Yajie Yu

Dr. Yajie(Jessica) Yu is a quantitative analyst at Wells Fargo working on Capital Markets Pricing and Risk Modeling, in particular, models for equity, FX, interest rate derivatives and counterparty credit risk. She received her Ph.D. in Computational Math from University of Arkansas in Little Rock and has a Master Degree in Applied Math from Michigan State University.

Articles by Yajie Yu

Original research

Pricing barrier options with deep backward stochastic differential equation methods

This paper presents a novel and direct approach to solving boundary- and final-value problems, corresponding to barrier options, using forward pathwise deep learning and forward–backward stochastic differential equations.

16 Mar 2022