| Publication | Date of Publication | Type |
|---|
On Decomposition of the Last Passage Time of Diffusions
| 2022-10-03 | Paper |
Time reversal and last passage time of diffusions with applications to credit risk management
Finance and Stochastics | 2020-08-03 | Paper |
A direct solution method for pricing options in regime-switching models
Mathematical Finance | 2020-05-14 | Paper |
A direct solution method for pricing options involving the maximum process
Finance and Stochastics | 2017-10-23 | Paper |
Explicit Solutions for Optimal Stopping of Linear Diffusion and its Maximum
| 2016-09-10 | Paper |
An Excursion-Theoretic Approach to Regulator’s Bank Reorganization Problem
Operations Research | 2015-11-06 | Paper |
Explicit Solutions for Optimal Stopping of Maximum Process with Absorbing Boundary that Varies with It
| 2015-09-28 | Paper |
Phase-type Fitting of scale functions for spectrally negative Lévy processes
Journal of Computational and Applied Mathematics | 2014-07-16 | Paper |
On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models
Advances in Applied Probability | 2014-05-09 | Paper |
Precautionary measures for credit risk management in jump models
Stochastics | 2014-04-25 | Paper |
Optimal Stopping When the Absorbing Boundary is Following After
| 2013-08-02 | Paper |
Default swap games driven by spectrally negative Lévy processes
Stochastic Processes and their Applications | 2013-01-24 | Paper |
Optimal stopping problems for asset management
Advances in Applied Probability | 2012-11-02 | Paper |
On the One-Dimensional Optimal Switching Problem
Mathematics of Operations Research | 2011-04-27 | Paper |
An analysis of monotone follower problems for diffusion processes
Mathematics of Operations Research | 2011-04-27 | Paper |
A game options approach to the investment problem with convertible debt financing
Journal of Economic Dynamics and Control | 2010-09-07 | Paper |
A unified treatment of dividend payment problems under fixed cost and implementation delays
Mathematical Methods of Operations Research | 2010-04-23 | Paper |
A continuous-time search model with job switch and jumps
Mathematical Methods of Operations Research | 2009-11-25 | Paper |
A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions
SIAM Journal on Control and Optimization | 2009-05-27 | Paper |
Optimal reinsurance strategy under fixed cost and delay
Stochastic Processes and their Applications | 2009-04-02 | Paper |
Indifference prices of structured catastrophe (CAT) bonds
Insurance Mathematics & Economics | 2009-01-28 | Paper |
Optimizing venture capital investments in a jump diffusion model
Mathematical Methods of Operations Research | 2008-04-23 | Paper |
A Direct Method for Solving Optimal Switching Problems of One-Dimensional Diffusions
| 2007-04-09 | Paper |
The effects of implementation delay on decision-making under uncertainty
Stochastic Processes and their Applications | 2007-02-26 | Paper |
