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- Xiaowei Ding, Kay Giesecke, Pascal I. Tomecek
- Operations Research
- 2009

A credit investor such as a bank granting loans to firms or an asset manager buying corporate bonds is exposed to correlated corporate default risk. A multiname credit derivative is a financial security that allows the investor to transfer this risk to the credit market. In this paper, we study the valuation and risk analysis of multiname derivatives. To… (More)

- Xin Guo, Pascal I. Tomecek
- SIAM J. Control and Optimization
- 2008

This paper builds a new theoretical connection between singular control of finite variation and optimal switching problems. This correspondence provides a novel method for solving high-dimensional singular control problems, and enables us to extend the theory of reversible investment: sufficient conditions are derived for the existence of optimal controls… (More)

Meyer (1971) showed that any point process whose compensator has continuous paths that increase to ∞ can be time-scaled to a standard Poisson process. In this article we consider the converse to this result. We construct a time change with continuous paths increasing to ∞ that transforms a standard Poisson process into a general point process with totally… (More)

- Xin Guo, Philip Kaminsky, Pascal I. Tomecek, M. Yuen
- Math. Meth. of OR
- 2011

We consider a firm facing random demand at the end of a single period of random length. At any time during the period, the firm can either increase or decrease inventory by buying or selling on a spot market where price fluctuates randomly over time. The firm’s goal is to maximize expected discounted profit over the period, where profit consists of the… (More)

In the top-down approach to multi-name credit modeling, calculation of singe name sensitivities appears possible, at least in principle, within the so-called random thinning (RT) procedure which dissects the portfolio risk into individual contributions. We make an attempt to construct a practical RT framework that enables efficient calculation of single… (More)

- Kay Giesecke, T. Bielecki, +5 authors Pascal I. Tomecek
- 2007

We derive a formula for a Fourier transform of a counting process that describes the arrival of unpredictable events, and we show how this transform facilitates an analytical treatment of a range of valuation, hedging and risk management problems that arise in single name and portfolio credit risk. Example applications include reduced form pricing of credit… (More)

- Xin Guo, Pascal I. Tomecek
- SIAM J. Control and Optimization
- 2009

This paper analyzes a class of singular control problems for which value functions are not necessarily smooth. Necessary and sufficient conditions for the well-known smooth fit principle, along with the regularity of the value functions, are given. Explicit solutions for the optimal policy and for the value functions are provided. In particular, when payoff… (More)

- Xin Guo, Pascal I. Tomecek
- CDC
- 2008

We summarize our recent work [1], [2] on a new theoretical connection between singular control of finite variation and optimal switching problems. This correspondence not only provides a novel method for analyzing multidimensional singular control problems, but also builds links among singular controls, Dynkin games, and sequential optimal stopping problems.

- Xin Guo, Pascal I. Tomecek
- 2007

This paper analyzes a class of singular control problems for which value functions are not necessarily smooth. Necessary and sufficient conditions for the well-known smooth fit principle, along with the regularity of the value functions, are given. Explicit solutions for the optimal policy and for the value functions are provided. In particular, when payoff… (More)

- Xin Guo, Pascal I. Tomecek
- 2008

This report summarizes some of our recent work (Guo and Tomecek (2008b,a)) on a new theoretical connection between singular control of finite variation and optimal switching problems. This correspondence not only provides a novel method for analyzing multi-dimensional singular control problems, but also builds links among singular controls, Dynkin games,… (More)

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