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A structural model for credit risk with switching processes and synchronous jumps
Hainaut, Donatien; Colwell, David B. - In: The European journal of finance 22 (2016) 10/12, pp. 1040-1062
Persistent link: https://www.econbiz.de/10011715297
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On the price of risk under a regime switching CGMY process
Asiimwe, Pious; Mahera, Charles Wilson; Menoukeu-Pamen, … - In: Asia-Pacific financial markets 23 (2016) 4, pp. 305-335
Persistent link: https://www.econbiz.de/10011619970
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Cliquet-Style Return Guarantees in a Regime Switching Lévy Model
Hieber, Peter - 2016
-term financial contracts, the inclusion of macroeconomic changes is a relevant risk driver for (long-term) insurance contracts. This …
Persistent link: https://www.econbiz.de/10012987244
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Optimal portfolio choice in a jump-diffusion model with self-exciting
Bian, Baojun; Chen, Xinfu; Zeng, Xudong - In: Journal of mathematical finance 9 (2019) 3, pp. 345-367
Persistent link: https://www.econbiz.de/10012210282
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Volatility targeting using delayed diffusions
Torricelli, Lorenzo - In: Applied mathematical finance 25 (2018) 3/4, pp. 213-246
Persistent link: https://www.econbiz.de/10012128945
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Speed and duration of drawdown under general Markov models
Li, Lingfei; Zeng, Pingping; Zhang, Gongqiu - In: Quantitative finance 24 (2024) 3/4, pp. 367-386
Persistent link: https://www.econbiz.de/10014552019
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Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.; Siu, Tak Kuen - In: The journal of futures markets 43 (2023) 7, pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
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Mathematical methods for the efficient assessment of market and credit risk
Reiß, Oliver (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001820960
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A decomposition method for optimal portfolios with regime-switching and risk constraint
Liu, Jingzhen; Yiu, Ka-fai Cedric; Siu, Tak Kuen - In: Risk and decision analysis 3 (2012) 4, pp. 269-276
Persistent link: https://www.econbiz.de/10009704597
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On the Bayesian risk evaluation of minimum guarantees in variable annuities
Byoung Hark Yoo; Ko, Bangwon; Kwon, Hyuk-Sung - In: Asia-Pacific journal of risk and insurance : APJRI 10 (2016) 1, pp. 21-43
Persistent link: https://www.econbiz.de/10011410497