| Publication | Date of Publication | Type |
|---|
Examining the identifiability and estimability of the phase-type ageing model
Computational Statistics | 2024-07-05 | Paper |
An online estimation scheme for a Hull–White model with HMM-driven parameters
Statistical Methods and Applications | 2024-04-30 | Paper |
A comparison of three algorithms in the filtering of a Markov-modulated non-homogeneous Poisson process
International Journal of Systems Science. Principles and Applications of Systems and Integration | 2024-04-12 | Paper |
A uniformisation-driven algorithm for inference-related estimation of a phase-type ageing model
Lifetime Data Analysis | 2023-06-20 | Paper |
Modelling and filtering for dynamic investment in the precious-metals market
International Journal of Computer Mathematics | 2022-10-24 | Paper |
Jumping hedges on the strength of the Mellin transform
Results in Applied Mathematics | 2022-05-31 | Paper |
Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
Insurance Mathematics & Economics | 2022-03-10 | Paper |
The pricing of credit default swaps under a Markov-modulated Merton's structural model
North American Actuarial Journal | 2022-01-19 | Paper |
The valuation of a guaranteed minimum maturity benefit under a regime-switching framework
North American Actuarial Journal | 2021-12-18 | Paper |
Bond pricing formulas for Markov-modulated affine term structure models
Journal of Industrial and Management Optimization | 2021-11-23 | Paper |
Risk measurement of a guaranteed annuity option under a stochastic modelling framework
Mathematics and Computers in Simulation | 2021-02-19 | Paper |
Online estimation for a predictive analytics platform with a financial-stability-analysis application
European Journal of Control | 2021-01-21 | Paper |
AN EFFECTIVE BIAS-CORRECTED BAGGING METHOD FOR THE VALUATION OF LARGE VARIABLE ANNUITY PORTFOLIOS
ASTIN Bulletin | 2020-12-13 | Paper |
Management Mathematics: a retrospective
IMA Journal of Management Mathematics | 2020-09-30 | Paper |
Inference for a change-point problem under an OU setting with unequal and unknown volatilities
The Canadian Journal of Statistics | 2020-04-28 | Paper |
Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation
Nonlinear Analysis. Hybrid Systems | 2020-03-06 | Paper |
Annuity contract valuation under dependent risks
Japan Journal of Industrial and Applied Mathematics | 2020-02-28 | Paper |
An interest rate model with a Markovian mean reverting level
Quantitative Finance | 2019-01-14 | Paper |
Parameter estimation in a regime-switching model with non-normal noise
International Series in Operations Research & Management Science | 2018-12-21 | Paper |
Parameter Estimation in a Weak Hidden Markov Model with Independent Drift and Volatility
International Series in Operations Research & Management Science | 2018-12-21 | Paper |
Putting a price tag on temperature
Computational Management Science | 2018-11-07 | Paper |
Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting
Annals of the Institute of Statistical Mathematics | 2018-08-10 | Paper |
An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks
Insurance Mathematics & Economics | 2018-02-15 | Paper |
Inference for a mean-reverting stochastic process with multiple change points
Electronic Journal of Statistics | 2017-06-08 | Paper |
Determination of a structural break in a mean-reverting process
| 2016-10-10 | Paper |
A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
Stochastics | 2016-06-10 | Paper |
Pricing and risk management of interest rate swaps
European Journal of Operational Research | 2016-03-15 | Paper |
Pricing a guaranteed annuity option under correlated and regime-switching risk factors
European Actuarial Journal | 2016-01-15 | Paper |
Mortality modelling with regime-switching for the valuation of a guaranteed annuity option
Insurance Mathematics & Economics | 2015-08-20 | Paper |
An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions
Quantitative Finance | 2015-04-23 | Paper |
A comonotonicity-based valuation method for guaranteed annuity options
Journal of Computational and Applied Mathematics | 2014-04-30 | Paper |
A higher-order hidden Markov chain-modulated model for asset allocation
Journal of Mathematical Modelling and Algorithms in Operations Research | 2014-02-07 | Paper |
An examination of HMM-based investment strategies for asset allocation
Applied Stochastic Models in Business and Industry | 2013-11-15 | Paper |
scientific article; zbMATH DE number 6174825 (Why is no real title available?)
| 2013-06-12 | Paper |
A linear algebraic method for pricing temporary life annuities and insurance policies
Insurance Mathematics & Economics | 2012-02-10 | Paper |
A self-tuning model for inflation rate dynamics
Communications in Nonlinear Science and Numerical Simulation | 2011-10-13 | Paper |
A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework
Quantitative Finance | 2011-06-09 | Paper |
Parameter estimation in a regime-switching model when the drift and volatility are independent
| 2011-01-15 | Paper |
A partially linearized sigma point filter for latent state estimation in nonlinear time series models
Journal of Computational and Applied Mathematics | 2010-02-12 | Paper |
Valuation of contingent claims with mortality and interest rate risks
Mathematical and Computer Modelling | 2009-10-12 | Paper |
A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE
International Journal of Theoretical and Applied Finance | 2009-02-26 | Paper |
A new algorithm for latent state estimation in non-linear time series models
Applied Mathematics and Computation | 2009-01-16 | Paper |
A new moment matching algorithm for sampling from partially specified symmetric distributions
Operations Research Letters | 2009-01-09 | Paper |
Recovery of time-dependent parameters of a Black-Scholes-type equation: an inverse Stieltjes moment approach
Journal of Applied Mathematics | 2008-02-20 | Paper |
Adaptive signal processing of asset price dynamics with predictability analysis
Information Sciences | 2008-01-11 | Paper |
An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market
International Series in Operations Research & Management Science | 2007-11-05 | Paper |
A streamlined derivation of the Black-Scholes option pricing formula
Journal of Interdisciplinary Mathematics | 2007-09-04 | Paper |
Valuation of cash flows under random rates of interest: a linear algebraic approach
Insurance Mathematics & Economics | 2007-07-19 | Paper |
AN APPLICATION OF MELLIN TRANSFORM TECHNIQUES TO A BLACK–SCHOLES EQUATION PROBLEM
Analysis and Applications | 2007-02-07 | Paper |
An alternative approach to solving the Black-Scholes equation with time-varying parameters
Applied Mathematics Letters | 2006-05-11 | Paper |
Explicit solutions to European options in a regime-switching economy
Operations Research Letters | 2006-02-02 | Paper |
A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL
International Journal of Theoretical and Applied Finance | 2005-10-19 | Paper |
Analytic pricing solutions to term structure derivatives in a Markov chain market
IMA Journal of Management Mathematics | 2005-03-21 | Paper |
Three ways to solve for bond prices in the Vasiček model
Journal of Applied Mathematics and Decision Sciences | 2005-01-31 | Paper |
A time-varying Markov chain model of term structure.
Statistics & Probability Letters | 2003-05-07 | Paper |
