3 citations · 4 across the 5 of their papers we have counts for
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q-fin.MF2022★ 1 cited
Credit Valuation Adjustment with Replacement Closeout: Theory and Algorithms
Chaofan Sun, Ken Seng Tan, Wei Wei
The replacement closeout convention has drawn more and more attention since the 2008 financial crisis. Compared with the conventional risk-free closeout, the replacement closeout c…
q-fin.MF2018
Failure of Smooth Pasting Principle and Nonexistence of Equilibrium Stopping Rules under Time-Inconsistency
Ken Seng Tan, Wei Wei, Xun Yu Zhou
This paper considers a time-inconsistent stopping problem in which the inconsistency arises from non-constant time preference rates. We show that the smooth pasting principle, the…