Lijun Bo

University of Science and Technology of China (USTC)

96, Jinzhai Road

Hefei, Anhui 230026

China

  • University of Science and Technology of China (USTC)

SCHOLARLY PAPERS

17

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18

Scholarly Papers (17)

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1.

Risk Sensitive Asset Management and Cascading Defaults

Forthcoming, Mathematics of Operations Research
Number of pages: 35 Posted: 20 Apr 2016 Last Revised: 22 Feb 2017
John R. Birge, Lijun Bo and Agostino Capponi
University of Chicago - Booth School of Business, University of Science and Technology of China (USTC) and Columbia University
Downloads 244 (130,329)

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risk-sensitive control, cascading defaults, contagion, asset management

2.

Markov-Modulated Jump-Diffusions for Currency Option Pricing

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 17 Posted: 10 Apr 2011
Xuewei Yang, Yongjin Wang and Lijun Bo
Nanjing University - School of Management and Engineering, Nankai University - Business School and University of Science and Technology of China (USTC)
Downloads 223 (142,253)

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Spot Foreign Exchange Rate, Rare Event, Time-Inhomogeneity, Esscher Transform, Currency Option

3.

On the Conditional Default Probability in a Regulated Market: A Structural Approach

Quantitative Finance, Forthcoming
Number of pages: 18 Posted: 04 May 2010 Last Revised: 14 Jun 2017
Lijun Bo, Dan Tang, Yongjin Wang and Xuewei Yang
University of Science and Technology of China (USTC), Nankai University - School of Mathematical Sciences, Nankai University - Business School and Nanjing University - School of Management and Engineering
Downloads 206 (153,387)

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Conditional default probability, reflected Ornstein-Uhlenbeck process, default risk, inverse Laplace transform

4.

Credit Portfolio Selection with Decaying Contagion Intensities

Downloads 195 (161,451)

Credit Portfolio Selection with Decaying Contagion Intensities

Mathematical Finance, Forthcoming
Number of pages: 30 Posted: 26 Sep 2015 Last Revised: 19 Oct 2017
Lijun Bo, Agostino Capponi and Peng-Chu Chen
University of Science and Technology of China (USTC), Columbia University and The University of Hong Kong
Downloads 194 (162,061)

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Fixed income investment, default decay, dynamic programming, parabolic PDEs

Credit Portfolio Selection with Decaying Contagion Intensities

Mathematical Finance, Vol. 29, Issue 1, pp. 137-173, 2019
Number of pages: 37 Posted: 11 Jan 2019
Lijun Bo, Agostino Capponi and Peng‐Chu Chen
University of Science and Technology of China (USTC), Columbia University and The University of Hong Kong
Downloads 1 (707,772)
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decay of default intensities, dynamic programming, fixed‐income investment, parabolic PDEs

5.

Systemic Risk in Interbanking Networks

SIAM Journal on Financial Mathematics. Forthcoming
Number of pages: 30 Posted: 03 Apr 2015 Last Revised: 15 Feb 2016
Lijun Bo and Agostino Capponi
University of Science and Technology of China (USTC) and Columbia University
Downloads 194 (162,197)

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Interacting jump diffusions, Interbanking lending, Weak convergence, Systemic indicators, Time varying square root diffusions

6.

Robust Optimization of Credit Portfolios

Mathematics of Operations Research, Forthcoming
Number of pages: 29 Posted: 18 Jan 2016
Lijun Bo and Agostino Capponi
University of Science and Technology of China (USTC) and Columbia University
Downloads 193 (162,936)

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7.

Levy Risk Model with Two-Sided Jumps and a Barrier Dividend Strategy

Insurance: Mathematics and Economics, Vol. 50, No. 2, 2012
Number of pages: 28 Posted: 11 Sep 2011 Last Revised: 04 Feb 2014
Xuewei Yang, Lijun Bo, Renming Song, Dan Tang and Yongjin Wang
Nanjing University - School of Management and Engineering, University of Science and Technology of China (USTC), affiliation not provided to SSRN, affiliation not provided to SSRN and Nankai University - Business School
Downloads 146 (207,516)

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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

8.

Some Integral Functionals of Reflected Sdes and Their Applications in Finance

Quantitative Finance, 11(3): 343--348, March 2011.
Number of pages: 10 Posted: 15 Jun 2011 Last Revised: 14 Jun 2017
Xuewei Yang, Lijun Bo and Yongjin Wang
Nanjing University - School of Management and Engineering, University of Science and Technology of China (USTC) and Nankai University - Business School
Downloads 141 (213,447)

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Reflected stochastic differential equation, integral functionals, Laplace transform, numerical inversion, conditional default probability, digital option

9.

On the Conditional Default Probability in a Regulated Market with Jump Risk

Quantitative Finance, 13(12): 1967-1975, December 2013.
Number of pages: 17 Posted: 26 Jun 2013 Last Revised: 14 Jun 2017
Lijun Bo, Xindan Li, Yongjin Wang and Xuewei Yang
University of Science and Technology of China (USTC), Nanjing University, Nankai University - Business School and Nanjing University - School of Management and Engineering
Downloads 124 (236,041)

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Conditional default probability, Defaultable bond, Credit spread, Regulated market, Regulated jump-diffusions

10.

Derivative Pricing Based on the Exchange Rate in a Target Zone with Realignment

International Journal of Theoretical and Applied Finance (IJTAF), Forthcoming
Number of pages: 13 Posted: 06 May 2011
Xuewei Yang, Lijun Bo and Yongjin Wang
Nanjing University - School of Management and Engineering, University of Science and Technology of China (USTC) and Nankai University - Business School
Downloads 89 (296,369)

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Target zone exchange rate, currency derivative pricing, bounded diffusion, Markov chain, realignment, Jacobi diffusion

11.

Optimal Credit Investment with Borrowing Costs

Forthcoming in Mathematics of Operations Research
Number of pages: 36 Posted: 26 Aug 2016
Lijun Bo and Agostino Capponi
University of Science and Technology of China (USTC) and Columbia University
Downloads 87 (300,673)

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borrowing costs, credit risk, optimal investment

12.

Optimal Investment under Information Driven Contagious Distress

SIAM Journal on Control and Optimization, Forthcoming
Number of pages: 36 Posted: 21 Sep 2015 Last Revised: 19 Dec 2016
Lijun Bo and Agostino Capponi
University of Science and Technology of China (USTC) and Columbia University
Downloads 70 (341,477)

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information driven contagion; stochastic control; Nonlinear filtering; Recursive HJB

13.

Errata on 'Levy Risk Model with Two-Sided Jumps and a Barrier Dividend Strategy'

Insurance: Mathematics and Economics, 50(2): 280-291, 2012
Number of pages: 4 Posted: 03 Apr 2012
Xuewei Yang, Lijun Bo, Renming Song, Dan Tang and Yongjin Wang
Nanjing University - School of Management and Engineering, University of Science and Technology of China (USTC), affiliation not provided to SSRN, University of International Business and Economics (UIBE) and Nankai University - Business School
Downloads 59 (372,944)

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Errata, Risk model, Barrier strategy, Levy process, Two-sided jump, Optimal dividend barrier, Double exponential distribution, Reflected jump-diffusions

14.

Kernel-Correlated Levy Field Driven Forward Rate and Application to Derivative Pricing

Applied Mathematics and Optimization, Forthcoming
Number of pages: 20 Posted: 26 Jun 2013 Last Revised: 09 Dec 2015
Lijun Bo, Yongjin Wang and Xuewei Yang
University of Science and Technology of China (USTC), Nankai University - Business School and Nanjing University - School of Management and Engineering
Downloads 58 (376,017)

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Forward interest rate, Kernel-correlated L'evy field, HJM model, Derivative pricing

15.

Counterparty Risk for CDS: Default Clustering Effects

Journal of Banking and Finance, Vol. 52, pp. 29-42, February 2015
Number of pages: 25 Posted: 26 Feb 2016 Last Revised: 05 Mar 2016
Lijun Bo and Agostino Capponi
University of Science and Technology of China (USTC) and Columbia University
Downloads 57 (379,305)

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counterparty risk, credit default swap, default clustering

16.

Portfolio Choice with Market-Credit Risk Dependencies

SIAM Journal on Control and Optimization, Forthcoming
Number of pages: 38 Posted: 27 Jun 2018
Lijun Bo and Agostino Capponi
University of Science and Technology of China (USTC) and Columbia University
Downloads 38 (448,494)

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investment/consumption problem, stochastic factors, martingale method

17.

Stochastic Dynamic Product Search

Number of pages: 32 Posted: 08 Feb 2020
Lijun Bo, Meng Li and Tingting Zhang
University of Science and Technology of China (USTC), Rutgers, The State University of New Jersey - Management and University of Science and Technology of China (USTC)
Downloads 14 (578,201)

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search intensity; stochastic dynamic search; optimal stopping; asymptotic solution