Markovian regime-switching market completion using additional Markov jump assets
Year of publication: |
2012
|
---|---|
Authors: | Zhang, Xin ; Elliott, Robert J. ; Siu, Tak Kuen ; Guo, Junyi |
Published in: |
IMA journal of management mathematics. - Oxford : Oxford Univ. Press, ISSN 1471-678X, ZDB-ID 2074812-7. - Vol. 23.2012, 3, p. 283-305
|
Subject: | Theorie | Theory | Markov-Kette | Markov chain | Volatilität | Volatility | Kapitaleinkommen | Capital income |
-
Lengua Lafosse, Patricia, (2018)
-
Ignatieva, Ekaterina, (2015)
-
Determinants of asymmetric return comovements of gold and other financial assets
Poshakwale, Sunil S., (2016)
- More ...
-
Stochastic processes, finance and control : a Festschrift in honor of Robert J. Elliott
Cohen, Samuel N., (2012)
-
On a risk model with dependence between claim sizes and claim intervals
Meng, Qingbin, (2008)
-
Optimal investment and reinsurance of an insurer with model uncertainty
Zhang, Xin, (2009)
- More ...