The editors of this special issue and several of the contributing authors have known Peter for a long time. We thought that the special issue will be enriched by adding a few personal notes and recollections about our interactions with Peter.

In this short paper, we study the asymptotics for the price of call options for very large strikes and put options for very small strikes. The stock price is assumed to follow the Black-Scholes models. We analyze European, Asian, American, Parisian and perpetual options and conclude that the...

Dual risk models are popular for modeling a venture capital or high-tech company, for which the running cost is deterministic and the profits arrive stochastically over time. Most of the existing literature on dual risk models concentrates on the optimal dividend strategies. In this paper, we...

In this short paper, we study the asymptotics for the price of call options for very large strikes and put options for very small strikes. The stock price is assumed to follow the Black-Scholes models. We analyze European, Asian, American, Parisian and perpetual options and conclude that the...

The dual risk model is a popular model in finance and insurance, which is mainly used to model the wealth process of a venture capital or high tech company. Optimal dividends have been extensively studied in the literature for the dual risk model. It is well known that the value function of this...

We develop approximate estimation methods for exponential random graph models (ERGMs), whose likelihood is proportional to an intractable normalizing constant. The usual approach approximates this constant with Monte Carlo simulations, however convergence may be exponentially slow. We propose a...

We obtain exact semi-explicit solutions to the optimal pricing problem for the multinomial logit (MNL) consumer choice model with network effects, through a novel conditioning argument and the use of the Lambert W function. Then we manage to characterize the exact optimal solution in the...

In recent literature, a new class of unbiased Monte Carlo estimators have been proposed, which is based on truncating a telescopic representation of the expectation of a functional of the stochastic process at an independent random level. The generality of the method lies in that it can...

We establish a novel duality relationship between continuous and discrete non-negative additive functionals of stochastic (not necessarily Markovian) processes and their right inverses. For general Markov processes, we further extend and develop a theoretical and computational framework for the...

This paper proposes a mutually exciting discrete-time stochastic model to capture two essential features underlying the bank-customer behavior process---the dependence on the past behavior (i.e., path-dependence) and the behavioral interdependence between deposit and withdrawal activities (i.e.,...