Macquarie University, Sydney Macquarie University ResearchOnline

Showing items 1 - 8 of 8.

Add to Quick Collection   All 8 Results

  • First
  • Previous
  • 1
  • Next
  • Last
Sort:
 Add All Items to Quick Collection
Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1045526
Description: This paper is concerned with the valuation of equity-linked annuities with mortality risk under a double regime-switching model, which provides a way to endogenously determine the regime-switching ris ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/302958
Description: We discuss a general problem of optimal strategies for insurance, consumption and investment in a changing economic environment described by a continuous-time regime switching model. We consider the s ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/272604
Description: In this paper, we investigate the valuation of two types of foreign equity options under a Markovian regime-switching mean-reversion lognormal model, where some key model parameters in the dynamics of ... More
Reviewed: Reviewed
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: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/212558
Description: In this paper, we investigate the pricing of variance swaps under a Markovian regime-switching extension of the Schöbel-Zhu-Hull-White hybrid model. The parameters of this model, including the mean-re ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/265591
Description: In this paper, we discuss three different approaches to select an equivalent martingale measure for the valuation of contingent claims under a Markovian regime-switching Lévy model. These approaches a ... 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: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/138687
Description: In this paper, we introduce a High-order Markov-Switching (HMS) model for measuring the risk of a portfolio. We suppose that the rate of return from a risky portfolio follows an HMS model with the dri ... More
Reviewed: Reviewed
  • First
  • Previous
  • 1
  • Next
  • Last