56 citations · 102 across the 5 of their papers we have counts for
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q-fin.MF2017★ 26 cited
A Unified Approach for Drawdown (Drawup) of Time-Homogeneous Markov Processes
David Landriault, Bin Li, Hongzhong Zhang
Drawdown (resp. drawup) of a stochastic process, also referred as the reflected process at its supremum (resp. infimum), has wide applications in many areas including financial ris…
q-fin.MF2015★ 56 cited
On magnitude, asymptotics and duration of drawdowns for Lévy models
David Landriault, Bin Li, Hongzhong Zhang
This paper considers magnitude, asymptotics and duration of drawdowns for some Lévy processes. First, we revisit some existing results on the magnitude of drawdowns for spectrally…