1 citations · 2 across the 5 of their papers we have counts for
5 papers
On Infectious Model for Dependent Defaults
Jia-Wen Gu, Wai-Ki Ching, Tak-Kuen Siu +1
In this paper, we propose a two-sector Markovian infectious model, which is an extension of Greenwood's model. The central idea of this model is that the causality of defaults of t…
On Reduced Form Intensity-based Model with Trigger Events
Jia-Wen Gu, Wai-Ki Ching, Tak-Kuen Siu +1
Corporate defaults may be triggered by some major market news or events such as financial crises or collapses of major banks or financial institutions. With a view to develop a mor…
Smooth Value Function with Applications in Wealth-CVaR Efficient Portfolio and Turnpike Property
Baojun Bian, Harry Zheng
In this paper we continue the study of Bian-Miao-Zheng (2011) and extend the results there to a more general class of utility functions which may be bounded and non-strictly-concav…
Constrained NonSmooth Utility Maximization on the Positive Real Line
Nicholas Westray, Harry Zheng
We maximize the expected utility of terminal wealth in an incomplete market where there are cone constraints on the investor's portfolio process and the utility function is not ass…
A la Carte of Correlation Models: Which One to Choose?
Harry Zheng
In this paper we propose a copula contagion mixture model for correlated default times. The model includes the well known factor, copula, and contagion models as its special cases.…