Risk-Sensitive Asset Management and Cascading Defaults.
- Published in:
- Mathematics of Operations Research, 2018, v. 43, n. 1, p. 1, doi. 10.1287/moor.2017.0856
- By:
- Publication type:
- Article
Works matching AU Bo, Lijun
Results: 38
1
2
Robust Optimization of Credit Portfolios.
- Published in:
- Mathematics of Operations Research, 2017, v. 42, n. 1, p. 30, doi. 10.1287/moor.2016.0790
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- Publication type:
- Article
3
Credit Derivatives Pricing Based on Lévy Field Driven Term Structure.
- Published in:
- Stochastic Analysis & Applications, 2014, v. 32, n. 2, p. 229, doi. 10.1080/07362994.2014.858533
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- Publication type:
- Article
4
On a Class of Stochastic Anderson Models with Fractional Noises.
- Published in:
- Stochastic Analysis & Applications, 2008, v. 26, n. 2, p. 256, doi. 10.1080/07362990701857095
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- Publication type:
- Article
5
Stability in distribution of Markov-modulated stochastic differential delay equations with reflection.
- Published in:
- Stochastic Models, 2016, v. 32, n. 3, p. 392, doi. 10.1080/15326349.2016.1155463
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- Publication type:
- Article
6
Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing.
- Published in:
- Quantitative Finance, 2021, v. 21, n. 7, p. 1187, doi. 10.1080/14697688.2020.1844283
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- Publication type:
- Article
7
On the conditional default probability in a regulated market with jump risk.
- Published in:
- Quantitative Finance, 2013, v. 13, n. 12, p. 1967, doi. 10.1080/14697688.2013.815795
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- Publication type:
- Article
8
On the conditional default probability in a regulated market: a structural approach.
- Published in:
- Quantitative Finance, 2011, v. 11, n. 12, p. 1695, doi. 10.1080/14697680903473278
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- Publication type:
- Article
9
Some integral functionals of reflected SDEs and their applications in finance.
- Published in:
- Quantitative Finance, 2011, v. 11, n. 3, p. 343, doi. 10.1080/14697681003785926
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- Publication type:
- Article
10
First passage times of reflected Ornstein-Uhlenbeck processes with two-sided jumps.
- Published in:
- Queueing Systems, 2013, v. 73, n. 1, p. 105, doi. 10.1007/s11134-012-9308-8
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- Publication type:
- Article
11
DERIVATIVE PRICING BASED ON THE EXCHANGE RATE IN A TARGET ZONE WITH REALIGNMENT.
- Published in:
- International Journal of Theoretical & Applied Finance, 2011, v. 14, n. 6, p. 945, doi. 10.1142/S0219024911006796
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- Publication type:
- Article
12
Stochastic delay differential equations with jump reflection: invariant measure.
- Published in:
- Stochastics: An International Journal of Probability & Stochastic Processes, 2016, v. 88, n. 6, p. 841, doi. 10.1080/17442508.2016.1149589
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- Publication type:
- Article
13
Large deviations for perturbed reflected diffusion processes.
- Published in:
- Stochastics: An International Journal of Probability & Stochastic Processes, 2009, v. 81, n. 6, p. 531, doi. 10.1080/17442500801981084
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- Publication type:
- Article
14
FIRST PASSAGE TIMES OF CONSTANTELASTICITY- OF-VARIANCE PROCESSES WITH TWO-SIDED REFLECTING BARRIERS.
- Published in:
- Journal of Applied Probability, 2012, v. 49, n. 4, p. 1119, doi. 10.1239/jap/1354716661
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- Publication type:
- Article
15
FIRST PASSAGE TIMES OF (REFLECTED) ORNSTEIN-UHLENBECK PROCESSES OVER RANDOM JUMP BOUNDARIES.
- Published in:
- Journal of Applied Probability, 2011, v. 48, n. 3, p. 723, doi. 10.1239/jap/1316796910
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- Publication type:
- Article
16
Evaluation Timing with Dynamic Information: Optimization and Heuristic.
- Published in:
- Production & Operations Management, 2023, v. 32, n. 12, p. 3931, doi. 10.1111/poms.14070
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- Publication type:
- Article
17
Locally Risk-Minimizing Hedging of Counterparty Risk for Portfolio of Credit Derivatives.
- Published in:
- Applied Mathematics & Optimization, 2020, v. 82, n. 2, p. 799, doi. 10.1007/s00245-018-9549-y
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- Publication type:
- Article
18
Dynamic Investment and Counterparty Risk.
- Published in:
- Applied Mathematics & Optimization, 2018, v. 77, n. 1, p. 1, doi. 10.1007/s00245-016-9364-2
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- Publication type:
- Article
19
Kernel-Correlated Lévy Field Driven Forward Rate and Application to Derivative Pricing.
- Published in:
- Applied Mathematics & Optimization, 2013, v. 68, n. 1, p. 21, doi. 10.1007/s00245-013-9196-2
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- Publication type:
- Article
20
On the Default Probability in a Regime-Switching Regulated Market.
- Published in:
- Methodology & Computing in Applied Probability, 2014, v. 16, n. 1, p. 101, doi. 10.1007/s11009-012-9301-z
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- Publication type:
- Article
21
Jump type Cahn-Hilliard equations with fractional noises.
- Published in:
- Chinese Annals of Mathematics, 2008, v. 29, n. 6, p. 663, doi. 10.1007/s11401-007-0293-x
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- Publication type:
- Article
22
Ketamine destabilizes growth of dendritic spines in developing hippocampal neurons in vitro via a Rho-dependent mechanism.
- Published in:
- Molecular Medicine Reports, 2018, v. 18, n. 6, p. 5037, doi. 10.3892/mmr.2018.9531
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- Publication type:
- Article
23
<i>In Vitro</i> Dose-Dependent Inhibition of the Intracellular Spontaneous Calcium Oscillations in Developing Hippocampal Neurons by Ketamine.
- Published in:
- PLoS ONE, 2013, v. 8, n. 3, p. 1, doi. 10.1371/journal.pone.0059804
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- Publication type:
- Article
24
Optimal portfolio and consumption selection with default risk.
- Published in:
- Frontiers of Mathematics in China, 2012, v. 7, n. 6, p. 1019, doi. 10.1007/s11464-012-0224-3
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- Publication type:
- Article
25
Higher-order stochastic partial differential equations with branching noises.
- Published in:
- Frontiers of Mathematics in China, 2008, v. 3, n. 1, p. 15, doi. 10.1007/s11464-008-0006-0
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- Publication type:
- Article
26
Strong comparison result for a class of reflected stochastic differential equations with non-Lipschitzian coefficients.
- Published in:
- Frontiers of Mathematics in China, 2007, v. 2, n. 1, p. 73, doi. 10.1007/s11464-007-0005-6
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- Publication type:
- Article
27
Optimal Investment and Consumption with Default Risk: HARA Utility.
- Published in:
- Asia-Pacific Financial Markets, 2013, v. 20, n. 3, p. 261, doi. 10.1007/s10690-013-9167-2
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- Publication type:
- Article
28
The efficacy of preemptive multimodal analgesia in elderly patients undergoing laparoscopic colorectal surgery: a randomized controlled trial.
- Published in:
- Scientific Reports, 2024, v. 14, n. 1, p. 1, doi. 10.1038/s41598-024-75720-7
- By:
- Publication type:
- Article
29
The Effect of Low-Dose Dexmedetomidine on Perioperative Neurocognitive Dysfunction in Elderly Patients Undergoing Endoscopic Retrograde Cholangiopancreatography (ERCP): A Randomized, Controlled, Double-Blind Trial.
- Published in:
- Drug Design, Development & Therapy, 2024, v. 18, p. 3715, doi. 10.2147/DDDT.S470514
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- Publication type:
- Article
30
Protective Effect of Sufentanil against Myocardial Ischemia Reperfusion Injury in Rats.
- Published in:
- Pakistan Journal of Zoology, 2024, v. 56, n. 2, p. 837, doi. 10.17582/journal.pjz/20220729150752
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- Publication type:
- Article
31
Cat scratch disease with generalized bone lesions in an immunocompetent child.
- Published in:
- 2022
- By:
- Publication type:
- Letter
32
Bilateral credit valuation adjustment for large credit derivatives portfolios.
- Published in:
- Finance & Stochastics, 2014, v. 18, n. 2, p. 431, doi. 10.1007/s00780-013-0217-4
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- Publication type:
- Article
33
Credit portfolio selection with decaying contagion intensities.
- Published in:
- Mathematical Finance, 2019, v. 29, n. 1, p. 137, doi. 10.1111/mafi.12177
- By:
- Publication type:
- Article
34
OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK.
- Published in:
- Mathematical Finance, 2016, v. 26, n. 4, p. 785, doi. 10.1111/mafi.12074
- By:
- Publication type:
- Article
35
FIRST PASSAGE TIMES OF REFLECTED GENERALIZED ORNSTEIN-UHLENBECK PROCESSES.
- Published in:
- Stochastics & Dynamics, 2013, v. 13, n. 1, p. -1, doi. 10.1142/S0219493712500141
- By:
- Publication type:
- Article
36
STOCHASTIC CAHN–HILLIARD EQUATION WITH FRACTIONAL NOISE.
- Published in:
- Stochastics & Dynamics, 2008, v. 8, n. 4, p. 643, doi. 10.1142/S0219493708002500
- By:
- Publication type:
- Article
37
ON A NONLOCAL STOCHASTIC KURAMOTO–SIVASHINSKY EQUATION WITH JUMPS.
- Published in:
- Stochastics & Dynamics, 2007, v. 7, n. 4, p. 439, doi. 10.1142/S0219493707002104
- By:
- Publication type:
- Article
38
STOCHASTIC CAHN–HILLIARD PARTIAL DIFFERENTIAL EQUATIONS WITH LÉVY SPACETIME WHITE NOISES.
- Published in:
- Stochastics & Dynamics, 2006, v. 6, n. 2, p. 229, doi. 10.1142/S0219493706001736
- By:
- Publication type:
- Article