| Publication | Date of Publication | Type |
|---|
Robust reinsurance and investment strategies under principal-agent framework
Annals of Operations Research | 2024-06-04 | Paper |
Optimal payout strategies when Bruno de Finetti meets model uncertainty
Insurance Mathematics & Economics | 2024-05-24 | Paper |
European option pricing with market frictions, regime switches and model uncertainty
Insurance Mathematics & Economics | 2024-02-13 | Paper |
Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting
Finance and Stochastics | 2024-01-02 | Paper |
A hidden Markov regime-switching smooth transition model
Studies in Nonlinear Dynamics & Econometrics | 2023-03-30 | Paper |
Mean-variance portfolio selection with random investment horizon
Journal of Industrial and Management Optimization | 2023-03-29 | Paper |
Optimal investment and consumption in a continuous-time co-integration model
IMA Journal of Management Mathematics | 2022-11-09 | Paper |
Generalized optimal liquidation problems across multiple trading venues
Journal of Industrial and Management Optimization | 2022-08-23 | Paper |
Regime switching optimal growth model with risk sensitive preferences
Journal of Mathematical Economics | 2022-08-12 | Paper |
Lower and upper pricing of financial assets
Probability, Uncertainty and Quantitative Risk | 2022-06-03 | Paper |
A generalized Esscher transform for option valuation with regime switching risk
Quantitative Finance | 2022-05-27 | Paper |
Consumption-leisure-investment strategies with time-inconsistent preference in a life-cycle model
Communications in Statistics: Theory and Methods | 2022-05-20 | Paper |
Household consumption-investment-insurance decisions with uncertain income and market ambiguity
Scandinavian Actuarial Journal | 2022-03-02 | Paper |
“Pricing Annuity Guarantees Under a Regime-Switching Model”, X. Sheldon Lin, Ken Seng Tan and Hailiang Yang, July 2009
North American Actuarial Journal | 2022-02-11 | Paper |
A stochastic maximum principle for backward control systems with random default time
International Journal of Control | 2022-01-19 | Paper |
“Asset Allocation with Hedge Funds on the Menu,” Phelim Boyle and Sun Siang Liew, October 2007
North American Actuarial Journal | 2022-01-19 | Paper |
The pricing of credit default swaps under a Markov-modulated Merton's structural model
North American Actuarial Journal | 2022-01-19 | Paper |
Option pricing under autoregressive random variance models
North American Actuarial Journal | 2021-12-22 | Paper |
Optimal pairs trading with dynamic mean-variance objective
Mathematical Methods of Operations Research | 2021-11-02 | Paper |
Optimal risk exposure and dividend payout policies under model uncertainty
Insurance Mathematics & Economics | 2021-10-19 | Paper |
How correlation risk in basket credit derivatives might be priced and managed?
IMA Journal of Management Mathematics | 2021-07-13 | Paper |
Two price economic equilibria and financial market bid/ask prices
Annals of Finance | 2021-06-28 | Paper |
Stochastic Flows and Jump-Diffusions
Quantitative Finance | 2020-12-07 | Paper |
Robust reinsurance contracts with risk constraint
Scandinavian Actuarial Journal | 2020-08-26 | Paper |
Trading strategy with stochastic volatility in a limit order book market
Decisions in Economics and Finance | 2020-07-08 | Paper |
Singular dividend optimization for a linear diffusion model with time-inconsistent preferences
European Journal of Operational Research | 2020-05-26 | Paper |
Hedging options in a doubly Markov-modulated financial market via stochastic flows
International Journal of Theoretical and Applied Finance | 2020-01-16 | Paper |
Continuous-time optimal reinsurance strategy with nontrivial curved structures
Applied Mathematics and Computation | 2020-01-09 | Paper |
A martingale approach for asset allocation with derivative security and hidden economic risk
Journal of Applied Probability | 2019-10-07 | Paper |
A Markov-driven portfolio execution strategy with market impact
Numerical Mathematics: Theory, Methods and Applications | 2019-09-20 | Paper |
Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales
Journal of Industrial and Management Optimization | 2019-06-21 | Paper |
Capital requirements and optimal investment with solvency probability constraints
IMA Journal of Management Mathematics | 2019-06-18 | Paper |
Pricing dynamic fund protection under hidden Markov models
IMA Journal of Management Mathematics | 2019-06-18 | Paper |
On infectious model for dependent defaults
Risk and Decision Analysis | 2019-03-12 | Paper |
Malliavin calculus in a binomial framework
Applied Stochastic Models in Business and Industry | 2019-03-07 | Paper |
Integration by parts and martingale representation for a Markov chain
Abstract and Applied Analysis | 2019-02-14 | Paper |
A hidden Markov-modulated jump diffusion model for European option pricing
International Series in Operations Research & Management Science | 2018-12-21 | Paper |
Pricing options in a Markov regime switching model with a random acceleration for the volatility
IMA Journal of Applied Mathematics | 2018-11-29 | Paper |
Interacting default intensity with a hidden Markov process
Quantitative Finance | 2018-11-19 | Paper |
Interacting default intensity with a hidden Markov process
Quantitative Finance | 2018-11-19 | Paper |
The market for salmon futures: an empirical analysis of the fish pool using the Schwartz multi-factor model
Quantitative Finance | 2018-11-13 | Paper |
Mean-variance portfolio selection under a constant elasticity of variance model
Operations Research Letters | 2018-09-28 | Paper |
Market-making strategy with asymmetric information and regime-switching
Journal of Economic Dynamics and Control | 2018-08-13 | Paper |
Option pricing and filtering with hidden Markov-modulated pure-jump processes
Applied Mathematical Finance | 2018-07-20 | Paper |
Optimal investment of an insurer with regime-switching and risk constraint
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
A higher-order interactive hidden Markov model and its applications
OR Spectrum | 2018-06-20 | Paper |
A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows
Journal of Mathematical Analysis and Applications | 2018-02-13 | Paper |
Optimal strategy for limit order book submissions in high frequency trading
East Asian Journal on Applied Mathematics | 2017-10-23 | Paper |
Viterbi-based estimation for Markov switching GARCH model
Applied Mathematical Finance | 2017-10-05 | Paper |
OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES
Probability in the Engineering and Informational Sciences | 2017-09-19 | Paper |
Filtering a Double Threshold Model With Regime Switching
IEEE Transactions on Automatic Control | 2017-09-08 | Paper |
Filtering a Markov Modulated Random Measure
IEEE Transactions on Automatic Control | 2017-08-25 | Paper |
An FFT approach for option pricing under a regime-switching stochastic interest rate model
Communications in Statistics: Theory and Methods | 2017-08-23 | Paper |
Asset pricing using trading volumes in a hidden regime-switching environment
Asia-Pacific Financial Markets | 2017-08-17 | Paper |
A real option approach to optimal inventory management of retail products
Journal of Industrial and Management Optimization | 2017-06-16 | Paper |
Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model
Journal of Industrial and Management Optimization | 2017-06-15 | Paper |
Impact of reorder option in supply chain coordination
Journal of Industrial and Management Optimization | 2017-06-15 | Paper |
Hidden Markov models with threshold effects and their applications to oil price forecasting
Journal of Industrial and Management Optimization | 2017-06-12 | Paper |
Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model
Discrete and Continuous Dynamical Systems. Series B | 2017-06-07 | Paper |
A real option approach for investment opportunity valuation
Journal of Industrial and Management Optimization | 2017-05-22 | Paper |
Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations
Discrete and Continuous Dynamical Systems. Series B | 2017-04-25 | Paper |
A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach
Journal of Time Series Analysis | 2017-03-16 | Paper |
A note on optimal insurance risk control with multiple reinsurers
Journal of Computational and Applied Mathematics | 2017-03-16 | Paper |
A self-exciting threshold jump-diffusion model for option valuation
Insurance Mathematics & Economics | 2016-11-21 | Paper |
Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model
Automatica | 2016-11-14 | Paper |
A functional Itô's calculus approach to convex risk measures with jump diffusion
European Journal of Operational Research | 2016-10-07 | Paper |
Optimal insurance risk control with multiple reinsurers
Journal of Computational and Applied Mathematics | 2016-05-30 | Paper |
A stochastic flows approach for asset allocation with hidden economic environment
International Journal of Stochastic Analysis | 2016-04-25 | Paper |
Risk-based indifference pricing under a stochastic volatility model
Communications on Stochastic Analysis | 2016-03-04 | Paper |
Functional Itô's calculus and dynamic convex risk measures for derivative securities
Communications on Stochastic Analysis | 2016-03-04 | Paper |
| Martingale representation for contingent claims with regime switching | 2016-01-04 | Paper |
Backward stochastic difference equations for dynamic convex risk measures on a binomial tree
Journal of Applied Probability | 2015-10-30 | Paper |
On a Markov chain approximation method for option pricing with regime switching
Journal of Industrial and Management Optimization | 2015-10-22 | Paper |
Credit portfolio management using two-level particle swarm optimization
Information Sciences | 2015-09-23 | Paper |
A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL
International Journal of Theoretical and Applied Finance | 2015-07-23 | Paper |
Option valuation under a regime-switching constant elasticity of variance process
Applied Mathematics and Computation | 2015-06-18 | Paper |
On pricing barrier options with regime switching
Journal of Computational and Applied Mathematics | 2015-06-16 | Paper |
Pricing annuity guarantees under a double regime-switching model
Insurance Mathematics & Economics | 2015-05-26 | Paper |
Filtering and change point estimation for hidden Markov-modulated Poisson processes
Applied Mathematics Letters | 2015-05-19 | Paper |
A note on differentiability in a Markov chain market using stochastic flows
Stochastic Analysis and Applications | 2015-03-23 | Paper |
Strategic asset allocation under a fractional hidden Markov model
Methodology and Computing in Applied Probability | 2014-12-05 | Paper |
Pricing and managing risks of European-style options in a Markovian regime-switching binomial model
Annals of Finance | 2014-11-12 | Paper |
Option valuation by a self-exciting threshold binomial model
Mathematical and Computer Modelling | 2014-10-21 | Paper |
On modeling credit defaults: a probabilistic Boolean network approach
Risk and Decision Analysis | 2014-08-22 | Paper |
Longevity bond pricing under stochastic interest rate and mortality with regime-switching
Insurance Mathematics & Economics | 2014-07-16 | Paper |
Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach
Insurance Mathematics & Economics | 2014-06-23 | Paper |
Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
Insurance Mathematics & Economics | 2014-06-23 | Paper |
Asset allocation under threshold autoregressive models
Applied Stochastic Models in Business and Industry | 2014-05-06 | Paper |
Risk-Based Asset Allocation Under Markov-Modulated Pure Jump Processes
Stochastic Analysis and Applications | 2014-05-02 | Paper |
Optimal dividends with debts and nonlinear insurance risk processes
Insurance Mathematics & Economics | 2014-04-15 | Paper |
On optimal cash management under a stochastic volatility model.
East Asian Journal on Applied Mathematics | 2014-04-04 | Paper |
Optimal insurance in a changing economy
Mathematical Control and Related Fields | 2014-03-11 | Paper |
On pricing basket credit default swaps
Quantitative Finance | 2014-03-04 | Paper |
Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options
Stochastic Analysis and Applications | 2014-02-11 | Paper |
The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem
Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods | 2014-01-14 | Paper |
A stochastic maximum principle for backward control systems with random default time
International Journal of Control | 2014-01-09 | Paper |
Optimal investment-reinsurance with dynamic risk constraint and regime switching
Scandinavian Actuarial Journal | 2013-12-17 | Paper |
A risk-based approach for pricing American options under a generalized Markov regime-switching model
Quantitative Finance | 2013-12-13 | Paper |
A Bayesian approach for optimal reinsurance and investment in a diffusion model
Journal of Engineering Mathematics | 2013-12-04 | Paper |
An HMM approach for optimal investment of an insurer
International Journal of Robust and Nonlinear Control | 2013-11-26 | Paper |
Optimal portfolio in a continuous-time self-exciting threshold model
Journal of Industrial and Management Optimization | 2013-11-14 | Paper |
Markovian forward-backward stochastic differential equations and stochastic flows
Systems & Control Letters | 2013-08-27 | Paper |
Markov chains. Models, algorithms and applications
International Series in Operations Research & Management Science | 2013-08-09 | Paper |
| Malliavin differentiability of a class of Feller-diffusions with relevance in finance | 2013-06-12 | Paper |
| A partial differential equation approach to multivariate risk theory | 2013-06-12 | Paper |
A decomposition method for optimal portfolios with regime-switching and risk constraint
Risk and Decision Analysis | 2013-05-23 | Paper |
Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
Operations Research Letters | 2013-05-14 | Paper |
A BSDE approach to optimal investment of an insurer with hidden regime switching
Stochastic Analysis and Applications | 2013-04-22 | Paper |
A BSDE approach to risk-based asset allocation of pension funds with regime switching
Annals of Operations Research | 2013-04-02 | Paper |
Long-term strategic asset allocation with inflation risk and regime switching
Quantitative Finance | 2013-03-14 | Paper |
On optimal proportional reinsurance and investment in a Markovian regime-switching economy
Acta Mathematica Sinica, English Series | 2013-03-14 | Paper |
Attainable contingent claims in a Markovian regime-switching market
International Journal of Theoretical and Applied Finance | 2013-03-12 | Paper |
Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
Mathematical Methods of Operations Research | 2013-02-20 | Paper |
Risk measures and behaviors for bonds under stochastic interest rate models
Mathematical and Computer Modelling | 2013-01-24 | Paper |
A BSDE approach to convex risk measures for derivative securities
Stochastic Analysis and Applications | 2012-12-13 | Paper |
Markovian regime-switching market completion using additional Markov jump assets
IMA Journal of Management Mathematics | 2012-09-13 | Paper |
A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance
SIAM Journal on Control and Optimization | 2012-08-10 | Paper |
Filtering a nonlinear stochastic volatility model
Nonlinear Dynamics | 2012-07-17 | Paper |
A flexible Markov chain approach for multivariate credit ratings
Computational Economics | 2012-07-03 | Paper |
Portfolio risk minimization and differential games
Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods | 2012-06-09 | Paper |
Option valuation with a discrete-time double Markovian regime-switching model
Applied Mathematical Finance | 2012-06-08 | Paper |
A PDE approach for risk measures for derivatives with regime switching
Annals of Finance | 2012-03-06 | Paper |
Option pricing and Esscher transform under regime switching
Annals of Finance | 2012-03-05 | Paper |
Optimal investment and reinsurance of an insurer with model uncertainty
Insurance Mathematics & Economics | 2012-02-10 | Paper |
A hidden Markov regime-switching model for option valuation
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Esscher transforms and consumption-based models
Insurance Mathematics & Economics | 2012-02-10 | Paper |
An M-ary detection approach for asset allocation
Computers & Mathematics with Applications | 2012-02-05 | Paper |
On filtering and estimation of a threshold stochastic volatility model
Applied Mathematics and Computation | 2012-01-13 | Paper |
Regime-switching risk: to price or not to price?
International Journal of Stochastic Analysis | 2012-01-03 | Paper |
Characteristic functions and option valuation in a Markov chain market
Computers & Mathematics with Applications | 2011-12-18 | Paper |
A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
International Journal of Theoretical and Applied Finance | 2011-10-24 | Paper |
Ruin Theory in a Hidden Markov-Modulated Risk Model
Stochastic Models | 2011-10-21 | Paper |
Default Times in a Continuous-Time Markovian Regime Switching Model
Stochastic Analysis and Applications | 2011-10-21 | Paper |
Utility-based indifference pricing in regime-switching models
Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods | 2011-10-17 | Paper |
Impulse control of proportional reinsurance with constraints
International Journal of Stochastic Analysis | 2011-09-08 | Paper |
Pricing and hedging contingent claims with regime switching risk
Communications in Mathematical Sciences | 2011-06-28 | Paper |
Control of discrete-time HMM partially observed under fractional Gaussian noises
Systems & Control Letters | 2011-05-31 | Paper |
Optimal mixed impulse-equity insurance control problem with reinsurance
SIAM Journal on Control and Optimization | 2011-05-17 | Paper |
A stochastic differential game for optimal investment of an insurer with regime switching
Quantitative Finance | 2011-04-28 | Paper |
On pricing and hedging options in regime-switching models with feedback effect
Journal of Economic Dynamics and Control | 2011-03-31 | Paper |
Martingale representation and admissible portfolio process with regime switching
Stochastic Analysis and Applications | 2011-03-08 | Paper |
Modelling long-term investment returns via Bayesian infinite mixture time series models
Scandinavian Actuarial Journal | 2011-02-22 | Paper |
A BSDE approach to a risk-based optimal investment of an insurer
Automatica | 2011-02-21 | Paper |
A Markov regime-switching marked point process for short-rate analysis with credit risk
International Journal of Stochastic Analysis | 2010-12-14 | Paper |
| A double mover-stayer model for credit ratings | 2010-12-13 | Paper |
Portfolio selection in the enlarged Markovian regime-switching market
SIAM Journal on Control and Optimization | 2010-10-20 | Paper |
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
Annals of Operations Research | 2010-09-20 | Paper |
Can expected shortfall and Value-at-Risk be used to statically hedge options?
Quantitative Finance | 2010-08-05 | Paper |
Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows
Applied Mathematics and Computation | 2010-07-19 | Paper |
Optimal portfolios with regime switching and value-at-risk constraint
Automatica | 2010-06-17 | Paper |
Modeling default data via an interactive hidden Markov model
Computational Economics | 2010-02-01 | Paper |
Option pricing when the regime-switching risk is priced
Acta Mathematicae Applicatae Sinica. English Series | 2009-11-13 | Paper |
On Markov‐modulated Exponential‐affine Bond Price Formulae
Applied Mathematical Finance | 2009-09-13 | Paper |
| A valuation model for perpetual convertible bonds with Markov regime-switching models | 2009-08-03 | Paper |
Robust optimal portfolio choice under Markovian regime-switching model
Methodology and Computing in Applied Probability | 2009-06-16 | Paper |
On Bayesian Mixture Credibility
ASTIN Bulletin | 2009-06-15 | Paper |
| Ruin theory under a generalized jump-diffusion model with regime switching | 2009-02-03 | Paper |
Pricing currency options under two-factor Markov-modulated stochastic volatility models
Insurance Mathematics & Economics | 2009-01-16 | Paper |
COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY
International Journal of Theoretical and Applied Finance | 2008-09-03 | Paper |
Pricing participating products under a generalized jump-diffusion model
Journal of Applied Mathematics and Stochastic Analysis | 2008-08-20 | Paper |
On option pricing under a completely random measure via a generalized Esscher transform
Insurance Mathematics & Economics | 2008-08-18 | Paper |
Pricing exotic options under a high-order Markovian regime switching model
Journal of Applied Mathematics and Decision Sciences | 2008-07-28 | Paper |
A game theoretic approach to option valuation under Markovian regime-switching models
Insurance Mathematics & Economics | 2008-06-25 | Paper |
On valuing participating life insurance contracts with conditional heteroscedasticity
Asia-Pacific Financial Markets | 2008-06-11 | Paper |
Pricing risky debts under a Markov-modulated Merton model with completely random measures
Computational Economics | 2008-06-11 | Paper |
On Fair Valuation of Participating Life Insurance Policies With Regime Switching
International Series in Operations Research & Management Science | 2007-11-05 | Paper |
Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
Stochastic Analysis and Applications | 2007-09-21 | Paper |
Risk measures for derivatives with Markov-modulated pure jump processes
Asia-Pacific Financial Markets | 2007-08-27 | Paper |
Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
Applied Mathematical Finance | 2007-06-07 | Paper |
Extracting information from spot interest rates and credit ratings using double higher-order hidden Markov models
Computational Economics | 2006-10-25 | Paper |
On Bayesian value at risk: from linear to non-linear portfolios
Asia-Pacific Financial Markets | 2006-10-24 | Paper |
OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING
International Journal of Theoretical and Applied Finance | 2006-09-12 | Paper |
Option pricing under threshold autoregressive models by threshold Esscher transform
Journal of Industrial and Management Optimization | 2006-07-14 | Paper |
Fair valuation of participating policies with surrender options and regime switching
Insurance Mathematics & Economics | 2006-03-08 | Paper |
On a multivariate Markov chain model for credit risk measurement
Quantitative Finance | 2006-03-08 | Paper |
Bayesian Risk Measures for Derivatives via Random Esscher Transform
North American Actuarial Journal | 2006-01-13 | Paper |
| scientific article; zbMATH DE number 2243787 (Why is no real title available?) | 2006-01-06 | Paper |
A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach
Applied Mathematical Finance | 2005-05-09 | Paper |
A PDE approach to risk measures of derivatives
Applied Mathematical Finance | 2002-09-05 | Paper |
Subjective risk measures: Bayesian predictive scenarios analysis
Insurance Mathematics & Economics | 2001-01-29 | Paper |
Identification both of the unknown plant and noise parameters of the K aim an filter†
International Journal of Systems Science. Principles and Applications of Systems and Integration | 1980-01-01 | Paper |
Parameter Optimization for Linear Quadratic Differential Games
Journal of Dynamic Systems, Measurement, and Control | 1977-01-01 | Paper |
