We derive a closed-form expression for the bilateral credit valuation adjustment of a credit default swap in presence of simultaneous defaults. We develop our analysis under a default intensity model specified by a class of three-dimensional subordinators, allowing for default dependence through...

We obtain an explicit formula for the bilateral counterparty valuation adjustment of a credit default swaps portfolio referencing an asymptotically large number of entities. We perform the analysis under a doubly stochastic intensity framework, allowing for default correlation through a common...

We obtain an explicit formula for the bilateral counterparty valuation adjustment of a credit default swaps portfolio referencing an asymptotically large number of entities. We perform the analysis under a doubly stochastic intensity framework, allowing default correlation through a common jump...

In this paper, we consider a portfolio optimization problem in a defaultable market. The representative investor dynamically allocates his or her wealth among the following securities: a perpetual defaultable bond, a money market account and a default-free risky asset. The optimal investment and...

<title>Abstract</title>In this paper, we introduce tractable dynamic models for financial variables (such as interest rates, foreign exchange rates, commodity prices, etc.) with capturing both jump risk and boundedness of the price fluctuation in a regulated market. For the jump risk, we use a compound Poisson...

In this paper, we investigate a sequential maximum likelihood estimator of the unknown drift parameter for a class of reflected generalized Ornstein–Uhlenbeck processes driven by spectrally positive Lévy processes. In both of the cases of negative drift and positive drift, we prove that the...

In this paper, we consider a general Lévy risk model with two-sided jumps and a constant dividend barrier. We connect the ruin problem of the ex-dividend risk process with the first passage problem of the Lévy process reflected at its running maximum. We prove that if the positive jumps of the...

This paper introduces dynamic models for the spot foreign exchange rate with capturing both the rare events and the time-inhomogeneity in the fluctuating currency market. For the rare events, we use a compound Poisson process with log-normal jump amplitude to describe the jumps. As for the...

We propose a tractable model for the exchange rate in a target zone with realignment. The target zone exchange rate dynamics is assumed to obey a bounded regular diffusion with two-sided unattainable barriers. The realignment is modeled as a continuous-time two-state Markov chain. Under the...