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Add Martingale representation for contingent claims with regime switching

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Add On Bayesian mixture credibility

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Add On pricing derivatives under GARCH models : a dynamic Gerber-Shiu's approach

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Add Option pricing under threshold autoregressive models by threshold Esscher transform

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Add Option pricing when the regime-switching risk is priced

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Add Ruin theory under a generalized jump-diffusion model with regime switching

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Author/Creator
  • Lau, John W (2)
  • Tong, Howell (2)
  • Elliott, Robert J (1)
Subject Keyword
  • Esscher transform (2)
  • option valuation (2)
  • regime-switching risk (2)
  • 010300 Numerical and Computational Mathematics (1)
  • 150200 Banking, Finance and Investment (1)
  • Bayesian mixture models (1)
  • Completely random measure process (1)
  • Contingent Claims (1)
  • Dtarch models (1)
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Yang, Hailiang

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