Details about Lijun Bo

Access statistics for papers by Lijun Bo.

Last updated 2016-06-15. Update your information in the RePEc Author Service.

Short-id: pbo625

Working Papers

2016

1. Robust Optimization of Credit Portfolios
   Papers, arXiv.org View citations (3)

2013

2. Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios
   Papers, arXiv.org View citations (3)
   See also Journal Article Bilateral credit valuation adjustment for large credit derivatives portfolios, Finance and Stochastics, Springer (2014) View citations (12) (2014)

2011

3. Credit derivatives pricing with default density term structure modelled by L\'evy random fields
   Papers, arXiv.org

Journal Articles

2015

1. Counterparty risk for CDS: Default clustering effects
   Journal of Banking & Finance, 2015, 52, (C), 29-42 View citations (11)

2014

2. Bilateral credit valuation adjustment for large credit derivatives portfolios
   Finance and Stochastics, 2014, 18, (2), 431-482 View citations (12)
   See also Working Paper Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios, Papers (2013) View citations (3) (2013)

2013

3. On the conditional default probability in a regulated market with jump risk
   Quantitative Finance, 2013, 13, (12), 1967-1975 View citations (6)
4. Optimal Investment and Consumption with Default Risk: HARA Utility
   Asia-Pacific Financial Markets, 2013, 20, (3), 261-281 View citations (1)

2012

5. Lévy risk model with two-sided jumps and a barrier dividend strategy
   Insurance: Mathematics and Economics, 2012, 50, (2), 280-291 View citations (5)
6. Sequential maximum likelihood estimation for reflected generalized Ornstein–Uhlenbeck processes
   Statistics & Probability Letters, 2012, 82, (7), 1374-1382 View citations (2)

2011

7. Exponential change of measure applied to term structures of interest rates and exchange rates
   Insurance: Mathematics and Economics, 2011, 49, (2), 216-225 View citations (1)
8. Mean first passage times of two-dimensional processes with jumps
   Statistics & Probability Letters, 2011, 81, (8), 1183-1189
9. On a stochastic interacting model with stepping-stone noises
   Statistics & Probability Letters, 2011, 81, (8), 1300-1305 View citations (1)

2010

10. Markov-modulated jump-diffusions for currency option pricing
    Insurance: Mathematics and Economics, 2010, 46, (3), 461-469 View citations (34)
11. Some integral functionals of reflected SDEs and their applications in finance
    Quantitative Finance, 2010, 11, (3), 343-348 View citations (9)