The popular Wishart (WI) processes, first introduced by Bru in 1991, exhibit convenient analytical properties for modeling asset prices, particularly a closed-form characteristic function, and the ability to jointly model stochastic volatility and correlation. These features tend to increase...

We study properties and parameter estimation of a finite-state, homogeneous, continuous-time, bivariate Markov chain. Only one of the two processes of the bivariate Markov chain is assumed observable. The general form of the bivariate Markov chain studied here makes no assumptions on the...

In this paper, the counterparty risk is considered in pricing a Credit Default Swap (abbr. CDS). We adopt an intensity-based reduced form model, in which the default intensity processes of the counterpart and the reference credit are modulated by the credit states of the firms. Two Markov chains...

This paper contains an analytical formulation for performance measurement of an unreliable production-storage operation where production and demand rates for a single item are subject to random fluctuations in the operating environment. These fluctuations are represented as transitions among the...