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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/1959.14/218903
Description: One of the main characteristics of Income Protection Insurance (IPI) claim duration data,which has not been considered in the actuarial literature on the topic, is left-truncation. Claimants that are ... More
Full Text: Full Text
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/164676
Description: Estimates of the cost of equity are often sensitive to the specification of the linear factor model used in their construction. In this article, we use techniques developed for high-dimensional factor ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/195112
Description: We investigate the volatility dynamics of gold markets. While there are a number of recent studies examining volatility and Value-at-Risk (VaR) measures in financial and commodity markets, none of the ... 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
Authors: Ranjan, Ran
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/169443
Description: A dynamic model of self insurance and market insurance demand against uncertain natural hazards is developed where agents incur emotional costs when the true information about potential future catastr ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/119064
Description: 6 page(s)
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
Authors: Sadeghi, Mehdi
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/89969
Description: The present study examines the impact of the introduction of Shariah-compliant Index (SI) by Bursa Malaysia on the performance and liquidity of included shares. We use an event study methodology to es ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/180624
Description: 20 page(s)
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