2 papers
math.OC2025
Zero-sum Dynkin games under common and independent Poisson constraints
David Hobson, Gechun Liang, Edward Wang
Zero-sum Dynkin games under Poisson constraints, where players can only stop at the event times of a Poisson process, have been studied widely in the recent literature. The constra…
q-fin.MF2024
Callable convertible bonds under liquidity constraints and hybrid priorities
David Hobson, Gechun Liang, Edward Wang
This paper investigates the callable convertible bond problem in the presence of a liquidity constraint modelled by Poisson signals. We assume that neither the bondholder nor the f…