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Lijun Bo

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First Name:Lijun
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Last Name:Bo
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RePEc Short-ID:pbo625
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http://lijun.xtreemhost.com/

Research output

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Jump to: Working papers Articles

Working papers

  1. Agostino Capponi & Lijun Bo, 2016. "Robust Optimization of Credit Portfolios," Papers 1603.08169, arXiv.org.
  2. Lijun Bo & Agostino Capponi, 2013. "Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios," Papers 1305.5575, arXiv.org.
  3. Lijun Bo & Ying Jiao & Xuewei Yang, 2011. "Credit derivatives pricing with default density term structure modelled by L\'evy random fields," Papers 1112.2952, arXiv.org.

Articles

  1. Bo, Lijun & Capponi, Agostino, 2015. "Counterparty risk for CDS: Default clustering effects," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 29-42.
  2. Lijun Bo & Agostino Capponi, 2014. "Bilateral credit valuation adjustment for large credit derivatives portfolios," Finance and Stochastics, Springer, vol. 18(2), pages 431-482, April.
  3. Lijun Bo & Xindan Li & Yongjin Wang & Xuewei Yang, 2013. "On the conditional default probability in a regulated market with jump risk," Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1967-1975, December.
  4. Lijun Bo & Xindan Li & Yongjin Wang & Xuewei Yang, 2013. "Optimal Investment and Consumption with Default Risk: HARA Utility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(3), pages 261-281, September.
  5. Bo, Lijun & Song, Renming & Tang, Dan & Wang, Yongjin & Yang, Xuewei, 2012. "Lévy risk model with two-sided jumps and a barrier dividend strategy," Insurance: Mathematics and Economics, Elsevier, vol. 50(2), pages 280-291.
  6. Bo, Lijun & Yang, Xuewei, 2012. "Sequential maximum likelihood estimation for reflected generalized Ornstein–Uhlenbeck processes," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1374-1382.
  7. Bo, Lijun & Lefebvre, Mario, 2011. "Mean first passage times of two-dimensional processes with jumps," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1183-1189, August.
  8. Bo, Lijun, 2011. "Exponential change of measure applied to term structures of interest rates and exchange rates," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 216-225, September.
  9. Bo, Lijun & Wang, Yongjin, 2011. "On a stochastic interacting model with stepping-stone noises," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1300-1305, August.
  10. Lijun Bo & Yongjin Wang & Xuewei Yang, 2010. "Some integral functionals of reflected SDEs and their applications in finance," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 343-348.
  11. Bo, Lijun & Wang, Yongjin & Yang, Xuewei, 2010. "Markov-modulated jump-diffusions for currency option pricing," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 461-469, June.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Agostino Capponi & Lijun Bo, 2016. "Robust Optimization of Credit Portfolios," Papers 1603.08169, arXiv.org.

    Cited by:

    1. Francesca Biagini & Yinglin Zhang, 2017. "Reduced-form framework under model uncertainty," Papers 1707.04475, arXiv.org, revised Mar 2018.
    2. Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2018. "Recent advancements in robust optimization for investment management," Annals of Operations Research, Springer, vol. 266(1), pages 183-198, July.
    3. Korotkov, Vladimir & Wu, Desheng, 2021. "Benchmarking project portfolios using optimality thresholds," Omega, Elsevier, vol. 99(C).

  2. Lijun Bo & Agostino Capponi, 2013. "Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios," Papers 1305.5575, arXiv.org.

    Cited by:

    1. Tetsuya Adachi & Takumi Sueshige & Toshinao Yoshiba, 2019. "Wrong-way Risk in Credit Valuation Adjustment of Credit Default Swap with Copulas," IMES Discussion Paper Series 19-E-01, Institute for Monetary and Economic Studies, Bank of Japan.
    2. Tomoyuki Ichiba & Michael Ludkovski & Andrey Sarantsev, 2019. "Dynamic contagion in a banking system with births and defaults," Annals of Finance, Springer, vol. 15(4), pages 489-538, December.
    3. Kim, Jinbeom & Leung, Tim, 2016. "Pricing derivatives with counterparty risk and collateralization: A fixed point approach," European Journal of Operational Research, Elsevier, vol. 249(2), pages 525-539.
    4. Lixin Wu & Dawei Zhang, 2020. "xVA: DEFINITION, EVALUATION AND RISK MANAGEMENT," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(01), pages 1-24, February.
    5. Ding, Kailin & Ning, Ning, 2021. "Markov chain approximation and measure change for time-inhomogeneous stochastic processes," Applied Mathematics and Computation, Elsevier, vol. 392(C).
    6. Irena Barjav{s}i'c & Stefano Battiston & Vinko Zlati'c, 2023. "Credit Valuation Adjustment in Financial Networks," Papers 2305.16434, arXiv.org.
    7. Konstantinos Spiliopoulos, 2014. "Systemic Risk and Default Clustering for Large Financial Systems," Papers 1402.5352, arXiv.org, revised Feb 2015.
    8. David Xiao, 2023. "Default Process Modeling and Credit Valuation Adjustment," Papers 2309.03311, arXiv.org.
    9. Feinstein, Zachary & Sojmark, Andreas, 2021. "Short communication: dynamic default contagion in heterogeneous interbank systems," LSE Research Online Documents on Economics 123789, London School of Economics and Political Science, LSE Library.
    10. Lee, David, 2023. "Default Forecasting and Credit Valuation Adjustment," MPRA Paper 118578, University Library of Munich, Germany.
    11. Konstantinos Spiliopoulos & Jia Yang, 2018. "Network effects in default clustering for large systems," Papers 1812.07645, arXiv.org, revised Feb 2020.
    12. Matteo Citterio & Marco D'Errico & Gabriele Visentin, 2024. "Conditional Forecasting of Margin Calls using Dynamic Graph Neural Networks," Papers 2410.23275, arXiv.org.
    13. Bo, Lijun & Capponi, Agostino, 2015. "Counterparty risk for CDS: Default clustering effects," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 29-42.

Articles

  1. Bo, Lijun & Capponi, Agostino, 2015. "Counterparty risk for CDS: Default clustering effects," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 29-42.

    Cited by:

    1. Harb, Etienne & Louhichi, Wael, 2017. "Pricing CDS spreads with Credit Valuation Adjustment using a mixture copula," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 963-975.
    2. St'ephane Cr'epey & Shiqi Song, 2017. "Invariance times," Papers 1702.01045, arXiv.org.
    3. Tingqiang Chen & Binqing Xiao & Haifei Liu, 2018. "Credit Risk Contagion in an Evolving Network Model Integrating Spillover Effects and Behavioral Interventions," Complexity, Hindawi, vol. 2018, pages 1-16, March.
    4. J. C. Arismendi-Zambrano & Vladimir Belitsky & Vinicius Amorim Sobreiro & Herbert Kimura, 2020. "The Implications of Tail Dependency Measures for Counterparty Credit Risk Pricing," Economics Department Working Paper Series n306-20.pdf, Department of Economics, National University of Ireland - Maynooth.
    5. Stéphane Crépey & Shiqi Song, 2016. "Counterparty risk and funding: immersion and beyond," Finance and Stochastics, Springer, vol. 20(4), pages 901-930, October.
    6. Stéphane Crépey & Shiqi Song, 2017. "Invariance Times ," Working Papers hal-01455414, HAL.
    7. Stéphane Crépey & Shiqi Song, 2018. "Counterparty risk and funding: immersion and beyond," Working Papers hal-01764403, HAL.
    8. Lin, Feng & Peng, Liang & Xie, Jiehua & Yang, Jingping, 2018. "Stochastic distortion and its transformed copula," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 148-166.
    9. Wang, Lei & Li, Shouwei & Chen, Tingqiang, 2019. "Investor behavior, information disclosure strategy and counterparty credit risk contagion," Chaos, Solitons & Fractals, Elsevier, vol. 119(C), pages 37-49.
    10. Castellano, Rosella & Corallo, Vincenzo & Morelli, Giacomo, 2022. "Structural estimation of counterparty credit risk under recovery risk," Journal of Banking & Finance, Elsevier, vol. 140(C).
    11. Arismendi-Zambrano, Juan & Belitsky, Vladimir & Sobreiro, Vinicius Amorim & Kimura, Herbert, 2022. "The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing," Journal of Financial Stability, Elsevier, vol. 58(C).

  2. Lijun Bo & Agostino Capponi, 2014. "Bilateral credit valuation adjustment for large credit derivatives portfolios," Finance and Stochastics, Springer, vol. 18(2), pages 431-482, April.
    See citations under working paper version above.
  3. Lijun Bo & Xindan Li & Yongjin Wang & Xuewei Yang, 2013. "On the conditional default probability in a regulated market with jump risk," Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1967-1975, December.

    Cited by:

    1. Luciana Dalla Valle & Maria Elena De Giuli & Claudia Tarantola & Claudio Manelli, 2014. "Default Probability Estimation via Pair Copula Constructions," Papers 1405.1309, arXiv.org, revised Aug 2015.
    2. Xindan Li & Dan Tang & Yongjin Wang & Xuewei Yang, 2014. "Optimal processing rate and buffer size of a jump-diffusion processing system," Annals of Operations Research, Springer, vol. 217(1), pages 319-335, June.
    3. Zheng Han & Yaozhong Hu & Chihoon Lee, 2016. "Optimal pricing barriers in a regulated market using reflected diffusion processes," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 639-647, April.
    4. Bai, Yizhou & Xue, Cheng, 2021. "An empirical study on the regulated Chinese agricultural commodity futures market based on skew Ornstein-Uhlenbeck model," Research in International Business and Finance, Elsevier, vol. 57(C).
    5. Ning Cai & Xuewei Yang, 2021. "A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes," INFORMS Journal on Computing, INFORMS, vol. 33(1), pages 216-229, January.

  4. Lijun Bo & Xindan Li & Yongjin Wang & Xuewei Yang, 2013. "Optimal Investment and Consumption with Default Risk: HARA Utility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(3), pages 261-281, September.

    Cited by:

    1. Nian Yao & Zhiming Yang, 2017. "Optimal excess-of-loss reinsurance and investment problem for an insurer with default risk under a stochastic volatility model," Papers 1704.08234, arXiv.org.

  5. Bo, Lijun & Song, Renming & Tang, Dan & Wang, Yongjin & Yang, Xuewei, 2012. "Lévy risk model with two-sided jumps and a barrier dividend strategy," Insurance: Mathematics and Economics, Elsevier, vol. 50(2), pages 280-291.

    Cited by:

    1. Xindan Li & Dan Tang & Yongjin Wang & Xuewei Yang, 2014. "Optimal processing rate and buffer size of a jump-diffusion processing system," Annals of Operations Research, Springer, vol. 217(1), pages 319-335, June.
    2. Bo, Lijun & Yang, Xuewei, 2012. "Sequential maximum likelihood estimation for reflected generalized Ornstein–Uhlenbeck processes," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1374-1382.
    3. Ning Cai & Xuewei Yang, 2021. "A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes," INFORMS Journal on Computing, INFORMS, vol. 33(1), pages 216-229, January.
    4. Jiaen Xu & Chunwei Wang & Naidan Deng & Shujing Wang, 2023. "Numerical Method for a Risk Model with Two-Sided Jumps and Proportional Investment," Mathematics, MDPI, vol. 11(7), pages 1-22, March.
    5. Noba, Kei, 2021. "On the optimality of double barrier strategies for Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 131(C), pages 73-102.

  6. Bo, Lijun & Yang, Xuewei, 2012. "Sequential maximum likelihood estimation for reflected generalized Ornstein–Uhlenbeck processes," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1374-1382.

    Cited by:

    1. Huantian Xie & Nenghui Kuang, 2021. "Sequential Maximum Likelihood Estimation for the Squared Radial Ornstein-Uhlenbeck Process," Methodology and Computing in Applied Probability, Springer, vol. 23(4), pages 1409-1417, December.
    2. Qingpei Zang & Lixin Zhang, 2019. "Asymptotic Behaviour of the Trajectory Fitting Estimator for Reflected Ornstein–Uhlenbeck Processes," Journal of Theoretical Probability, Springer, vol. 32(1), pages 183-201, March.

  7. Bo, Lijun, 2011. "Exponential change of measure applied to term structures of interest rates and exchange rates," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 216-225, September.

    Cited by:

    1. Bo, Lijun & Tang, Dan & Wang, Yongjin, 2017. "Optimal investment of variance-swaps in jump-diffusion market with regime-switching," Journal of Economic Dynamics and Control, Elsevier, vol. 83(C), pages 175-197.

  8. Bo, Lijun & Wang, Yongjin, 2011. "On a stochastic interacting model with stepping-stone noises," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1300-1305, August.

    Cited by:

    1. Jiang, Yiming & Wang, Suxin & Wang, Yongjin, 2014. "On a class of Cahn–Hilliard type stochastic interacting systems with stepping-stone noises," Statistics & Probability Letters, Elsevier, vol. 84(C), pages 9-16.

  9. Lijun Bo & Yongjin Wang & Xuewei Yang, 2010. "Some integral functionals of reflected SDEs and their applications in finance," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 343-348.

    Cited by:

    1. Xindan Li & Dan Tang & Yongjin Wang & Xuewei Yang, 2014. "Optimal processing rate and buffer size of a jump-diffusion processing system," Annals of Operations Research, Springer, vol. 217(1), pages 319-335, June.
    2. Zheng Han & Yaozhong Hu & Chihoon Lee, 2016. "Optimal pricing barriers in a regulated market using reflected diffusion processes," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 639-647, April.
    3. Pingping Jiang & Bo Li & Yongjin Wang, 2020. "Exit Times, Undershoots and Overshoots for Reflected CIR Process with Two-Sided Jumps," Methodology and Computing in Applied Probability, Springer, vol. 22(2), pages 693-710, June.
    4. Bo, Lijun & Song, Renming & Tang, Dan & Wang, Yongjin & Yang, Xuewei, 2012. "Lévy risk model with two-sided jumps and a barrier dividend strategy," Insurance: Mathematics and Economics, Elsevier, vol. 50(2), pages 280-291.
    5. Yaozhong Hu & Chihoon Lee & Myung Lee & Jian Song, 2015. "Parameter estimation for reflected Ornstein–Uhlenbeck processes with discrete observations," Statistical Inference for Stochastic Processes, Springer, vol. 18(3), pages 279-291, October.
    6. Bo, Lijun & Yang, Xuewei, 2012. "Sequential maximum likelihood estimation for reflected generalized Ornstein–Uhlenbeck processes," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1374-1382.
    7. Yang Xuewei, 2013. "A new numerical scheme for a class of reflected stochastic differential equations," Monte Carlo Methods and Applications, De Gruyter, vol. 19(4), pages 273-279, December.
    8. Andreas C. Drichoutis & Veronika Grimm & Alexandros Karakostas, 2020. "Bribing to Queue-Jump: An experiment on cultural differences in bribing attitudes among Greeks and Germans," Working Papers 2020-2, Agricultural University of Athens, Department Of Agricultural Economics.
    9. Qin Hu & Yongjin Wang & Xuewei Yang, 2012. "The Hitting Time Density for a Reflected Brownian Motion," Computational Economics, Springer;Society for Computational Economics, vol. 40(1), pages 1-18, June.

  10. Bo, Lijun & Wang, Yongjin & Yang, Xuewei, 2010. "Markov-modulated jump-diffusions for currency option pricing," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 461-469, June.

    Cited by:

    1. Milan Kumar Das & Anindya Goswami, 2019. "Testing of binary regime switching models using squeeze duration analysis," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 1-20, March.
    2. Bo, Lijun, 2011. "Exponential change of measure applied to term structures of interest rates and exchange rates," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 216-225, September.
    3. Hsu, Yuan-Lin & Lin, Shih-Kuei & Hung, Ming-Chin & Huang, Tzu-Hui, 2016. "Empirical analysis of stock indices under a regime-switching model with dependent jump size risks," Economic Modelling, Elsevier, vol. 54(C), pages 260-275.
    4. Jinzhi Li & Haiying Liu, 2015. "Optimal Investment for the Insurers in Markov-Modulated Jump-Diffusion Models," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 143-156, June.
    5. Chang-Yi Li & Son-Nan Chen & Shih-Kuei Lin, 2016. "Pricing derivatives with modeling CO emission allowance using a regime-switching jump diffusion model: with regime-switching risk premium," The European Journal of Finance, Taylor & Francis Journals, vol. 22(10), pages 887-908, August.
    6. Anatoliy Swishchuk & Maksym Tertychnyi & Robert Elliott, 2014. "Pricing Currency Derivatives with Markov-modulated Levy Dynamics," Papers 1402.1953, arXiv.org.
    7. Bo, Lijun & Tang, Dan & Wang, Yongjin, 2017. "Optimal investment of variance-swaps in jump-diffusion market with regime-switching," Journal of Economic Dynamics and Control, Elsevier, vol. 83(C), pages 175-197.
    8. Milan Kumar Das & Anindya Goswami, 2018. "Testing of Binary Regime Switching Models using Squeeze Duration Analysis," Papers 1807.04393, arXiv.org, revised Aug 2018.
    9. Lian, Yu-Min & Chen, Jun-Home, 2021. "Pricing virtual currency-linked derivatives with time-inhomogeneity," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 424-439.
    10. Wenhan Li & Cuixiang Li & Lixia Liu & Mengna Wang, 2021. "Foreign Currency Power Option Pricing Based on Esscher Transform," Computational Economics, Springer;Society for Computational Economics, vol. 58(2), pages 535-548, August.
    11. Son-Nan Chen & Pao-Peng Hsu & Chang-Yi Li, 2016. "Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 573-592, April.
    12. Lian, Yu-Min & Chen, Jun-Home, 2022. "Foreign exchange option pricing under regime switching with asymmetrical jumps," Finance Research Letters, Elsevier, vol. 46(PA).
    13. Lian, Yu-Min & Chen, Jun-Home, 2020. "Joint dynamic modeling and option pricing in incomplete derivative-security market," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    14. Lian, Yu-Min & Chen, Jun-Home, 2023. "Valuation of chooser options with state-dependent risks," Finance Research Letters, Elsevier, vol. 52(C).
    15. Olivier Courtois & Xiaoshan Su, 2020. "Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(4), pages 477-520, December.
    16. Xu, Guangli & Wang, Yongjin, 2016. "On stability of the Markov-modulated skew CIR process," Statistics & Probability Letters, Elsevier, vol. 109(C), pages 139-144.
    17. Mi-Hsiu Chiang & Chang-Yi Li & Son-Nan Chen, 2016. "Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy," Review of Quantitative Finance and Accounting, Springer, vol. 46(3), pages 459-482, April.
    18. Chang, Charles & Fuh, Cheng-Der & Lin, Shih-Kuei, 2013. "A tale of two regimes: Theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3204-3217.
    19. Milan Kumar Das & Anindya Goswami & Sharan Rajani, 2023. "Inference of Binary Regime Models with Jump Discontinuities," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 49-86, May.
    20. Lian, Yu-Min & Chen, Jun-Home & Liao, Szu-Lang, 2024. "Pricing derivatives on foreign assets using Markov-modulated cojump-diffusion dynamics," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 503-519.
    21. Milan Kumar Das & Anindya Goswami & Sharan Rajani, 2019. "Inference of Binary Regime Models with Jump Discontinuities," Papers 1910.10606, arXiv.org, revised Mar 2022.
    22. Rulu Huang, 2012. "Studies on the Change Mechanism of RMB Exchange Rate with Non-Recurrent Events," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 3(1), pages 49-56, January.
    23. Chen, Son-Nan & Chiang, Mi-Hsiu & Hsu, Pao-Peng & Li, Chang-Yi, 2014. "Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model," Finance Research Letters, Elsevier, vol. 11(2), pages 161-172.
    24. Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming, 2014. "Pricing foreign equity options with regime-switching," Economic Modelling, Elsevier, vol. 37(C), pages 296-305.
    25. Anqi Zou & Jiajie Wang & Chiye Wu, 2023. "Pricing Variance Swaps under MRG Model with Regime-Switching: Discrete Observations Case," Mathematics, MDPI, vol. 11(12), pages 1-30, June.
    26. Lian, Yu-Min & Chen, Jun-Home & Liao, Szu-Lang, 2016. "Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy," Finance Research Letters, Elsevier, vol. 16(C), pages 208-219.
    27. Biswas, Arunangshu & Goswami, Anindya & Overbeck, Ludger, 2018. "Option pricing in a regime switching stochastic volatility model," Statistics & Probability Letters, Elsevier, vol. 138(C), pages 116-126.
    28. Arunangshu Biswas & Anindya Goswami & Ludger Overbeck, 2017. "Option Pricing in a Regime Switching Stochastic Volatility Model," Papers 1707.01237, arXiv.org, revised Jan 2018.
    29. Ayub Ahmadi & Mahdieh Tahmasebi, 2024. "Pricing and delta computation in jump-diffusion models with stochastic intensity by Malliavin calculus," Papers 2405.00473, arXiv.org.
    30. Cox, Samuel H. & Lin, Yijia & Shi, Tianxiang, 2018. "Pension risk management with funding and buyout options," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 183-200.
    31. Lin, Shih-Kuei & Peng, Jin-Lung & Chao, Wei-Hsiung & Wu, An-Chi, 2016. "The extension from independence to dependence between jump frequency and jump size in Markov-modulated jump diffusion models," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 217-235.
    32. Jessica Pesantez-Narvaez & Montserrat Guillen & Manuela Alcañiz, 2021. "RiskLogitboost Regression for Rare Events in Binary Response: An Econometric Approach," Mathematics, MDPI, vol. 9(5), pages 1-21, March.

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-BAN: Banking (1) 2011-12-19
  2. NEP-RMG: Risk Management (1) 2016-04-09

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