| Publication | Date of Publication | Type |
|---|
A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes
INFORMS Journal on Computing | 2021-06-23 | Paper |
International reserve management: a drift-switching reflected jump-diffusion model
Mathematical Finance | 2018-04-13 | Paper |
Optimal processing rate and buffer size of a jump-diffusion processing system
Annals of Operations Research | 2015-01-22 | Paper |
Smooth-pasting property on reflected Lévy processes and its applications in credit risk modeling
Science China. Mathematics | 2014-12-02 | Paper |
Erratum to ``Lévy risk model with two-sided jumps and a barrier dividend strategy
Insurance Mathematics & Economics | 2014-07-16 | Paper |
Credit Derivatives Pricing Based on Lévy Field Driven Term Structure
Stochastic Analysis and Applications | 2014-05-02 | Paper |
On the default probability in a regime-switching regulated market
Methodology and Computing in Applied Probability | 2014-04-14 | Paper |
On the conditional default probability in a regulated market with jump risk
Quantitative Finance | 2014-03-04 | Paper |
A new numerical scheme for a class of reflected stochastic differential equations
Monte Carlo Methods and Applications | 2014-02-11 | Paper |
On the conditional default probability in a regulated market: a structural approach
Quantitative Finance | 2013-12-13 | Paper |
Kernel-correlated Lévy field driven forward rate and application to derivative pricing
Applied Mathematics and Optimization | 2013-10-21 | Paper |
Optimal investment and consumption with default risk: HARA utility
Asia-Pacific Financial Markets | 2013-09-20 | Paper |
Optimal portfolio and consumption selection with default risk
Frontiers of Mathematics in China | 2013-04-10 | Paper |
First passage times of reflected generalized Ornstein-Uhlenbeck processes
Stochastics and Dynamics | 2013-03-05 | Paper |
The hitting time density for a reflected Brownian motion
Computational Economics | 2013-01-11 | Paper |
Stochastic portfolio optimization with default risk
Journal of Mathematical Analysis and Applications | 2012-11-22 | Paper |
Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes
Statistics & Probability Letters | 2012-08-30 | Paper |
A note on transition density for the reflected Ornstein-Uhlenbeck process
Statistics & Probability Letters | 2012-05-18 | Paper |
Lévy risk model with two-sided jumps and a barrier dividend strategy
Insurance Mathematics & Economics | 2012-04-18 | Paper |
Markov-modulated jump-diffusions for currency option pricing
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Derivative pricing based on the exchange rate in a target zone with realignment
International Journal of Theoretical and Applied Finance | 2011-11-22 | Paper |
First passage times of (reflected) Ornstein-Uhlenbeck processes over random jump boundaries
Journal of Applied Probability | 2011-10-25 | Paper |
Some integral functionals of reflected SDEs and their applications in finance
Quantitative Finance | 2011-04-28 | Paper |
An optimal portfolio problem in a defaultable market
Advances in Applied Probability | 2010-11-26 | Paper |
Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
Journal of Statistical Planning and Inference | 2010-10-22 | Paper |
