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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
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/269982
Description: 46 page(s)
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/282770
Description: The classical Stein-Tomas restriction theorem is equivalent to the fact that the spectral measure d"E(ℷ) of the square root of the Laplacian on ℝⁿ is bounded from Lp(ℝⁿ) to Lp'(ℝⁿ) for 1 ≤ p ≤ 2(n + 1 ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/215316
Description: This paper establishes a necessary and sufficient stochastic maximum principle for a mean-field model with randomness described by Brownian motions and Poisson jumps. We also prove the existence and u ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/289260
Description: A problem of minimization of L₁-penalized conditional value-at-risk (CVaR) is considered. It is shown that there exists a non-negative threshold value of the penalty parameter such that the optimal va ... More
Reviewed: Reviewed
Authors: Farmer, Jim
Date: 2013
Subject Keyword: 010200 Applied Mathematics
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/215091
Description: 4 page(s)
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/197395
Description: A backward stochastic differential equation (BSDE) approach is used to evaluate convex risk measures for unhedged positions of derivative securities in a continuous-time economy. The convex risk measu ... More
Reviewed: Reviewed
Authors: Siu, Tak Kuen
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/208770
Description: An asset allocation problem of a member of a defined contribution (DC) pension fund is discussed in a hidden, Markov regime-switching, economy using backward stochastic differential equations, (BSDEs) ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/174857
Description: This paper develops a sufficient stochastic maximum principle for a stochastic optimal control problem, where the state process is governed by a continuous-time Markov regime-switching jump-diffusion ... More
Full Text: Full Text
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/207200
Description: This study focuses on the synoptic and dynamical characteristic of compact and incompact tropical cyclones (TCs) in the western North Pacific. To identify the distinct mechanisms related to the develo ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/172334
Description: In this paper, we introduce a Hidden Markov Model (HMM) for studying an optimal investment problem of an insurer when model uncertainty is present. More specifically, the financial price and insurance ... More
Reviewed: Reviewed