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Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/287162
Description: We propose a model for valuing ruin contingent life annuities under the regime-switching variance gamma process. The Esscher transform is employed to determine the equivalent martingale measure. The P ... More
Reviewed: Reviewed
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: conference paper abstract
Identifier: http://hdl.handle.net/1959.14/273302
Description: We propose a model for the valuation of participating life insurance products under a generalized jump-diffusion model with a Markov-switching compensator.
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/265528
Description: We propose a model for the valuation of participating life insurance products under a generalized jump-diffusion model with a Markov-switching compensator. The Esscher transform is employed to determi ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: conference paper abstract
Identifier: http://hdl.handle.net/1959.14/204026
Description: The research examines the optimal behaviour of a single dealer who is faced with a stochastic demand and supply to trade. Their market activities are depicted as the stochastic generation of market or ... More
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/179624
Description: This paper develops a model for measuring the risk inherent from trading a bond position under some important stochastic interest rate models. We employ the value at risk (VaR) and expected shortfall ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: conference paper abstract
Identifier: http://hdl.handle.net/1959.14/179814
Description: Purpose: We price regime switching risk, when pricing contingent claims in discrete time nance. In addition, we analyse the risk of market incompleteness under Markovian regime switching framework. Or ... More
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