Yingda Song

• PhD
• Shanghai Jiao Tong University

This paper addresses the estimation of the systemic risk measure known as CoVaR, which quantifies the risk of a financial portfolio conditional on another portfolio being at risk. We identify two principal challenges: conditioning on a zero-probability event and the repricing of portfolios. To tackle these issues, we propose a decoupled approach ut...

This study examines the continuous-time optimal stopping problem with an infinite horizon under Markov processes. Existing research focuses on finding explicit solutions under certain assumptions of the reward function or underlying process; however, these assumptions may either not be fulfilled or be difficult to validate in practice. We developed...

Classical irreversible investment problem admits an optimal strategy of threshold type. But there is no consensus on how the investor should adjust the threshold, if there is an implementation delay. By formulating a general problem with random delay and partial prepayment, we find that the effect of delay can be opposite for different prepayment r...

The constant elasticity of variance (CEV) model is widely used in modeling commodity futures prices, but it may not perform well in calibrating corresponding futures options. We consider two variations of the CEV model, that is, CEV with jumps and CEV with regime switching, and compare their performance in calibrating the Chinese futures options ma...

The prices of Asian options, which are among the most important options in financial engineering, can often be written in terms of Laplace transforms. However, computable error bounds of the Laplace inversions are rarely available to guarantee their accuracy. We conduct a thorough analysis of the inversion of the Laplace transforms for continuously...

The stochastic alpha-beta-rho (SABR) model becomes popular in the financial industry because it is capable of providing good fits to various types of implied volatility curves observed in the marketplace. However, no analytical solution to the SABR model exists that can be simulated directly. This paper explores the possibility of exact simulation...

A general framework is proposed for pricing both continuously and discretely monitored Asian options under onedimensional Markov processes. For each type (continuously monitored or discretely monitored), we derive the double transform of the Asian option price in terms of the unique bounded solution to a related functional equation. In the special...