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Insurance, Mathematics & Economics, ISSN 0167-6687, 01/2018, Volume 78, p. 1
We introduce a pricing framework for a guaranteed annuity option (GAO) where both the interest and mortality risks are correlated. We assume that the short... 
Lower bounds | Quantiles | Algorithms | Computer simulation | Valuation | Mortality | Probability | Mathematical models | Risk exposure | Survival | Interest rates
Journal Article
Japan Journal of Industrial and Applied Mathematics, ISSN 0916-7005, 05/2019
Journal Article
Computational Management Science, ISSN 1619-697X, 6/2018, Volume 15, Issue 2, pp. 259 - 296
Journal Article
Applied Energy, ISSN 0306-2619, 01/2019, Volume 233-234, pp. 495 - 515
•Mean reversion, seasonality, memory, spike, and stochasticity are altogether captured.•Filtering algorithms harness the combined power of OU, Poisson, and... 
Commodity-derivatives valuation | Statistical estimation | Change of reference probability measure | Poisson process | Finance | Energy-price modelling | ENGINEERING, CHEMICAL | ENERGY & FUELS | MARKETS | ALGORITHM | GENERATION
Journal Article
Journal of big data, ISSN 2196-1115, 2017, Volume 4, Issue 1, p. 46
This paper addresses the problem of designing an efficient platform for pairs-trading implementation in real time. Capturing the stylised features of a spread... 
Journal Article
IEEE Journal of Selected Topics in Signal Processing, ISSN 1932-4553, 09/2016, Volume 10, Issue 6, pp. 994 - 1005
This paper investigates the modeling of risk due to market and funding liquidity by capturing the joint dynamics of three time series: the treasury-Eurodollar... 
Economics | Biological system modeling | Ornstein-Uhlenbeck process | VIX | S&P 500 | Predictive models | financial distress | Forecasting | Markov chain | TED | change of measure | Hidden Markov models | Data models | Numerical models | multivariate HMM filtering | ENGINEERING, ELECTRICAL & ELECTRONIC | Filtering | Algorithms | Time series | Risk | Economic forecasting | Markets | Mathematical models | Modelling
Journal Article
International Journal of Control, ISSN 0020-7179, 05/2019, pp. 1 - 22
Journal Article
IMA Journal of Management Mathematics, ISSN 1471-678X, 12/2019, Volume 31, Issue 1, pp. 1 - 3
Journal Article
Energy Economics, ISSN 0140-9883, 11/2013, Volume 40, pp. 1001 - 1013
Journal Article
Annals of the Institute of Statistical Mathematics, ISSN 0020-3157, 8/2018, Volume 70, Issue 4, pp. 807 - 853
Journal Article
Insurance Mathematics and Economics, ISSN 0167-6687, 01/2018, Volume 78, pp. 1 - 12
We introduce a pricing framework for a guaranteed annuity option (GAO) where both the interest and mortality risks are correlated. We assume that the short... 
CIR interest-rate model | Lee–Carter mortality model | Comonotonicity | Annuity-linked derivatives | Change of probability measure | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | Lee-Carter mortality model | FRAMEWORK | STATISTICS & PROBABILITY | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | ACTUARIAL SCIENCE
Journal Article
05/2014, International series in operations research & management science, ISBN 1489974415, Volume 209, 261
Since the groundbreaking research of Harry Markowitz into the application of operations research to the optimization of investment portfolios, finance has been... 
Markov processes | Finance
eBook
Computational Economics, ISSN 0927-7099, 10/2014, Volume 44, Issue 3, pp. 307 - 337
We propose a mean-reverting interest rate model whose mean-reverting level, speed of mean-reversion and volatility are all modulated by a weak Markov chain... 
Parameter estimation | Regime-switching | Economic Theory | G12 | Memory property | Weak hidden Markov model | C51 | Economics / Management Science | INTEREST-RATE MODELS | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | MANAGEMENT | LONG-RANGE DEPENDENCE | TERM STRUCTURE | ECONOMICS | Markov processes | Models | Algorithms | Analysis | Memory | Interest rates | Studies | Economic models | Markov analysis
Journal Article
Nonlinear Analysis: Hybrid Systems, ISSN 1751-570X, 02/2020, Volume 35, p. 100814
This paper details the implementation in discrete time of filters for a mean-reverting model formulated under a continuous-time framework, whereby a hidden... 
Parameter estimation | Regime-switching model | Filtering | Change of probability measure | Yield rate | MATHEMATICS, APPLIED | SERIES | SHIFTS | HIDDEN MARKOV-MODELS | INFERENCE | TERM STRUCTURE | STATE NUMBER | INTEREST-RATES | SELECTION | AUTOMATION & CONTROL SYSTEMS
Journal Article
European Actuarial Journal, ISSN 2190-9733, 12/2015, Volume 5, Issue 2, pp. 309 - 326
A Markov-modulated affine framework for dependent risk factors is proposed to value a guaranteed annuity option (GAO). Concentrating on the important effect of... 
Markov chain | Financial Services | Interest rate | Mortality | Change of numéraire | Mathematics | Applications of Mathematics | Exponential affine | Game Theory, Economics, Social and Behav. Sciences | Quantitative Finance
Journal Article
Journal of Mathematical Modelling and Algorithms in Operations Research, ISSN 2214-2487, 3/2014, Volume 13, Issue 1, pp. 59 - 85
Journal Article
Knowledge-Based Systems, ISSN 0950-7051, 06/2016, Volume 101, pp. 142 - 155
We develop a zero-delay hidden Markov model (HMM) to capture the evolution of multivariate foreign exchange (FX) rate data under a frequent trading... 
Zero-delay model | Markov chain | High-frequency trading | Multivariate HMM filtering | Japanese yen | Change of measure | CHULL | ALGORITHM | CLASSIFICATION | EXCHANGE | COMPUTER SCIENCE, ARTIFICIAL INTELLIGENCE | Markov processes | Models | Analysis | Foreign exchange | Fittings | Dynamics | Comparators | Evolution | Mathematical models | Markov models | Dynamical systems | Currencies
Journal Article
Economic Modelling, ISSN 0264-9993, 01/2011, Volume 28, Issue 1/2, p. 36
  We introduce a weak hidden Markov model (WHMM) in an attempt to capture more accurately the evolution of a risky asset. The log returns of assets are... 
Stock prices | Studies | Economic models | Parameter estimation | Rates of return | Time series | Markov analysis
Journal Article
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