Contingent convertible bonds (CoCos) are hybrid instruments characterized by both debt and equity. CoCos are automatically converted into equity or written down when a predefined trigger event occurs. The present study quantifies the issuing bank's default risk that only manifests in the...

In this paper we investigate an optimal investment problem with short-selling constraints and portfolio insurance faced by a defined contribution pension fund manager who is loss averse under inflationary risk. The financial market consists of a cash bond, an indexed bond and a stock. The...

This study investigates the optimal execution strategy of market-making for market and limit order arrival dynamics under a novel framework that includes a synchronised factor between buy and sell order arrivals. Using statistical tests, we empirically confirm that a synchrony propensity appears...

In this paper, we consider the optimal dividend payment strategy for an insurance company, having two collaborating business lines. The surpluses of the business lines are modeled by diffusion processes. The collaboration between the two business lines permits that money can be transferred from...

In this paper we propose a unified utility deviation-risk model which covers both utility maximization and mean-variance analysis as special cases. We derive the time-consistent Hamilton-Jacobi-Bellman (HJB) equation for the equilibrium value function and significantly reduce the number of state...