Leung, Tim Siu-Tang - Department of Industrial Engineering and Operations Research, Columbia University

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Leung, Tim Siu-Tang - Department of Industrial Engineering and Operations Research, Columbia University

A Markov-Modulated Stochastic Control Problem with Optimal Multiple Stopping with Application to Finance
Copyright by SIAM. Unauthorized reproduction of this article is prohibited. SIAM J. CONTROL OPTIM. c 2009 Society for Industrial and Applied Mathematics
Mathematical Finance, Vol. 19, No. 1 (January 2009), 99128 ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION
Risk Premia and Optimal Liquidation of Defaultable Securities Columbia University
Math Finan Econ DOI 10.1007/s11579-012-0063-8
Copyright by SIAM. Unauthorized reproduction of this article is prohibited. SIAM J. FINANCIAL MATH. c 2011 Society for Industrial and Applied Mathematics
DEFAULT SWAP GAMES DRIVEN BY SPECTRALLY NEGATIVE L EVY PROCESSES MASAHIKO EGAMI , TIM LEUNG