64 citations · 258 across the 10 of their papers we have counts for
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q-fin.PR2016
Stock loans with liquidation
Parsiad Azimzadeh
We derive a "semi-analytic" solution for a stock loan in which the lender forces liquidation when the loan-to-collateral ratio drops beneath a certain threshold. We use this to stu…
q-fin.PR2015★ 42 cited
The existence of optimal bang-bang controls for GMxB contracts
Parsiad Azimzadeh, Peter A. Forsyth
A large collection of financial contracts offering guaranteed minimum benefits are often posed as control problems, in which at any point in the solution domain, a control is able…