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Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/172293
Description: We introduce a class of stochastic volatility models whose parameters are modulated by a hidden nonlinear dynamical system. Our aim is to incorporate the impact of economic cycles, or business cycles, ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/163850
Description: Under discrete-time GARCH models markets are incomplete so there is more than one price kernel for valuing contingent claims. This motivates the quest for selecting an appropriate price kernel. Differ ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/164945
Description: This paper considers a risk-based approach for pricing an American contingent claim in an incomplete market described by a continuous-time, Markov, regime-switching jump-diffusion model. We formulate ... More
Reviewed: Reviewed
Authors: Siu, Tak Kuen
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/143425
Description: Long-term strategic asset allocation is an important problem in both finance and actuarial science. There are two key issues in long-term strategic asset allocation, namely, the presence of inflation ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/102465
Description: We consider the optimal portfolio selection problem subject to a maximum value-at-Risk (MVaR) constraint when the price dynamics of the risky asset are governed by a Markov-modulated geometric Brownia ... More
Reviewed: Reviewed
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