5 citations · 17 across the 13 of their papers we have counts for
4 papers · 1 filter
Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading
Carol Alexander, Jun Deng, Bin Zou
We consider the hedging problem where a futures position can be automatically liquidated by the exchange without notice. We derive a semi-closed form for an optimal hedging strateg…
An Explicit Default Contagion Model and Its Application to Credit Derivatives Pricing
Dianfa Chen, Jun Deng, Jianfen Feng +1
We propose a novel credit default model that takes into account the impact of macroeconomic information and contagion effect on the defaults of obligors. We use a set-valued Markov…
Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization
Bin Zou, Abel Cadenillas
Motivated by the AIG bailout case in the financial crisis of 2007-2008, we consider an insurer who wants to maximize the expected utility of the terminal wealth by selecting optima…
Explicit Solutions of Optimal Consumption, Investment and Insurance Problem with Regime Switching
Bin Zou, Abel Cadenillas
We consider an investor who wants to select her/his optimal consumption, investment and insurance policies. Motivated by new insurance products, we allow not only the financial mar…