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Yu H. Kan, Ph.D.

Affiliations: 
2011 Operations Research Columbia University, New York, NY 
Area:
Operations Research, Finance, Applied Mathematics
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"Yu Kan"
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Rama Cont grad student 2011 Columbia
 (Quantitative Modeling of Credit Derivatives.)

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Publications

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Cousin A, Crépey S, Kan YH. (2012) Delta-hedging correlation risk? Review of Derivatives Research. 15: 25-56
Cont R, Kan YH. (2011) Dynamic hedging of portfolio credit derivatives Siam Journal On Financial Mathematics. 2: 112-140
Cont R, Deguest R, Kan YH. (2010) Default intensities implied by CDO Spreads: Inversion formula and model calibration Siam Journal On Financial Mathematics. 1: 555-585
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