Jing Yao

Vrije Universiteit Brussel (VUB)

Pleinlaan 2

Brussels, B-1050

Belgium

SCHOLARLY PAPERS

7

DOWNLOADS

884

SSRN CITATIONS
Rank 37,236

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Top 37,236

in Total Papers Citations

14

CROSSREF CITATIONS

13

Scholarly Papers (7)

1.

A Note on Stein's Lemma for Multivariate Elliptical Distributions

Journal of Statistical Planning and Inference, Forthcoming
Number of pages: 11 Posted: 03 Jun 2013 Last Revised: 06 Nov 2014
University of Haifa, Department of Statistics, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 254 (225,858)

Abstract:

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Conditional distribution, Covariance, Regression

2.

How Robust Is the Value-at-Risk of Credit Risk Portfolios?

Forthcoming, European Journal of Finance
Number of pages: 30 Posted: 27 Feb 2015 Last Revised: 02 Nov 2017
Grenoble Ecole de Management, University of Freiburg, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 189 (298,008)
Citation 6

Abstract:

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Rearrangement algorithm, Moment bounds, Value-at-Risk, Credit risk portfolio. Minimum variance

3.

A Stein Type Lemma for the Multivariate Generalized Hyperbolic Distribution

Forthcoming, European Journal of Operational Research
Number of pages: 27 Posted: 18 Nov 2016 Last Revised: 26 Aug 2017
Steven Vanduffel and Jing Yao
Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 134 (397,633)
Citation 2

Abstract:

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utility function, Stein's lemma, mean-variance optimization, Multivariate Generalized Hyperbolic distribution (MGH)

4.

Closed-Form Approximations for Spread Options in Lévy Markets

Forthcoming in Applied Stochastic Models in Business and Industry
Number of pages: 20 Posted: 23 Jan 2018 Last Revised: 02 Aug 2018
Vrije Universiteit Brussel (VUB), Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 124 (421,829)
Citation 1

Abstract:

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Stochastic Clock, Lévy Markets, Conditional Expectation, Gaussian Quadrature, Margrabe’s Formula

5.

Correlation Matrices with Average Constraints

Number of pages: 13 Posted: 26 Feb 2020 Last Revised: 02 Jul 2020
affiliation not provided to SSRN, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 70 (611,397)

Abstract:

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Simulation, random correlation matrices, dependence, multivariate normal

6.

Using Model-Independent Lower Bounds to Improve Pricing of Asian Style Options in Levy Markets

Astin Bulletin, Forthcoming
Number of pages: 44 Posted: 18 Jan 2014
Université Libre de Bruxelles (ULB), Université Libre de Bruxelles (ULB), Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 66 (630,607)

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Asian style options, conditional expectation, control variates, stochastic clock

7.

Some Stein-Type Inequalities for Multivariate Elliptical Distributions and Applications

Statistics and Probability Letters, Forthcoming
Number of pages: 14 Posted: 06 Nov 2014
University of Haifa, Department of Statistics, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 47 (739,098)
Citation 1

Abstract:

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Stein’s lemma, Stein-type inequality, multivariate elliptical distribution, inadmissibility, Chernoff-type inequality