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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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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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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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Dynamic Bivariate Mortality Modelling
Ying Jiao
,
Yahia Salhi
,
Shihua Wang
2021
Pré-publication, Document de travail
hal-03244324v1
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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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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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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
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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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A branching process approach to power markets
Ying Jiao
,
Chunhua Ma
,
Simone Scotti
,
Carlo Sgarra
Article dans une revue
hal-02954986v1
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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
Article dans une revue
hal-03458299v2
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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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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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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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Credit Risk with asymmetric information on the default threshold
Caroline Hillairet
,
Ying Jiao
Article dans une revue
hal-00663136v1
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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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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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