Valuation of Asset Loanswith Regime Switching: A Unified Analytical Approach
Ning Cai is an associate professor in theDepartment of Industrial Engineering and Logistics Management at HKUST. Hereceived Ph.D. in operations research at Columbia University in 2008, and B.S.and M.S. in probability and statistics at Peking University in 2000 and 2003,respectively. Ning Cai's research interests include financial engineering,FinTech, applied probability, and stochastic modeling in finance and economics.He has published in top journals such as Management Science, OperationsResearch, Mathematics of Operations Research, and MathematicalFinance. Currently, he serves as associate editor for OperationsResearch, Probability in the Engineering and Informational Sciences,and IMA journal of Management Mathematics.
Assetloan services collateralized by various assets are actively offered by manyfinancial institutions nowadays and have gained great popularity amonginvestors. We propose a unified approach to the valuation of asset loans withina general framework with regime switching, i.e., under general regime switchingexponential Levy models, by studying the associated optimal stoppingproblems. This approach yields analytical solutions to asset loan prices for alarge class of regime switching exponential Levy models. This is joint workwith Wei Zhang from HKUST.