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Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/229271
Description: We discuss the pricing and risk management problems of standard European-style options in a Markovian regime-switching binomial model. Due to the presence of an additional source of uncertainty descri ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/212555
Description: In this paper, we investigate the valuation of bond options under a Markovian regime-switching Hull-White model, where both the mean-reverting level and the volatility of the interest rate are modulat ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/172299
Description: Modeling the dependence of credit ratings is an important issue for portfolio credit risk analysis. Multivariate Markov chain models are a feasible mathematical tool for modeling the dependence of cre ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/182501
Description: 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 ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/205743
Description: It is known that the market in a Markovian regime-switching model is, in general, incomplete, so not all contingent claims can be perfectly hedged. We show, in this paper, how certain contingent claim ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/173976
Description: Purpose – The purpose of this paper is to consider a discrete-time, Markov, regime-switching, affine term-structure model for valuing bonds and other interest rate securities. The proposed model incor ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/130464
Description: We investigate an optimal reinsurance and dividend problem of an insurance company with the presence of reinvestments, or retained earnings. We consider the general situation that the company needs to ... More
Reviewed: Reviewed
Date: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/140420
Description: In this paper we use Ching's multivariate Markov chain model to model the dependency of rating transitions of several credit entities. The model is an enhancement of the multivariate Markov chain mode ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/137366
Description: This paper considers a partial differential equation (PDE) approach to evaluate coherent risk measures for derivative instruments when the dynamics of the risky underlying asset are governed by a Mark ... More
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
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