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薄立军 ( 教授 )
的个人主页 http://faculty.ustc.edu.cn/bolijun/zh_CN/index.htm
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论文成果当前位置：中文主页 >> 科学研究 >> 论文成果

[1] 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 ].
[2] Credit Portfolio Selection with Decaying Contagion Intensities, (with A. Capponi and P.C. Chen) Mathematical Finance, Vol. 29, 137-173, 2019 [ SSRN ].
[3] 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 ].
[4] Stochastic Delay Differential Equations with Jump Reflection: Invariant Measure, (with C.G. Yuan) Stochastics, Vol. 88, No. 6, pp. 841-863, 2016 [ arXiv ].
[5] Optimal Investment in Credit Derivatives Portfolio under Contagion Risk, (with A. Capponi) Mathematical Finance, Vol. 26, No. 4, pp. 785-834, 2016 [ SSRN ].
[6] Counterparty Risk for CDS: Default Clustering Effects, (with A. Capponi) Journal of Banking and Finance, Vol. 52, pp. 29-42, 2015 [ SSRN ].
[7] Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios, (with A. Capponi) Finance and Stochastics, Vol. 18, No. 2, pp. 431-482, 2014 [ SSRN ].
[8] 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.
[9] 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.
[10] 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.

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