3 citations · 8 across the 3 of their papers we have counts for
3 papers
math.PR2018★ 2 cited
Explicit Asymptotics on First Passage Times of Diffusion Processes
Angelos Dassios, Luting Li
We introduce a unified framework for solving first passage times of time-homogeneous diffusion processes. According to the killed version potential theory and the perturbation theo…
q-fin.MF2018★ 3 cited
An Economic Bubble Model and Its First Passage Time
Angelos Dassios, Luting Li
We introduce a new diffusion process Xt to describe asset prices within an economic bubble cycle. The main feature of the process, which differs from existing models, is the drift…
q-fin.RM2018★ 3 cited
Capital allocation under the Fundamental Review of Trading Book
Luting Li, Hao Xing
Facing the FRTB, banks need to allocate their capital to each business units or risk positions to evaluate the capital efficiency of their strategies. This paper proposes two compu…