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Optimal investment and risk control for an insurer with stochastic factor

Bo, Lijun; Wang, Shihua - In: Operations research letters 45 (2017) 3, pp. 259-265

Persistent link: https://www.econbiz.de/10011719330

Optimal investment in credit derivatives portfolio under contagion risk

Bo, Lijun; Capponi, Agostino - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 785-834

Persistent link: https://www.econbiz.de/10011583805

Robust optimization of credit portfolios

Bo, Lijun; Capponi, Agostino - In: Mathematics of operations research 42 (2017) 1, pp. 30-56

Persistent link: https://www.econbiz.de/10011654555

Optimal credit investment with borrowing costs

Bo, Lijun; Capponi, Agostino - In: Mathematics of operations research 42 (2017) 2, pp. 546-575

Persistent link: https://www.econbiz.de/10011684545

The pricing of basket options : a weak convergence approach

Bo, Lijun; Wang, Yongjin - In: Operations research letters 45 (2017) 2, pp. 119-125

Persistent link: https://www.econbiz.de/10011687623

Optimal credit investment and risk control for an insurer with regime-switching

Bo, Lijun; Liao, Huafu; Wang, Yongjin - In: Mathematics and financial economics 13 (2019) 1, pp. 147-172

Persistent link: https://www.econbiz.de/10012055756

Optimal investment of variance-swaps in jump-diffusion market with regime-switching

Bo, Lijun; Tang, Dan; Wang, Yongjin - In: Journal of economic dynamics & control 83 (2017), pp. 175-197

Persistent link: https://www.econbiz.de/10011915585

Risk-sensitive asset management and cascading defaults

Birge, John R.; Bo, Lijun; Capponi, Agostino - In: Mathematics of operations research 43 (2018) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10011818644

Counterparty risk for CDS: Default clustering effects

Bo, Lijun; Capponi, Agostino - In: Journal of Banking & Finance 52 (2015) C, pp. 29-42

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...

Persistent link: https://www.econbiz.de/10011209864

Letters to the Editor

Bo, Lijun; Zhang, Tusheng - In: The government accountants journal : financial … 58 (2009) 4, pp. 29-56

Persistent link: https://www.econbiz.de/10008343413