Risk measures for derivatives with Markov-modulated pure jump processes
DOI10.1007/S10690-007-9038-9zbMATH Open1283.91173OpenAlexW2046116248MaRDI QIDQ2643673FDOQ2643673
Authors: Robert J. Elliott, Leunglung Chan, Tak Kuen Siu 
Publication date: 27 August 2007
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-007-9038-9
Recommendations
- A PDE approach for risk measures for derivatives with regime switching
- Risk-Based Asset Allocation Under Markov-Modulated Pure Jump Processes
- Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
- Option pricing and Esscher transform under regime switching
- Option pricing when the regime-switching risk is priced
American optionsEsscher transformcoherent risk measuresexotic optionsjump riskpure jump processesregime-switching HJB equationscombined optimal stopping and controlHJB-variational inequalities
Applications of continuous-time Markov processes on discrete state spaces (60J28) Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes (60J60) Financial applications of other theories (91G80)
Cites Work
- Coherent measures of risk
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Title not available (Why is that?)
- Information and option pricings
- Option pricing and Esscher transform under regime switching
- Mathematics of financial markets.
- Option pricing for pure jump processes with Markov switching compensators
- Applied stochastic control of jump diffusions.
- COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY
- A PDE approach to risk measures of derivatives
- Bayesian Risk Measures for Derivatives via Random Esscher Transform
- An application of hidden Markov models to asset allocation problems
- Robust parameter estimation for asset price models with Markov modulated volatilities
- FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL
- Title not available (Why is that?)
- PORTFOLIO OPTIMIZATION, HIDDEN MARKOV MODELS, AND TECHNICAL ANALYSIS OF P&F-CHARTS
Cited In (11)
- Portfolio risk minimization and differential games
- Risk-based premium evaluation with jump diffusion process for PBGC
- A PDE approach to risk measures of derivatives
- A PDE approach for risk measures for derivatives with regime switching
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
- A game theoretic approach to option valuation under Markovian regime-switching models
- w-MPS risk aversion and continuous-time MV analysis in presence of Lévy jumps
- Lower and upper pricing of financial assets
- A functional Itô's calculus approach to convex risk measures with jump diffusion
- Measure distorted arrival rate risks and their rewards
- Risk-Based Asset Allocation Under Markov-Modulated Pure Jump Processes
Uses Software
This page was built for publication: Risk measures for derivatives with Markov-modulated pure jump processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2643673)
