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Global Stability of Financial Networks Against Contagion: Measure, Evaluation and Implications
financial networks stability financial contagion network models.
2012/9/14
Involvements of major financial institutions in the recent financial crisis have generated renewed interests in fragilities of global financial networks among economists and regulatory authorities. In...
First-passage and risk evaluation under stochastic volatility
First-passage risk evaluation
2010/10/29
We solve the first-passage problem for the Heston random diffusion model. We obtain exact
analytical expressions for the survival and hitting probabilities to a given level of return. We study severa...