Drawdowns

1. Drawdowns and rallies in a finite time horizon, Hongzhong Zhang and Olympia Hadjiliadis, Methodology and Computing in Applied Probability 12(2), pp. 293-308, 2010.

2. Maximum drawdown insurance, Peter Carr, Hongzhong Zhang and Olympia Hadjiliadis, International Journal of Theoretical and Applied Finance 14(8), pp. 1195-1230, 2011.

3. Drawdowns and the speed of market crash, Hongzhong Zhang and Olympia Hadjiliadis, Methodology and Computing in Applied Probability 14(3), pp. 739-752, 2012.

4. Stochastic modeling and fair valuation of drawdown insurance, Hongzhong Zhang, Tim Leung, and Olympia Hadjiliadis, Insurance, Mathematics and Economics 53(3), pp. 840-850, 2013.

5. Occupation time, drawdowns, and drawups for one-dimensional regular diffusion, Hongzhong Zhang, Advances in Applied Probability 47(1), pp. 210-230, 2015.

6. The frequency of drawdowns for Brownian motion processes, David Landriault, Bin Li and Hongzhong Zhang, Journal of Applied Probability 52(1), pp. 191-208, 2015.

7. On magnitude, asymptotics and duration of drawdowns for Lévy Models, David Landriault, Bin Li and Hongzhong Zhang, Bernoulli, 23(1), pp. 432-458, 2017.

8. An unified approach for drawdown (drawup) risks of time-homogeneous Markov processes, David Landriault, Bin Li and Hongzhong Zhang, Journal of Applied Probability, 54(2), 603-626, 2017.

9. Stochastic Drawdowns, World Scientific, 2018.

10. When to sell an asset amid anxiety about drawdowns, Neofytos Rodosthenous and Hongzhong Zhang, Mathematical Finance, 2020.