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Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1045653
Description: In this article, we propose a Bayesian multivariate framework to price reverse mortgages that involve several risks in both insurance and financial sectors (e.g., mortality rates, interest rates, and ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/310195
Description: Strategic asset allocation is discussed in a discrete-time economy, where the rates of return from asset classes are explained in terms of some observable and hidden factors. We extend the existing mo ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1044192
Description: Most extrapolative stochastic mortality models are constructed in a similar manner. Specifically, when they are fitted to historical data, one or more series of time-varying parameters are identified. ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/221257
Description: This paper establishes a necessary and sufficient stochastic maximum principle for backward systems, where the state processes are governed by jump-diffusion backward stochastic differential equations ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/221271
Description: We consider absorption and scattering of acoustic waves from uncertain configurations comprising multiple two dimensional bodies with various material properties (sound-soft, sound-hard, absorbing and ... More
Reviewed: Reviewed
Date: 2013
Subject Keyword: 010200 Applied Mathematics
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/283407
Description: We present an efficient algorithm for uncertainty quantification of scattering cross-sections of stochastic configurations comprising multiple two dimensional sound-soft particles whose locations and ... More
Reviewed: Reviewed
Authors: Sofronov, Georgy
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/216703
Description: We consider a sequential problem of selling K identical assets over the finite time horizon with a fixed number of offers per time period and no recall of past offers. The objective is to find an opti ... More
Reviewed: Reviewed
Date: 2013
Subject Keyword: 010200 Applied Mathematics
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/272859
Description: Though providing vital means for the visualization, diagnosis, and quantification of decision-making processes for the treatment of vascular pathologies, vascular segmentation remains a process that c ... More
Full Text: Full Text
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/271636
Description: Subtropical maritime low pressure systems frequently impact Australia's eastern seaboard. Closed circulation lows in the Tasman Sea region are termed East Coast Cyclones (ECC); they can evolve in a ra ... More
Reviewed: Reviewed
Authors: Ranjan, Ram
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/279112
Description: Ensuring drought resilience for farmers is an important policy concern. Yet, a quantitative treatment of the concept of drought resilience has been lacking in the literature. This paper designs a math ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/288175
Description: We give a representation for the closed convex hull of the set of discounted occupational measures generated by control-state trajectories of a deterministic control system. We also investigate the li ... More
Reviewed: Reviewed
Authors: Wu, Xianyi | Zhou, Xian
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/268803
Description: Bandit processes and the Gittins index have provided powerful and elegant theory and tools for the optimization of allocating limited resources to competitive demands. In this paper we extend the Gitt ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/230866
Description: This paper introduces a discrete-time self-exciting threshold binomial model to price derivative securities. The key idea is to incorporate the regime switching effect in a discrete-time binomial mode ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/213757
Description: We investigate the pricing of both European and American-style options when the price dynamics of the underlying risky assets are governed by a Markov-modulated constant elasticity of variance process ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/267488
Description: We use convex risk measures to assess unhedged risks for American-style contingent claims in a continuous-time non-Markovian economy using reflected backward stochastic differential equations (RBSDEs) ... More
Reviewed: Reviewed