We investigate an optimal asset allocation problem in a Markovian regime-switching financial market with stochastic interest rate. The market has three investment opportunities, namely, a bank account, a share and a zero-coupon bond, where stochastic movements of the short rate and the share...

The optimal dividend problem is a classic problem in corporate finance though an early contribution to this problem can be traced back to the seminal work of an actuary, Bruno De Finetti, in the late 1950s. Nowadays, there is a leap of literature on the optimal dividend problem. However, most of...

In this paper, we discuss three different approaches to select an equivalent martingale measure for the valuation of contingent claims under a Markovian regime-switching Lévy model. These approaches are the game theoretic approach, the Esscher transformation approach and the general equilibrium...