This paper provides a discrete-time approach for evaluating financial and actuarial products characterized by path-dependent features in a regime-switching risk model. In each regime, a binomial discretization of the asset value is obtained by modifying the parameters used to generate the...

This paper provides a discrete-time approach for evaluating financial and actuarial products characterized by path-dependent features in a regime-switching risk model. In each regime, a binomial discretization of the asset value is obtained by modifying the parameters used to generate the...

Options on crude oil futures are the most actively traded commodity options. We develop a class of computationally efficient discrete-time jump models that allow for closed-form option valuation, and we use crude oil futures and options data to investigate the economic importance of jumps and...

Using a combination of UKHLS and LFS data and a discrete time model, we test the hypothesis that unstable jobs with variable hours or pay enhance the job finding chances of the unemployed in the UK. We nd no evidence that the share of unstable jobs in the unemployed person's local labour market...

Using a combination of UKHLS and LFS data and a discrete time model, we test the hypothesis that unstable jobs with variable hours or pay enhance the job finding chances of the unemployed in the UK. We nd no evidence that the share of unstable jobs in the unemployed person's local labour market...