This research explores upside and downside jumps in the dynamic processes of three rates: domestic interest rates, foreign interest rates, and exchange rates. To fill the gap between the asymmetric jump in the currency market and the current models, a correlated asymmetric jump model is proposed...

This paper aims to evaluate Pension Benefit Guaranty Corporation (PBGC) insurance values through regime-switching models. We separate periods of the economy with faster growth from those with slower growth to observe long-term trends in the economy. We derive a fair PBGC insurance pricing...

In this paper, we price a widely-used financial instrument, the callable range accrual linked to constant maturity swap (CMS) spread, with the least square Monte Carlo method (LSMC) under the generalized swap market model (GSMM). This method, based on the swap rate, does not only provide an...

In reinforcement learning, an agent interacts with its environment to act according to a policy in accordance with the observation state; these are executed based on a class of neural networks. In the interaction between states and actions, the series of decision sequences are often described...

This paper aims to evaluate Pension Benefit Guaranty Corporation (PBGC) insurance values through regime-switching models. We separate periods of the economy with faster growth from those with slower growth to observe long-term trends in the economy. We derive a fair PBGC insurance pricing...

We derive the closed-form pricing formula for CDD/HDD futures under a proposed and generalized model with the empirical application. According to the proposed model, the conditional variance of the daily average temperature (DAT) is composed of three components: based level of the seasonal...

The variance risk premium is a critical risk factor to predict expected returns. However, many studies indicate that expected returns depend strongly on the state of the economy. In this paper, we wish to determine whether the predictive power of the variance risk premium differs across market...