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20092023
most citedOn a Stochastic Wave Equation Driven by a Non-Gaussian Levy Process

9 citations · 20 across the 22 of their papers we have counts for

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Showing 2013Show all

2 papers · 1 filter

q-fin.PR2013★ 5 cited

Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios

Lijun Bo, Agostino Capponi

We obtain an explicit formula for the bilateral counterparty valuation adjustment of a credit default swaps portfolio referencing an asymptotically large number of entities. We per…

math.PR2013

Stochastic Delay Differential Equations with Jump Reflection: Invariant Measure

Lijun Bo, Chenggui Yuan

In this paper, we consider a class of multi-dimensional stochastic delay differential equations with jump reflection. Based on existence and uniqueness of the strong solution to th…