no code implementations • 3 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.
no code implementations • 1 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.