Scholar
Lijun Bo
Google Scholar ID: uPoAzUcAAAAJ
Professor, School of Mathematics and Statistics, Xidian University
Citations & Impact
Citations
618
H-index
13
i10-index
21
Publications
20
Co-authors
0
Contact
Publications
Resume (English only)
Academic Achievements
- Publications:
- 1. 'Locally Risk Minimizing Hedging of Counterparty Risk for Portfolio of Credit Derivatives' (with C. Ceci), to appear in Applied Mathematics and Optimization.
- 2. 'Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching' (with H.F. Liao and X. Yu), SIAM Journal on Control and Optimization, Vol. 57(1), 366-401, 2019.
- 3. 'Optimal Credit Investment and Risk Control for an Insurer with Regime-Switching' (with H.F. Liao and Y.J. Wang), Mathematics and Financial Economics, Vol. 13(1), 147-172, 2019.
- 4. 'Portfolio Choice with Market-Credit Risk Dependencies' (with A. Capponi), SIAM Journal on Control and Optimization, Vol. 56, pp. 3050-3091, 2018.
- 5. 'Credit Portfolio Selection with Decaying Contagion Intensities' (with A. Capponi and P.C. Chen), Mathematical Finance, Vol. 29, 137-173, 2019.
- 6. 'Risk Sensitive Asset Management and Cascading Defaults' (with J. Birge and A. Capponi), Mathematics of Operations Research, Vol. 43, pp. 1-28, 2018.
- 7. 'Dynamic Investment and Counterparty Risk' (with A. Capponi), Applied Mathematics and Optimization, Vol. 77, pp. 1-45, 2018.
- 8. 'Optimal Investment of Variance-Swaps in Jump-Diffusion Market with Regime-Switching' (with D. Tang and Y.J. Wang), Journal of Economic Dynamics and Control, Vol. 83, pp. 175-197, 2017.
- 9. 'Optimal Investment and Risk Control for an Insurer with Stochastic Factor' (with Shihua Wang), Operations Research Letters, Vol. 45, No. 3, pp. 259-265, 2017.
- 10. 'The Pricing of Basket Options: A Weak Convergence Approach' (with Y.J. Wang), Operations Research Letters, Vol. 45, No. 2, pp. 119-125, 2017.
- 11. 'Optimal Investment under Information Driven Contagious Distress' (with A. Capponi), SIAM Journal on Control and Optimization, Vol. 55, No. 2, pp. 1020–1068, 2017.
- 12. 'Optimal Credit Investment with Borrowing Costs' (with A. Capponi), Mathematics of Operations Research, Vol. 42, No. 2, pp. 546–575, 2017.
- 13. 'Stochastic Delay Differential Equations with Jump Reflection: Invariant Measure' (with C.G. Yuan), Stochastics, Vol. 88, No. 6, pp. 841-863, 2016.
- 14. 'Stability in Distribution of Markov-Modulated Stochastic Differential Delay Equations with Reflection' (with C.G. Yuan), Stochastic Models, Vol. 32, No. 3, pp. 392-413, 2016.
- 15. 'Robust Optimization of Credit Portfolios' (with A. Capponi), Mathematics of Operations Research, Vol. 42, No. 1, pp. 30-56, 2017.
- 16. 'Optimal Investment in Credit Derivatives Portfolio under Contagion Risk' (with A. Capponi), Mathematical Finance, Vol. 26, No. 4, pp. 785-834, 2016.
- 17. 'Systemic Risk in Interbanking Networks' (with A. Capponi), SIAM Journal on Financial Mathematics, Vol. 6, pp. 386-424, 2015.
- 18. 'Counterparty Risk for CDS: Default Clustering Effects' (with A. Capponi), Journal of Banking and Finance, Vol. 52, pp. 29-42, 2015.
Research Experience
- Currently a Professor in the Department of Probability and Statistics, School of Mathematical Sciences, University of Science and Technology of China (USTC). Teaches courses including 'Stochastic Processes' and 'Advanced Probability Theory'.
Education
- Master's degree in Probability from Nankai University, supervised by Prof. Yongjin Wang.
Background
- Research interests: theory of stochastic analysis and its application to mathematical finance. Main research areas include reflected stochastic differential equations and stochastic partial differential equations arising from physics and chemistry (e.g., Cahn-Hilliard SPDE). Current research focuses on mathematical finance, particularly credit risk modeling and valuation, systemic risk, and continuous-time portfolio optimization.
Co-authors