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Date: 2017
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1248838
Description:
In this article, we investigate the pricing of European-style options under a Markovian regime-switching Hull–White interest rate model. The parameters of this model, including the mean-reversion leve
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Date: 2017
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1248750
Description:
We consider the optimal harvesting problem for a fish farmer in a model that accounts for stochastic prices featuring Schwartz (1997) two-factor price dynamics. Unlike any other literature in this con
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Authors:
Siu, Tak Kuen
Date: 2016
Subject Keyword:
Risk management
| Convex risk measure
| Non-Markovian jump-diffusion model
| Functional Itô’s calculus
| Entropic risk measure
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1184592
Description:
Convex risk measures for European contingent claims are studied in a non-Markovian jump-diffusion modeling framework using functional Itô's calculus. Two representations for a convex risk measure are
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Authors:
Siu, Tak Kuen
Date: 2016
Subject Keyword:
Option valuation
| Self-exciting threshold model
| Generalized Esscher transform
| Piecewise linear partial differential equation
| Quadratic approximation
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1138271
Description:
A self-exciting threshold jump-diffusion model for option valuation is studied. This model can incorporate regime switches without introducing an exogenous stochastic factor process. A generalized ver
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Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1105318
Description:
In this paper, we discuss a Markov chain approximation method to price European options, American options and barrier options in a Markovian regime-switching environment. The model parameters are modu
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Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1140776
Description:
A combined optimal dividend/reinsurance problem with two types of insurance claims, namely the expected premium principle and the variance premium principle, is discussed. Dividend payments are consid
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Date: 2016
Subject Keyword:
Variance premium principle
| Reinsurance strategy
| Multiple reinsurers
| Fixed costs
| Taxes
| HJB equation
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1105407
Description:
An optimal insurance risk control problem is discussed in a general situation where several reinsurance companies enter into a reinsurance treaty with an insurance company. These reinsurance companies
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Date: 2016
Subject Keyword:
Expected value premium principle
| Variance premium principle
| Ruin probability
| Proportional reinsurance
| Excess of loss reinsurance
| Dynamic programming principle
| Heavy-tailed claims
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1140772
Description:
An optimal reinsurance problem of an insurer is studied in a continuous-time model, where insurance risk is partly transferred to two reinsurers, one adopting the expected-value premium principle and
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Date: 2016
Subject Keyword:
option pricing
| regime switching
| stochastic volatility
| random acceleration
| Esscher transform
| homotopy analysis method
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1187543
Description:
This article discusses option pricing in a Markov regime-switching model with a random acceleration for the volatility. A key feature of the model is that the volatility of the underlying risky securi
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Authors:
Elliott, Robert J
| Siu, Tak Kuen
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1190425
Description:
10 page(s)
Reviewed:
Date: 2016
Subject Keyword:
Futures
| Commodities
| Aquaculture
| Fisheries Economics
| Agricultural economics
| Risk management
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1190439
Description:
Using the popular Schwartz 97 two-factor approach, we study future contracts written on fresh farmed salmon, which have been actively traded at the Fish Pool Market in Norway since 2006. This approach
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Date: 2015
Subject Keyword:
Regime-switching local volatility model
| Esscher transform
| forward equations
| regime-switching adjoint formula
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/357261
Description:
A forward equation, which is also called the Dupire formula, is obtained for European call options when the price dynamics of the underlying risky assets are assumed to follow a regime-switching local
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Authors:
Elliott, Robert J
| Siu, Tak Kuen
Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1045206
Description:
Using stochastic flows of diffeomorphisms relating to a Markov chain together with the Itô's differentiation rule, the differentiability of the price of a European-style contingent claim with respect
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Authors:
Siu, Tak Kuen
Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/358963
Description:
An optimal asset allocation problem for a quite general class of utility functions is discussed in a simple two-state Markovian regime-switching model, where the appreciation rate of a risky share cha
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Full Text:
Reviewed:
Authors:
Elliott, Robert J
| Siu, Tak Kuen
Date: 2015
Subject Keyword:
Asset pricing
| Trading volumes
| Hidden Markov models
| Filtering
| Esscher transform
| PDIE
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/360720
Description:
By utilizing information about prices and trading volumes, we discuss the pricing of European contingent claims in a continuous-time hidden regime-switching environment. Hidden market sentiments descr
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