L
Lijun Bo
Researcher at University of Science and Technology of China
Publications - 108
Citations - 1157
Lijun Bo is an academic researcher from University of Science and Technology of China. The author has contributed to research in topics: Portfolio & Credit risk. The author has an hindex of 20, co-authored 102 publications receiving 1049 citations. Previous affiliations of Lijun Bo include Xidian University & Chinese Academy of Sciences.
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Markov-Modulated Jump-Diffusions for Currency Option Pricing
TL;DR: In this paper, the authors introduced dynamic models for the spot foreign exchange rate with capturing both the rare events and the time-inhomogeneity in the fluctuating currency market, and derived an integral expression on the prices of European-style currency options.
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Markov-modulated jump–diffusions for currency option pricing☆
TL;DR: In this article, the authors introduced dynamic models for the spot foreign exchange rate with capturing both the rare events and the time-inhomogeneity in the fluctuating currency market, and derived an integral expression on the prices of European-style currency options.
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An optimal portfolio problem in a defaultable market
TL;DR: In this article, the authors consider a portfolio optimization problem in a defaultable market, where an investor can dynamically choose a consumption rate and allocate his/her wealth among three financial securities: defaultable perpetual bonds, a default-free risky asset, and a money market account.
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Some Integral Functionals of Reflected Sdes and Their Applications in Finance
TL;DR: In this paper, a class of reflected stochastic differential equations (abbr. SDEs) are considered and the authors derive the Laplace transforms of those integral functionals, which are subsequently applied for the financial arguments.
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On the conditional default probability in a regulated market: a structural approach
TL;DR: In this paper, the authors focus on the CDP in a regulated (or controlled) market and propose a model to estimate the conditional default probability (CDP) in a controlled market.