Volatility Risk For Regime-Switching Models

DOI10.1080/10920277.2004.10596175MaRDI QIDQ5716001zbMATH OpenOpenAlexFDO

Authors Ken Seng Tan, Adam W. Kolkiewicz

Publication date 6 January 2006

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2004.10596175

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A comparison of two quadratic approaches to hedging in incomplete markets
• A Regime-Switching Model of Long-Term Stock Returns
• A theory of the term structure of interest rates
• Conservative delta hedging.
• Investment guarantees: Modeling and risk management for equity-linked life insurance
• Mean-variance hedging for stochastic volatility models
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Robustness of the Black and Scholes Formula
• Stock price distributions with stochastic volatility: an analytic approach
• Volatility misspecification, option pricing and superreplication via coupling

Cited in

(6)

• Downside risk measurement in regime switching stochastic volatility
• Bayesian Risk Management for Equity-Linked Insurance
• VOLATILITY ANALYSIS OF REGIME-SWITCHING MODELS
• Assessing the costs of protection in a context of switching stochastic regimes
• PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING
• A Regime-Switching Model of Long-Term Stock Returns

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