搜索结果: 1-7 共查到“经济学 regime switching”相关记录7条 . 查询时间(0.156 秒)
Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach
regime switching jump-diffusion models Value at Risk risk management Fourier transform methods.
2012/9/14
In this paper we consider the problem of calculating the quantiles of a risky position,the dynamic of which is described as a continuous time regime-switching jump-diffusion, by using Fourier Transfor...
On Investment-Consumption with Regime-Switching
Portfolio optimization time inconsistency equilibrium policies regime-switching discounting
2011/7/20
In a continuous time stochastic economy, this paper considers the problem of consumption
and investment in a financial market in which the representative investor exhibits a change in the discount ra...
Optimal control of risk process in a regime switching environment
Regime switching diffusion continuity value function exit time
2010/10/21
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism...
We consider option pricing in a regime-switching market. As the market is incomplete, there is no unique price for a derivative. We apply the good-deal bounds idea to obtain ranges for the price of a...
Regime Switching Stochastic Volatility with Perturbation Based Option Pricing
Stochastic volatility option pricing perturbation theory
2010/10/29
Volatility modelling has become a significant area of research within Financial Mathematics. Wiener process driven stochastic volatility models have become popular due their consistency with theoretic...
Regime Switching Volatility Calibration by the Baum-Welch Method
Regime switching stochastic volatility calibration Hamilton filter Baum-Welch
2010/10/29
Regime switching volatility models provide a tractable method of modelling stochastic volatility. Currently the most popular method of regime switching calibration is the Hamilton filter. We propose u...
On perpetual American put valuation and first-passage in a regime-switching model with jumps
perpetual American valuation first-passage regime-switching model jumps
2010/12/17
In this paper we consider the problem of pricing a perpetual American put option in an exponential regime-switching L\'{e}vy model. For the case of the (dense) class of phase-type jumps and finitely ...