The Markov Chain Market

DOI10.2143/AST.33.2.503693MaRDI QIDQ4661683zbMATH OpenOpenAlexFDO

Authors Ragnar Norberg

Publication date 30 March 2005

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.33.2.503693

zbMATH Keywords

arbitrage pricing theorycontinuous time Markov chainsmartingale analysisrisk minimizationunit linked insurance

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Continuous-time Markov processes on discrete state spaces (60J27)

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Cites work

• A general version of the fundamental theorem of asset pricing
• Bond Market Structure in the Presence of Marked Point Processes
• scientific article; zbMATH DE number 3269073 (Why is no real title available?)
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Option pricing when underlying stock returns are discontinuous
• Option pricing: A simplified approach
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
• Statistical models based on counting processes
• Term structure models driven by general Lévy processes

Cited in

(34)

• Stock valuation along a Markov chain.
• Stable manifold market sequences
• Integration by parts and martingale representation for a Markov chain
• Optimal hedging of demographic risk in life insurance
• Continuous-time Markov chain models to estimate the premium for extended hedge fund lockups
• Dynamic Greeks
• scientific article; zbMATH DE number 1724302 (Why is no real title available?)
• Pricing derivatives under a Markov skeleton process
• ATTAINABLE CLAIMS IN A MARKOV MARKET
• An optimal mean-reversion trading rule under a Markov chain model
• Interest Guarantees in Banking
• On a generalization of the expected discounted penalty function in a discrete-time insurance risk model
• From Markovian to partially observable models
• Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market
• Explicit solutions for an optimal stock selling problem under a Markov chain model
• Mortgages and Markov Chains: A Simplified Evaluation Model
• scientific article; zbMATH DE number 1129914 (Why is no real title available?)
• A markov modulated financial model
• Time-coherent risk measures for continuous-time Markov chains
• Default times in a continuous time Markov chain economy
• Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions
• Analytic pricing solutions to term structure derivatives in a Markov chain market
• THE SQUARED ORNSTEIN‐UHLENBECK MARKET
• A note on differentiability in a Markov chain market using stochastic flows
• The geometric Markov renewal processes with application to finance
• The minimal entropy martingale measure for exponential Markov chains
• Learning Theory
• The valuation of structured products using Markov chain models
• On Markov chains induced from stock processes having barriers in finance market
• Risk-free rate caplets pricing by CTMC approximation
• On a Markov chain approximation method for option pricing with regime switching
• Optimal stopping behavior of equity-linked investment products with regime switching
• MDP algorithms for portfolio optimization problems in pure jump markets
• Asset allocation with contagion and explicit bankruptcy procedures

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