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- Multiscale exponential Lévy-type models 2018-09-19 Paper Variance Swaps on Defaultable Assets and Market Implied Time-Changes 2016-06-15 Paper...10 bytes (18 words) - 11:00, 7 October 2023
- Publication Date of Publication Type INFORMATION AND OPTIMAL INVESTMENT IN DEFAULTABLE ASSETS 2015-01-23 Paper BSDEs driven by time-changed Lévy noises and optimal...10 bytes (16 words) - 18:53, 6 October 2023
- American Put Options on Assets with Discrete Dividends 2012-04-19 Paper An integral equation for American put options on assets with general dividend processes...10 bytes (18 words) - 15:00, 12 December 2023
- for American put options on assets with general dividend processes 2012-01-03 Paper Efficient Pricing of Derivatives on Assets with Discrete Dividends 2007-02-15...10 bytes (18 words) - 20:43, 9 December 2023
- Variance Swaps on Defaultable Assets and Market Implied Time-Changes 2016-06-15 Paper Pricing equity default swaps under the jump-to-default extended CEV model...10 bytes (18 words) - 06:35, 7 October 2023
- with jumps 2015-12-23 Paper INFORMATION AND OPTIMAL INVESTMENT IN DEFAULTABLE ASSETS 2015-01-23 Paper A note on convergence of option prices and their...10 bytes (19 words) - 22:15, 10 December 2023
- Approximations and Implied Sharpe Ratio 2016-08-17 Paper Variance Swaps on Defaultable Assets and Market Implied Time-Changes 2016-06-15 Paper From characteristic...10 bytes (17 words) - 06:35, 7 October 2023
- 2005-05-09 Paper Optimal portfolios with stochastic interest rates and defaultable assets. 2004-09-30 Paper Elasticity approach to portfolio optimization 2004-03-07...10 bytes (16 words) - 13:50, 7 October 2023
- 2018-08-14 Paper Reaching nirvana with a defaultable asset? 2018-01-31 Paper Envelope theorems in Banach lattices and asset pricing 2015-09-22 Paper Real options...10 bytes (16 words) - 04:02, 12 December 2023
- revisited: the duality approach 2018-08-14 Paper Reaching nirvana with a defaultable asset? 2018-01-31 Paper New results on precautionary saving under two risks...10 bytes (19 words) - 04:03, 12 December 2023
- face value at default 2020-02-11 Paper Kim and Omberg revisited: the duality approach 2018-08-14 Paper Reaching nirvana with a defaultable asset? 2018-01-31...10 bytes (16 words) - 18:05, 24 September 2023
- 2018-12-10 Paper Portfolio choices and VaR constraint with a defaultable asset 2018-09-19 Paper Financial markets theory. Equilibrium, efficiency and information...10 bytes (17 words) - 02:30, 9 December 2023
- Publication Type Bayesian confidence intervals for probability of default and asset correlation of portfolio credit risk 2015-03-05 Paper https://portal...10 bytes (18 words) - 09:22, 25 September 2023
- risk 2018-09-26 Paper Portfolio choices and VaR constraint with a defaultable asset 2018-09-19 Paper Backward SDEs for optimal control of partially observed...10 bytes (16 words) - 10:40, 6 October 2023
- probability of default and asset correlation of portfolio credit risk 2015-03-05 Paper A multinomial tree model for pricing credit default swap options 2015-01-28...10 bytes (18 words) - 09:47, 6 October 2023
- multiple risky assets 2019-06-18 Paper Optimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market 2019-05-10...10 bytes (17 words) - 23:15, 9 December 2023
- 2013-01-25 Paper Default times, no-arbitrage conditions and changes of probability measures 2012-11-15 Paper Convertible Bonds in a Defaultable Diffusion Model...10 bytes (18 words) - 20:00, 11 December 2023
- management: performances and asset concentration 2021-11-08 Paper Proper measures of connectedness 2021-05-03 Paper Portfolio leverage in asset allocation problems...10 bytes (18 words) - 16:55, 12 December 2023
- with stable Lévy assets returns 2008-09-04 Paper Market value of life insurance contracts under stochastic interest rates and default risk 2007-05-24 Paper...10 bytes (19 words) - 20:21, 11 December 2023
- green bond market -- empirics and a dynamic model 2021-11-16 Paper Default Risk, Asset Pricing, and Debt Control 2019-08-01 Paper Interest rate spreads and...10 bytes (16 words) - 00:39, 25 September 2023
