Lijun Bo

Xidian University

Xi'an Chang'an two hundred ten National Road

Xian, Shaanxi Province

China

  • Xidian University

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

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1.

Optimal Investment in Credit Derivatives Portfolio Under Contagion Risk

Mathematical Finance. Forthcoming
Number of pages: 39 Posted: 20 Oct 2013 Last Revised: 14 Feb 2014
Lijun Bo and Agostino Capponi
Xidian University and Columbia University - Department of Industrial Engineering and Operations Research
Downloads 360 (181,334)
Citation 5

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Credit Default Swaps, Contagion Risk, Interacting Default Intensities, Dynamic Portfolio Optimization

2.

Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios

Finance Stochastics, Forthcoming
Number of pages: 37 Posted: 16 Jul 2013 Last Revised: 05 Aug 2013
Lijun Bo and Agostino Capponi
Xidian University and Columbia University - Department of Industrial Engineering and Operations Research
Downloads 194 (340,060)

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Bilateral counterparty valuation adjustment, weak convergence, doubly stochastic processes, credit default swaps