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Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
Shen, Yang; Siu, Tak Kuen - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 757-768
Persistent link: https://www.econbiz.de/10010227881
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Pricing participating products with Markov-modulated jump-diffusion process : an efficient numerical PIDE approach
Fard, Farzad Alavi; Siu, Tak Kuen - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 712-721
Persistent link: https://www.econbiz.de/10010227894
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Monte Carlo derivative pricing with partial information in a class of doubly stochastic poisson processes with marks
Centanni, Silvia; Minozzo, Marco - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10009624500
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Option pricing under a normal mixture distribution derived from the Markov tree model
Bhat, Harish S.; Kumar, Nitesh - In: European journal of operational research : EJOR 223 (2012) 3, pp. 762-774
Persistent link: https://www.econbiz.de/10009656138
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A flexible matrix Libor model with smiles
Da Foncesca, José; Gnoatto, Alessandro; Grasselli, Martino - In: Journal of economic dynamics & control 37 (2013) 4, pp. 774-793
Persistent link: https://www.econbiz.de/10009726178
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Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
Shen, Yang; Siu, Tak Kuen - In: Operations research letters 41 (2013) 2, pp. 180-187
Persistent link: https://www.econbiz.de/10009727702
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A fractal version of the Hull-White interest rate model
Hainaut, Donatien - In: Economic modelling 31 (2013), pp. 323-334
Persistent link: https://www.econbiz.de/10009729087
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Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options
Ramponi, Alessandro - In: International journal of theoretical and applied finance 15 (2012) 5, pp. 1-26
Persistent link: https://www.econbiz.de/10009672605
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Pricing bond options under a Markovian regime-switching Hull-White model
Shen, Yang; Siu, Tak Kuen - In: Economic modelling 30 (2013), pp. 933-940
Persistent link: https://www.econbiz.de/10009710001
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Continuously monitored barrier options under Markov processes
Mijatović, Aleksandar; Pistorius, Martijn - In: Mathematical finance : an international journal of … 23 (2013) 1, pp. 1-38
Persistent link: https://www.econbiz.de/10009712564