2 papers
q-fin.MF2025
Robust valuation and optimal harvesting of forestry resources in the presence of catastrophe risk and parameter uncertainty
Ankush Agarwal, Christian Ewald, Yihan Zou
We determine forest lease value and optimal harvesting strategies under model parameter uncertainty within stochastic bio-economic models that account for catastrophe risk. Catastr…
q-fin.MF2024
Efficient calibration of the shifted square-root diffusion model to credit default swap spreads using asymptotic approximations
Ankush Agarwal, Ying Liao
We derive a closed-form approximation for the credit default swap (CDS) spread in the two-dimensional shifted square-root diffusion (SSRD) model using asymptotic coefficient expans…