Lijun Bo

University of Science and Technology of China (USTC)

96, Jinzhai Road

Hefei, Anhui 230026

China

SCHOLARLY PAPERS

16

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CITATIONS
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Top 37,776

in Total Papers Citations

9

Scholarly Papers (16)

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
University of Chicago - Booth School of Business, University of Science and Technology of China (USTC) and Columbia University
Downloads 233 (129,592)
Citation 1

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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 219 (137,589)
Citation 1

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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
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 205 (146,449)
Citation 4

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

4.

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 191 (156,394)
Citation 2

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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 190 (157,164)
Citation 5

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

Credit Portfolio Selection with Decaying Contagion Intensities

Mathematical Finance, Forthcoming
Number of pages: 30 Posted: 26 Sep 2015 Last Revised: 19 Oct 2017
University of Science and Technology of China (USTC), Columbia University and The University of Hong Kong
Downloads 173 (171,045)

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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
University of Science and Technology of China (USTC), Columbia University and The University of Hong Kong
Downloads 1 (675,327)
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decay of default intensities, dynamic programming, fixed‐income investment, parabolic PDEs

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
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 144 (199,549)
Citation 3

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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 (202,959)
Citation 5

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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
University of Science and Technology of China (USTC), Nanjing University, Nankai University - Business School and Nanjing University - School of Management and Engineering
Downloads 123 (225,923)

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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 (282,209)
Citation 1

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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 84 (292,554)

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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 68 (330,273)

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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
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 58 (358,037)

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

14.

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 56 (364,135)

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counterparty risk, credit default swap, default clustering

15.

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 56 (364,135)

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

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 31 (456,654)

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investment/consumption problem, stochastic factors, martingale method