal-00663136v1

Asset allocation strategies in the presence of liability constraints

 Christian Yann Robert , Areski Cousin , Ying Jiao , Olivier David Zerbib
Insurance: Mathematics and Economics, 2016, 70, pp.327-338
Article dans une revue hal-02006791v1
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Dynamics of multivariate default system in random environment

 Nicole El Karoui , Monique Jeanblanc , Ying Jiao
Stochastic Processes and their Applications, 2017, 127 (12), pp.3943-3965
Article dans une revue hal-01205753v2
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Optimal investment under multiple defaults risk: a BSDE-decomposition approach

 Ying Jiao , Idris Kharroubi , Huyen Pham
2011
Rapport hal-00569230v1
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Etudes sur les risques financiers: risques de crédit et d'information asymétrique

 Ying Jiao
Probabilités [math.PR]. Université Paris-Diderot - Paris VII, 2012
HDR tel-00759505v1
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