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Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/212555
Description: In this paper, we investigate the valuation of bond options under a Markovian regime-switching Hull-White model, where both the mean-reverting level and the volatility of the interest rate are modulat ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/182501
Description: We investigate an optimal asset allocation problem in a Markovian regime-switching financial market with stochastic interest rate. The market has three investment opportunities, namely, a bank account ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/136019
Description: We introduce a model to discuss an optimal investment problem of an insurance company using a game theoretic approach. The model is general enough to include economic risk, financial risk, insurance r ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/130464
Description: We investigate an optimal reinsurance and dividend problem of an insurance company with the presence of reinvestments, or retained earnings. We consider the general situation that the company needs to ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/136392
Description: We study the pricing and hedging of European-style derivative securities in a Markov, regime-switching, model with a feedback effect depending on the economic condition. We adopt a pricing kernel whic ... More
Reviewed: Reviewed
Date: 2010
Subject Keyword: 140200 Applied Economics
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/102455
Description: 9 page(s)
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/102459
Description: We study a mean-variance portfolio selection problem under a hidden Markovian regime-switching Black–Scholes–Merton economy. Under this model, the appreciation rate of a risky share is modulated by a ... More
Reviewed: Reviewed
Date: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/136340
Description: The Esscher transform is an important tool in actuarial science. Since the pioneering work of Gerber and Shiu (1994), the use of the Esscher transform for option valuation has also been investigated e ... More
Reviewed: Reviewed
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