- Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching, (with H.F. Liao and X. Yu)
SIAM Journal on Control and Optimization, Vol. 57(1), 366-401, 2019 [ Arxiv ]
- Optimal Credit Investment and Risk Control for an Insurer with Regime-Switching, (with H.F. Liao and Y.J. Wang)
Mathematics and Financial Economics, Vol. 13(1), 147-172, 2019 [ arXiv ]
- Portfolio Choice with Market-Credit Risk Dependencies, (with A. Capponi)
SIAM Journal on Control and Optimization, Vol. 56, pp. 3050-3091, 2018 [ SSRN ]
- Credit Portfolio Selection with Decaying Contagion Intensities, (with A. Capponi and P.C. Chen)
Mathematical Finance, Vol. 29, 137-173, 2019 [ SSRN ]
- Risk Sensitive Asset Management and Cascading Defaults, (with J. Birge and A. Capponi)
Mathematics of Operations Research, Vol. 43, pp. 1-28, 2018 [ SSRN ]; Press Coverage: [ Chicago Booth Review ]
- Dynamic Investment and Counterparty Risk, (with A. Capponi)
Applied Mathematics and Optimization, Vol. 77, pp. 1-45, 2018
- Optimal Investment of Variance-Swaps in Jump-Diffusion Market with Regime-Switching, (with D. Tang and Y.J. Wang)
Journal of Economic Dynamics and Control, Vol. 83, pp. 175-197, 2017
- Optimal Investment and Risk Control for an Insurer with
Stochastic Factor, (with Shihua Wang)
Operations Research Letters, Vol. 45, No. 3, pp. 259-265, 2017 [ PDF ]
- The Pricing of Basket Options: A Weak Convergence Approach, (with Y.J. Wang)
Operations Research Letters, Vol. 45, No. 2, pp. 119-125, 2017 [ SSRN ]
- Optimal Investment under Information Driven Contagious Distress, (with A. Capponi)
SIAM Journal on Control and Optimization, Vol. 55, No. 2, pp. 1020–1068, 2017 [ SSRN ]
- Optimal Credit Investment with Borrowing Costs, (with A. Capponi)
Mathematics of Operations Research, Vol. 42, No. 2, pp. 546–575, 2017 [ SSRN ]
- Stochastic Delay Differential Equations with Jump Reflection: Invariant Measure, (with C.G. Yuan)
Stochastics, Vol. 88, No. 6, pp. 841-863, 2016 [ arXiv ]
- Stability in Distribution of Markov-Modulated Stochastic Differential Delay Equations with Reflection, (with C.G. Yuan)
Stochastic Models, Vol. 32, No. 3, pp. 392-413, 2016
- Robust Optimization of Credit Portfolios, (with A. Capponi)
Mathematics of Operations Research, Vol. 42, No. 1, pp. 30-56, 2017 [ SSRN ]
- Optimal Investment in Credit Derivatives Portfolio under Contagion Risk, (with A. Capponi)
Mathematical Finance, Vol. 26, No. 4, pp. 785-834, 2016 [ SSRN ]
- Systemic Risk in Interbanking Networks, (with A. Capponi)
SIAM Journal on Financial Mathematics, Vol. 6, pp. 386-424, 2015 [ SSRN ]
- Counterparty Risk for CDS: Default Clustering Effects, (with A. Capponi)
Journal of Banking and Finance, Vol. 52, pp. 29-42, 2015 [ SSRN ]
- Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios, (with A. Capponi)
Finance and Stochastics, Vol. 18, No. 2, pp. 431-482, 2014 [ SSRN ]
- On the Default Probability in a Regime-Switching Regulated Market, (with Y. Wang and X. Yang)
Methodology and Computing in Applied Probability, Vol. 16, No. 1, pp. 101-113, 2014
- Kernel Correlated Levy Field Driven Forward Rate and Application to Derivative Pricing, (with Y. Wang and X. Yang)
Applied Mathematics and Optimization, Vol. 16, No. 1, pp. 101-113, 2014
- Optimal Investment and Consumption with Default Risk: HARA Utility, (with Y. Wang and X. Yang)
Asia-Pacific Financial Market, Vol. 20, No. 3, pp. 261-281, 2013
- Large deviation for the nonlocal Kuramoto-Sivashinsky SPDE, (with Y. Jiang)
Nonlinear Analysis: Theory, Methods & Applications, Vol. 82, No. C, pp. 100-114, 2013
- On the Conditional Default Probability in a Regulated Market with Jump Risk, (with X. Li, Y. Wang and X. Yang)
Quantitative Finance, Vol. 13, No. 12, pp. 1967-1975, 2013
- First Passage Times of Reflected O-U Processes with Two-Sided Jumps
Queueing Systems: Theory and Applications, Vol. 73, No. 1, pp. 105-118, 2013
- Levy Risk Model with Two-Sided Jumps and A Barrier Dividend Strategy, (with R. Song, D. Tang, Y. Wang and X. Yang)
Insurance: Mathematics and Economics, Vol. 50, No. 2, pp. 280-291, 2012
- First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers, (with Chen Hao)
Journal of Applied Probability, Vol. 49, No. 4, pp. 1119-1133, 2012
- Derivative Pricing Based on the Exchange Rate in a Target Zone with Realignment, (with Y. Wang and X. Yang)
International Journal of Theoretical and Applied Finance, Vol. 14, No. 6, pp. 945-956, 2011
- Exponential Change of Measure Applied to Term Structures of Interest Rates and Exchange Rates
Insurance: Mathematics and Economics, Vol. 49, No. 2, pp. 216-225, 2011
- On the Conditional Default Probability in a Regulated Market: A Structural Approach, (with D. Tang, Y. Wang and X. Yang)
Quantitative Finance, Vol. 11, No. 12, pp. 1695-1702, 2011
- First Passage Times of (Reflected) Ornstein-Uhlenbeck Processes Over Random Jump Boundaries, (with Y. Wang and X. Yang)
Journal of Applied Probability, Vol. 48, No. 3, pp. 723-732, 2011
- Maximum Likelihood Estimation for Reflected Ornstein–Uhlenbeck Processes, (with Y. Wang, X. Yang and G. Zhang)
Journal of Statistical Planning and Inference, Vol. 141, No. 1, pp. 588-596, 2011
- Some Integral Functionals of Reflected SDEs and Their Applications in Finance, (with Y. Wang and X. Yang)
Quantitative Finance, Vol. 46, No. 3, pp. 461-469, 2010
- Markov-Modulated Jump–Diffusions for Currency Option Pricing, (with Y. Wang and X. Yang)
Insurance: Mathematics and Economics, Vol. 46, No. 3, pp. 461-469, 2010
- An Optimal Portfolio Problem in a Defaultable Market, (with Y. Wang and X. Yang)
Advances in Applied Probability, Vol. 42, No. 3, pp. 689-705, 2010
- Support Theorem for a Stochastic Cahn-Hilliard Equation, (with K. Shi and Y. Wang)
Electronic Journal of Probability, Vol. 15, No. 1, pp. 484-525, 2010
- On a Stochastic Wave Equation Driven by a Non-Gaussian Levy Process, (with K. Shi and Y. Wang)
Journal of Theoretical Probability, Vol. 23, No. 1, pp. 328-343, 2010
- Large Deviations for Perturbed Reflected Diffusion Processes, (with Tusehng Zhang)
Stochastics, Vol. 81, No. 6, pp. 531-543, 2009
- On a Class of Stochastic Anderson Models with Fractional Noises, (with Y. Jiang and Y. Wang)
Stochastic Analysis and Applications, Vol. 26, No. 2, pp. 256-273, 2008
- Lyapunov Exponent Estimates of A Class of Higher-Order Stochastic Anderson Models, (with D. Tang)
Proceedings of AMS, Vol. 136, No. 11, pp. 4033-4043, 2008
- Explosive Solutions of Stochastic Wave Equations with Damping on R^d, (with D. Tang and Y. Wang)
Journal of Differential Equations, Vol. 244, No. 1, pp. 170-187, 2008
- On the First Passage Times of Reflected OU Processes with Two-Sided Barriers, (with Y. Wang and L. Zhang)
Queueing Systems: Theory and Applications, Vol. 54, No. 4, pp. 313-316, 2006
- Stochastic Cahn–Hilliard Partial Differential Equations with Levy Spacetime White Noises, (with Y. Wang)
Stochastics and Dynamics, Vol. 6, No. 2, pp. 229-244, 2006
Proceedings
- Portfolio Optimization of Credit Swap under
Funding Costs,
to appear in Probability, Uncertainty and Quantitative Risk, pp. 1-23, 2017