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On the compensator of the default process in an information-based model
The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks
Institut für Mathematische Stochastik, Leibniz Universität Hannover, Welfengarten 1, 30167 Hannover, Germany |
References:
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References:
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Emmanuel Frénod, Jean-Philippe Gouigoux, Landry Touré. Modeling and solving alternative financial solutions seeking. Journal of Industrial and Management Optimization, 2015, 11 (1) : 145-170. doi: 10.3934/jimo.2015.11.145 |
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Francesca Biagini, Jacopo Mancin. Financial asset price bubbles under model uncertainty. Probability, Uncertainty and Quantitative Risk, 2017, 2 (0) : 14-. doi: 10.1186/s41546-017-0026-3 |
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Sergey V Lototsky, Henry Schellhorn, Ran Zhao. An infinite-dimensional model of liquidity in financial markets. Probability, Uncertainty and Quantitative Risk, 2021, 6 (2) : 117-138. doi: 10.3934/puqr.2021006 |
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Ankhbayar Chuluunbaatar, Burmaa Galaa, Enkhbat Rentsen. Application of sphere packing theory in financial management. Journal of Industrial and Management Optimization, 2022 doi: 10.3934/jimo.2022092 |
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Dingjun Yao, Rongming Wang, Lin Xu. Optimal asset control of a geometric Brownian motion with the transaction costs and bankruptcy permission. Journal of Industrial and Management Optimization, 2015, 11 (2) : 461-478. doi: 10.3934/jimo.2015.11.461 |
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Pawan Lingras, Farhana Haider, Matt Triff. Fuzzy temporal meta-clustering of financial trading volatility patterns. Big Data & Information Analytics, 2018 doi: 10.3934/bdia.2017018 |
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Qihong Chen. Recovery of local volatility for financial assets with mean-reverting price processes. Mathematical Control and Related Fields, 2018, 8 (3&4) : 625-635. doi: 10.3934/mcrf.2018026 |
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Yingxu Tian, Junyi Guo, Zhongyang Sun. Optimal mean-variance reinsurance in a financial market with stochastic rate of return. Journal of Industrial and Management Optimization, 2021, 17 (4) : 1887-1912. doi: 10.3934/jimo.2020051 |
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Xiaoyu Xing, Caixia Geng. Optimal investment-reinsurance strategy in the correlated insurance and financial markets. Journal of Industrial and Management Optimization, 2021 doi: 10.3934/jimo.2021120 |
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Gonca Yıldırım, Ayyuce Aydemir-Karadag. Designing an annual leave scheduling policy: Case of a financial center. Journal of Industrial and Management Optimization, 2022, 18 (4) : 2927-2958. doi: 10.3934/jimo.2021097 |
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