Search Results for author: Junbeom Lee

Found 2 papers, 0 papers with code

Lifetime Ruin under High-watermark Fees and Drift Uncertainty

no code implementations3 Sep 2019 Junbeom Lee, Xiang Yu, Chao Zhou

This paper aims to make a new contribution to the study of lifetime ruin problem by considering investment in two hedge funds with high-watermark fees and drift uncertainty.

Dimensionality Reduction Vocal Bursts Intensity Prediction

Binary Funding Impacts in Derivative Valuation

no code implementations1 Mar 2017 Junbeom Lee, Chao Zhou

It is often believed that considering both DVA and funding benefits results in a double-counting issue but it will be shown that the two components are affected by different mathematical structures of derivative transactions.

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