Yupeng Jiang

University College London

Gower Street

London, WC1E 6BT

United Kingdom

  • University College London

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 42,057

SSRN RANKINGS

Top 42,057

in Total Papers Downloads

2,594

TOTAL CITATIONS

16

Scholarly Papers (5)

Actions:
Email selected abstracts
1.

Real-Time Risk Management: An AAD-PDE Approach

Number of pages: 32 Posted: 15 Jul 2015
Luca Capriotti, Yupeng Jiang and Andrea Macrina
Columbia University, University College London and University College London
Downloads 1,102 (43,615)
Citation 1

Abstract:

Loading...

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
Columbia University, University College London and University College London
Downloads 993 (50,451)
Citation 15

Abstract:

Loading...

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 215 (307,020)

Abstract:

Loading...

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
Luca Capriotti, Yupeng Jiang and Gaukhar Shaimerdenova
Columbia University, University College London and King Abdullah University of Science and Technology (KAUST) - Department of Computer, Electrical and Mathematical Sciences & Engineering
Downloads 176 (369,291)

Abstract:

Loading...

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: 39 Posted: 06 Mar 2019 Last Revised: 16 Oct 2020
Yupeng Jiang, Andrea Macrina and Gareth Peters
University College London, University College London and University of California Santa Barbara
Downloads 108 (547,998)

Abstract:

Loading...

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