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risk-sensitive control, cascading defaults, contagion, asset management
Spot Foreign Exchange Rate, Rare Event, Time-Inhomogeneity, Esscher Transform, Currency Option
Conditional default probability, reflected Ornstein-Uhlenbeck process, default risk, inverse Laplace transform
Interacting jump diffusions, Interbanking lending, Weak convergence, Systemic indicators, Time varying square root diffusions
Fixed income investment, default decay, dynamic programming, parabolic PDEs
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decay of default intensities, dynamic programming, fixed‐income investment, parabolic PDEs
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
Target zone exchange rate, currency derivative pricing, bounded diffusion, Markov chain, realignment, Jacobi diffusion
borrowing costs, credit risk, optimal investment
information driven contagion; stochastic control; Nonlinear filtering; Recursive HJB
Errata, Risk model, Barrier strategy, Levy process, Two-sided jump, Optimal dividend barrier, Double exponential distribution, Reflected jump-diffusions
counterparty risk, credit default swap, default clustering
Forward interest rate, Kernel-correlated L'evy field, HJM model, Derivative pricing
investment/consumption problem, stochastic factors, martingale method
