Pages that link to "Item:Q5718204"
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The following pages link to A Regime-Switching Model of Long-Term Stock Returns (Q5718204):
Displayed 50 items.
- Markov regime-switching quantile regression models and financial contagion detection (Q282262) (← links)
- A stochastic semidefinite programming approach for bounds on option pricing under regime switching (Q285991) (← links)
- A reduced-form model for correlated defaults with regime-switching shot noise intensities (Q292361) (← links)
- Variational Bayes for regime-switching log-normal models (Q296292) (← links)
- Impulse control of pension fund contributions, in a regime switching economy (Q297413) (← links)
- A comparison of iterated optimal stopping and local policy iteration for American options under regime switching (Q461227) (← links)
- Pricing and managing risks of European-style options in a Markovian regime-switching binomial model (Q470671) (← links)
- Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process (Q470735) (← links)
- Bilateral counterparty risk valuation on a CDS with a common shock model (Q479176) (← links)
- Mortality modelling with regime-switching for the valuation of a guaranteed annuity option (Q492634) (← links)
- Optimal buying at the global minimum in a regime switching model (Q502365) (← links)
- Convergence rate of regime-switching trees (Q515751) (← links)
- Computing American option price under regime switching with rationality parameter (Q520865) (← links)
- Stock loan valuation under a regime-switching model with mean-reverting and finite maturity (Q601072) (← links)
- Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation (Q629561) (← links)
- Accounting for regime and parameter uncertainty in regime-switching models (Q654823) (← links)
- Valuation of guaranteed annuity options using a stochastic volatility model for equity prices (Q661249) (← links)
- Option pricing and Esscher transform under regime switching (Q665552) (← links)
- Optimal stopping behavior of equity-linked investment products with regime switching (Q817296) (← links)
- Random recurrence equations and ruin in a Markov-dependent stochastic economic environment (Q835065) (← links)
- Moving mesh methods for pricing Asian options with regime switching (Q908388) (← links)
- Temporal aggregation of equity return time-series models (Q929677) (← links)
- Regime switching volatility calibration by the Baum-Welch method (Q989132) (← links)
- Pricing exotic options under regime switching (Q995503) (← links)
- Small-time ruin for a financial process modulated by a Harris recurrent Markov chain (Q1003334) (← links)
- Moment matching machine learning methods for risk management of large variable annuity portfolios (Q1657175) (← links)
- Testing for the number of states in hidden Markov models (Q1659122) (← links)
- Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model (Q1671736) (← links)
- Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization (Q1683121) (← links)
- Multiperiod Telser's safety-first portfolio selection with regime switching (Q1726995) (← links)
- Optimal investment-consumption strategy under inflation in a Markovian regime-switching market (Q1727501) (← links)
- A new tree method for pricing financial derivatives in a regime-switching mean-reverting model (Q1926230) (← links)
- HMM based scenario generation for an investment optimisation problem (Q1931635) (← links)
- An optimal stochastic control framework for determining the cost of hedging of variable annuities (Q1994570) (← links)
- Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model (Q1999691) (← links)
- A local radial basis function method for pricing options under the regime switching model (Q2000056) (← links)
- A switching self-exciting jump diffusion process for stock prices (Q2000696) (← links)
- Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching (Q2006416) (← links)
- A new efficient numerical method for solving American option under regime switching model (Q2006602) (← links)
- Risk models with dependence between claim occurrences and severities for Atlantic hurricanes (Q2015481) (← links)
- Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach (Q2015638) (← links)
- Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers (Q2015659) (← links)
- Option pricing in regime-switching frameworks with the extended Girsanov principle (Q2038228) (← links)
- Computation of powered option prices under a general model for underlying asset dynamics (Q2074891) (← links)
- Learning hidden Markov models with unknown number of states (Q2116568) (← links)
- Optimal feedback control of stock prices under credit risk dynamics (Q2151675) (← links)
- Valuation of annuity guarantees under a self-exciting switching jump model (Q2152249) (← links)
- Sample recycling method -- a new approach to efficient nested Monte Carlo simulations (Q2155860) (← links)
- A semi-analytic valuation of American options under a two-state regime-switching economy (Q2164646) (← links)
- Downside risk measurement in regime switching stochastic volatility (Q2178387) (← links)