| Publication | Date of Publication | Type |
|---|
Callable convertible bonds under liquidity constraints and hybrid priorities
SIAM Journal on Financial Mathematics | 2025-01-20 | Paper |
A robust \(\alpha \)-stable central limit theorem under sublinear expectation without integrability condition
Journal of Theoretical Probability | 2024-08-24 | Paper |
Optimal investment and consumption with forward preferences and uncertain parameters
Probability, Uncertainty and Quantitative Risk | 2024-05-25 | Paper |
A monotone scheme for \(\mathrm{G}\)-equations with application to the explicit convergence rate of robust central limit theorem
Journal of Differential Equations | 2024-05-15 | Paper |
Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions
Mathematical Finance | 2024-01-31 | Paper |
Convergence rates for Chernoff-type approximations of convex monotone semigroups
| 2023-10-15 | Paper |
A New Monotonicity Condition for Ergodic Backward SDEs and Ergodic Control with Superquadratic Hamiltonians
SIAM Journal on Control and Optimization | 2023-06-14 | Paper |
A universal robust limit theorem for nonlinear Lévy processes under sublinear expectation
Probability, Uncertainty and Quantitative Risk | 2023-04-26 | Paper |
A robust $\alpha$-stable central limit theorem under sublinear expectation without integrability condition
| 2023-01-18 | Paper |
Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection
Probability, Uncertainty and Quantitative Risk | 2022-06-03 | Paper |
Vague and weak convergence of signed measures
| 2022-05-26 | Paper |
A continuity theorem for generalised signed measures with an application to Karamata's Tauberian theorem
| 2022-05-25 | Paper |
A universal robust limit theorem for nonlinear L\'evy processes under sublinear expectation
| 2022-04-30 | Paper |
A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models
SIAM Journal on Financial Mathematics | 2021-09-08 | Paper |
A monotone scheme for nonlinear partial integro-differential equations with the convergence rate of $\alpha$-stable limit theorem under sublinear expectation
| 2021-07-23 | Paper |
Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
Review of Derivatives Research | 2021-06-30 | Paper |
Analysis of the optimal exercise boundary of American put options with delivery lags
Journal of Mathematical Analysis and Applications | 2021-03-04 | Paper |
Systems of ergodic BSDEs arising in regime switching forward performance processes
SIAM Journal on Control and Optimization | 2020-10-30 | Paper |
Ergodic singular stochastic control motivated by the optimal sustainable exploitation of an ecosystem
| 2020-08-12 | Paper |
Risk-sensitive Dynkin games with heterogeneous Poisson random intervention times
| 2020-08-04 | Paper |
An approximation scheme for semilinear parabolic PDEs with convex and coercive Hamiltonians
SIAM Journal on Control and Optimization | 2020-01-10 | Paper |
Dynkin games with Poisson random intervention times
SIAM Journal on Control and Optimization | 2019-08-30 | Paper |
Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
Mathematics and Financial Economics | 2019-07-08 | Paper |
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
Finance and Stochastics | 2019-01-18 | Paper |
A multiperiod bank run model for liquidity risk
Review of Finance | 2018-11-08 | Paper |
Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
SIAM Journal on Financial Mathematics | 2017-07-20 | Paper |
Exponential utility maximization and indifference valuation with unbounded payoffs
| 2017-07-01 | Paper |
Optimal switching at Poisson random intervention times
Discrete and Continuous Dynamical Systems. Series B | 2016-09-30 | Paper |
A multidimensional exponential utility indifference pricing model with applications to counterparty risk
SIAM Journal on Control and Optimization | 2016-03-29 | Paper |
Funding liquidity, debt tenor structure, and creditor's belief: an exogenous dynamic debt run model
Mathematics and Financial Economics | 2015-09-22 | Paper |
Indifference pricing and hedging in a multiple-priors model with trading constraints
Science China. Mathematics | 2015-07-31 | Paper |
Stochastic control representations for penalized backward stochastic differential equations
SIAM Journal on Control and Optimization | 2015-06-10 | Paper |
Fully coupled forward-backward stochastic dynamics and functional differential systems
Stochastics and Dynamics | 2015-05-22 | Paper |
Dynkin game of convertible bonds and their optimal strategy
Journal of Mathematical Analysis and Applications | 2015-02-11 | Paper |
Pseudo linear pricing rule for utility indifference valuation
Finance and Stochastics | 2014-09-26 | Paper |
A modified structural model for credit risk
IMA Journal of Management Mathematics | 2012-08-30 | Paper |
Applications of copula theory in credit risk
Chinese Journal of Applied Probability and Statistics | 2012-06-01 | Paper |
Backward stochastic dynamics on a filtered probability space
The Annals of Probability | 2011-10-10 | Paper |
The valuation of the basket CDS in a primary-subsidiary model
Asia-Pacific Journal of Operational Research | 2011-05-11 | Paper |
A Functional Approach to FBSDEs and Its Application in Optimal Portfolios
| 2010-11-19 | Paper |
On Girsanov's transform for backward stochastic differential equations
| 2010-11-14 | Paper |
The credit risk and pricing of OTC options
Asia-Pacific Financial Markets | 2008-02-18 | Paper |
A monotone scheme for G-equations with application to the explicit convergence rate of robust central limit theorem
| N/A | Paper |
Representation of forward performance criteria with random endowment via FBSDE and application to forward optimized certainty equivalent
| N/A | Paper |
