96, Jinzhai Road
Hefei, Anhui 230026
China
University of Science and Technology of China (USTC)
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
risk-sensitive control, cascading defaults, contagion, asset management
Fixed income investment, default decay, dynamic programming, parabolic PDEs
Interacting jump diffusions, Interbanking lending, Weak convergence, Systemic indicators, Time varying square root diffusions
Spot Foreign Exchange Rate, Rare Event, Time-Inhomogeneity, Esscher Transform, Currency Option
Conditional default probability, reflected Ornstein-Uhlenbeck process, default risk, inverse Laplace transform
Optimal stopping; Jump-diffusion; Pooled cryptomining; Hamilton-Jacobi-Bellman; Fintech
Risk model, Barrier strategy, Levy process, Two-sided jump, Time of ruin, Deficit, Expected discounted dividend, Optimal dividend barrier, Integro-differential operator, Double exponential distribution, Reflected jump-diffusions, Laplace transform
Reflected stochastic differential equation, integral functionals, Laplace transform, numerical inversion, conditional default probability, digital option
Conditional default probability, Defaultable bond, Credit spread, Regulated market, Regulated jump-diffusions
borrowing costs, credit risk, optimal investment
Target zone exchange rate, currency derivative pricing, bounded diffusion, Markov chain, realignment, Jacobi diffusion
counterparty risk, credit default swap, default clustering
Forward interest rate, Kernel-correlated L'evy field, HJM model, Derivative pricing
information driven contagion; stochastic control; Nonlinear filtering; Recursive HJB
investment/consumption problem, stochastic factors, martingale method
Errata, Risk model, Barrier strategy, Levy process, Two-sided jump, Optimal dividend barrier, Double exponential distribution, Reflected jump-diffusions
Reward-punishment, infectious models, optimal thresholds, decision making
Reward-punishment, infectious models, incentives-circuit breaker, optimal thresholds
