Ying Jiao

Universit ́e Claude Bernard-Lyon 1, Institut de Science Financier et d’Assurances

Lyon

France

SCHOLARLY PAPERS

4

DOWNLOADS

215

SSRN CITATIONS

6

CROSSREF CITATIONS

2

Scholarly Papers (4)

1.

Optimal Asset Allocation Subject to Liquidity and Withdrawal Risks

Number of pages: 39 Posted: 08 Jan 2021
affiliation not provided to SSRN, Universit ?e Claude Bernard-Lyon 1, Institut de Science Financier et d’Assurances, University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA) and Boston University
Downloads 94 (383,478)

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Asset allocation, ALM, liquidity risk, withdrawal risk

2.

Trading Against Disorderly Liquidation of a Large Position Under Asymmetric Information and Market Impact

Number of pages: 33 Posted: 08 Oct 2016
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees, Concordia University, Quebec - Department of Mathematics and Statistics, Universit ?e Claude Bernard-Lyon 1, Institut de Science Financier et d’Assurances and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 67 (465,534)

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disorderly liquidation, asymmetric information, market impact, portfolio optimization, optimal trading, Monte-Carlo method

3.

Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling

Number of pages: 27 Posted: 17 Feb 2016 Last Revised: 19 Feb 2016
Ying Jiao, Chunhua Ma and Simone Scotti
Universit ?e Claude Bernard-Lyon 1, Institut de Science Financier et d’Assurances, Nankai University and Université Paris VII Denis Diderot
Downloads 49 (538,576)
Citation 8

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4.

Modeling Sovereign Risks: From a Hybrid Model to the Generalized Density Approach

Mathematical Finance, Vol. 28, Issue 1, pp. 240-267, 2018
Number of pages: 28 Posted: 17 Jan 2018
Ying Jiao and Shanqiu Li
Universit ?e Claude Bernard-Lyon 1, Institut de Science Financier et d’Assurances and Université Paris VI Pierre et Marie Curie
Downloads 5 (862,119)

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sovereign risk, sovereign solvency, decomposition of stopping times, generalized density of default, long‐term government bond