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Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/271701
Description: We introduce a new double threshold model with regime switches. New filtering equations are derived based on a reference probability approach. We also propose a new and practically useful method for i ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/188200
Description: We outline a two-stage estimation method for a Markov-switching Generalized Autoregressive Conditional Heteroscedastic (GARCH) model modulated by a hidden Markov chain. The first stage involves the es ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/137373
Description: This paper introduces the class of Bayesian infinite mixture time series models first proposed in Lau & So (2004) for modelling long-term investment returns. It is a flexible class of time series mode ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/137370
Description: In this paper, we develop an option valuation model when the price dynamics of the underlying risky asset is governed by the exponential of a pure jump process specified by a shifted kernel-biased com ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/136064
Description: This article investigates the valuation of currency options when the dynamic of the spot Foreign Exchange (FX) rate is governed by a two-factor Markov-modulated stochastic volatility model, with the f ... More
Reviewed: Reviewed
Date: 2008
Subject Keyword: 010200 Applied Mathematics
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/87929
Description: We Propose a Model for Valuing Participating Life Insurance Products under a Generalized jump-diffusion Model with a Markov-switching Compensator. It also Nests a Number of Important and Popular Model ... More
Full Text: Full Text
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/138750
Description: We consider the pricing of both fixed rate and floating rate risky debts when the value of a firm is governed by a Markov-modulated generalized jump-diffusion model with the jump component described b ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/137376
Description: We investigate the ruin probability when the surplus process is governed by a generalized perturbed risk model with a Markov-switching compensator. We suppose that the jump component of the perturbed ... More
Reviewed: Reviewed
Date: 2007
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/136347
Description: In this paper, we consider a novel approach for the fair valuation of a participating life insurance policy when the dynamics of the reference portfolio underlying the policy are governed by an Asymme ... More
Reviewed: Reviewed
Date: 2007
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/136089
Description: We consider the pricing of options when the dynamics of the risky underlying asset are driven by a Markov-modulated jump-diffusion model. We suppose that the market interest rate, the drift and the vo ... More
Reviewed: Reviewed
Date: 2006
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/138721
Description: We introduce a class of Bayesian infinite mixture models first introduced by Lo (1984) to determine the credibility premium for a non-homogeneous insurance portfolio. The Bayesian infinite mixture mod ... More
Reviewed: Reviewed
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