| Publication | Date of Publication | Type |
|---|
A two-person zero-sum game approach for a retirement decision with borrowing constraints
SIAM Journal on Financial Mathematics | 2024-10-23 | Paper |
Human capital and portfolio choice: borrowing constraint and reversible retirement
Mathematics and Financial Economics | 2024-08-28 | Paper |
Dynamic asset allocation and consumption ratcheting with costs
Journal of Computational and Applied Mathematics | 2024-07-08 | Paper |
Optimal consumption and investment with welfare constraints
Finance and Stochastics | 2024-04-02 | Paper |
Variational inequality arising from variable annuity with mean reversion environment
Journal of Inequalities and Applications | 2023-12-21 | Paper |
Labor supply flexibility and portfolio selection with early retirement option
Applied Mathematics and Optimization | 2023-11-29 | Paper |
A model of retirement and consumption-portfolio choice
| 2023-11-23 | Paper |
Horizon effect on optimal retirement decision
Quantitative Finance | 2023-06-20 | Paper |
Optimal job switching and retirement decision
Applied Mathematics and Computation | 2023-04-21 | Paper |
Variable annuity with a surrender option under multiscale stochastic volatility
Japan Journal of Industrial and Applied Mathematics | 2023-01-17 | Paper |
Optimal retirement under partial information
Mathematics of Operations Research | 2022-09-26 | Paper |
Optimal long-term contracts with disability insurance under limited commitment
Insurance Mathematics & Economics | 2022-05-12 | Paper |
Intertemporal preference with loss aversion: consumption and risk-attitude
Journal of Economic Theory | 2022-04-08 | Paper |
Optimal finite horizon contract with limited commitment
Mathematics and Financial Economics | 2022-04-01 | Paper |
Finite horizon portfolio selection with durable goods
Mathematical Social Sciences | 2021-10-22 | Paper |
Finite horizon portfolio selection problem with a drawdown constraint on consumption
Journal of Mathematical Analysis and Applications | 2021-10-22 | Paper |
A problem of optimal switching and singular control with discretionary stopping in portfolio selection
| 2021-07-25 | Paper |
Portfolio selection with drawdown constraint on consumption: a generalization model
Mathematical Methods of Operations Research | 2021-07-14 | Paper |
Finite horizon portfolio selection problems with stochastic borrowing constraints
Journal of Industrial and Management Optimization | 2021-06-09 | Paper |
Optimal surrender time for a variable annuity with a fixed insurance fee
| 2021-06-03 | Paper |
Finite time-horizon optimal investment and consumption with time-varying subsistence consumption constraints
Japan Journal of Industrial and Applied Mathematics | 2021-05-04 | Paper |
Pricing variable annuity with surrender guarantee
Journal of Computational and Applied Mathematics | 2021-04-23 | Paper |
Dynamic asset allocation with consumption ratcheting post retirement
Applied Mathematics and Computation | 2021-03-12 | Paper |
An integral equation approach for optimal investment policies with partial reversibility
Chaos, Solitons and Fractals | 2020-11-27 | Paper |
Valuing vulnerable geometric Asian options
Computers & Mathematics with Applications | 2020-10-11 | Paper |
Analytic solution for American strangle options using Laplace-Carson transforms
Communications in Nonlinear Science and Numerical Simulation | 2020-10-07 | Paper |
An integral equation representation approach for valuing Russian options with a finite time horizon
Communications in Nonlinear Science and Numerical Simulation | 2020-09-15 | Paper |
Optimal retirement and portfolio selection with consumption ratcheting
Mathematics and Financial Economics | 2020-06-18 | Paper |
Efficient valuation of a variable annuity contract with a surrender option
Japan Journal of Industrial and Applied Mathematics | 2020-02-28 | Paper |
Pricing of fixed-strike lookback options on assets with default risk
Mathematical Problems in Engineering | 2020-02-20 | Paper |
\((1+2)\)-dimensional Black-Scholes equations with mixed boundary conditions
Communications on Pure and Applied Analysis | 2020-01-10 | Paper |
Ratcheting with a bliss level of consumption
Optimization Letters | 2019-10-18 | Paper |
Analytic valuation of European continuous-installment barrier options
Journal of Computational and Applied Mathematics | 2019-07-26 | Paper |
Finite horizon portfolio selection with a negative wealth constraint
Journal of Computational and Applied Mathematics | 2019-06-20 | Paper |
Finite-horizon optimal consumption and investment problem with a preference change
Journal of Mathematical Analysis and Applications | 2019-02-21 | Paper |
Valuation of American strangle option: variational inequality approach
Discrete and Continuous Dynamical Systems. Series B | 2019-01-11 | Paper |
Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
Insurance Mathematics & Economics | 2018-11-19 | Paper |
Discount barrier option pricing with a stochastic interest rate: Mellin transform techniques and method of images
| 2018-08-24 | Paper |
Portfolio selection with consumption ratcheting
Journal of Economic Dynamics and Control | 2018-08-13 | Paper |
The pricing of dynamic fund protection with default risk
Journal of Computational and Applied Mathematics | 2018-01-11 | Paper |
A simple and fast method for valuing American knock-out options with rebates
Chaos, Solitons and Fractals | 2017-11-24 | Paper |
An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model
Journal of Mathematical Analysis and Applications | 2017-01-17 | Paper |
Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation
Journal of Computational and Applied Mathematics | 2016-11-22 | Paper |
Pricing vulnerable path-dependent options using integral transforms
Journal of Computational and Applied Mathematics | 2016-11-22 | Paper |
Pricing external-chained barrier options with exponential barriers
Bulletin of the Korean Mathematical Society | 2016-10-26 | Paper |
A closed-form solution for lookback options using Mellin transform approach
East Asian mathematical journal | 2016-07-14 | Paper |
