Yupeng Jiang

University College London

Gower Street

London, WC1E 6BT

United Kingdom

SCHOLARLY PAPERS

5

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SSRN CITATIONS
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Top 47,937

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CROSSREF CITATIONS

12

Scholarly Papers (5)

1.

Real-Time Risk Management: An AAD-PDE Approach

Number of pages: 32 Posted: 15 Jul 2015
Luca Capriotti, Yupeng Jiang and Andrea Macrina
University College London, University College London and University College London
Downloads 680 (41,236)

Abstract:

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Adjoint Algorithmic Differentiation, Partial Differential Equations, Credit Derivatives

2.

AAD and Least-Square Monte Carlo: Fast Bermudan-Style Options and XVA Greeks

Number of pages: 27 Posted: 26 Sep 2016 Last Revised: 23 Aug 2017
Luca Capriotti, Yupeng Jiang and Andrea Macrina
University College London, University College London and University College London
Downloads 572 (51,680)
Citation 12

Abstract:

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Adjoint Algorithmic Differentiation (AAD), Monte Carlo, Bermudan-style options, valuation adjustments (XVA)

3.

Portfolio Level FVA Under Perfect Collateralization and Re-Hypothecation

Number of pages: 52 Posted: 18 Sep 2014 Last Revised: 24 Sep 2014
Yupeng Jiang
University College London
Downloads 147 (217,185)

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FVA, Collateralization, Re-hypothecation, Portfolio Level

4.

Approximation Methods for Inhomogeneous Geometric Brownian Motion

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 16 Posted: 11 Oct 2018
University College London, University College London and King Abdullah University of Science and Technology - Department of Computer, Electrical and Mathematical Sciences & Engineering
Downloads 80 (332,497)

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Inhomogeneous Geometric Brownian Motion; Constant Elasticity of Variance; Arrow-Debreu Security, Derivative Pricing; Power Series Expansions

5.

Multiple Barrier-Crossings of an Ornstein-Uhlenbeck Diffusion in Consecutive Periods

Number of pages: 37 Posted: 06 Mar 2019 Last Revised: 18 May 2020
Yupeng Jiang, Andrea Macrina and Gareth Peters
University College London, University College London and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 38 (470,370)

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Ornstein-Uhlenbeck Process, First-Passage-Time, Multiple Barrier-Crossings and Joint Survival Function, Time-Dependent Barriers, Markov Process, Infinite Series Approximation and Tail Convergence, Quadrature and Monte Carlo Schemes, Numerical Efficiency