Pages that link to "Item:Q5718204"

The following pages link to A Regime-Switching Model of Long-Term Stock Returns (Q5718204):

Displaying 50 items.

• Free boundaries of credit rating migration in switching macro regions (Q2197188) (← links)
• Exact long time behavior of some regime switching stochastic processes (Q2203615) (← links)
• Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization (Q2219642) (← links)
• Regime switching model estimation: spectral clustering hidden Markov model (Q2241182) (← links)
• Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level (Q2244233) (← links)
• Regime-switching shot-noise processes and longevity bond pricing (Q2257575) (← links)
• A contagion model with Markov regime-switching intensities (Q2258911) (← links)
• Sum of Bernoulli mixtures: beyond conditional independence (Q2260590) (← links)
• Optimal mean-variance investment/reinsurance with common shock in a regime-switching market (Q2274152) (← links)
• Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation (Q2304045) (← links)
• Fast and efficient nested simulation for large variable annuity portfolios: a surrogate modeling approach (Q2306093) (← links)
• Convergence rates of trinomial tree methods for option pricing under regime-switching models (Q2343665) (← links)
• Pricing annuity guarantees under a double regime-switching model (Q2347059) (← links)
• Valuation of large variable annuity portfolios under nested simulation: a functional data approach (Q2347065) (← links)
• Multi-period defined contribution pension funds investment management with regime-switching and mortality risk (Q2374101) (← links)
• Laplace transform methods for a free boundary problem of time-fractional partial differential equation system (Q2403902) (← links)
• Option pricing under regime-switching models: novel approaches removing path-dependence (Q2421406) (← links)
• Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase (Q2423292) (← links)
• Constant proportion portfolio insurance under a regime switching exponential Lévy process (Q2443230) (← links)
• A multivariate aggregate loss model (Q2445352) (← links)
• Analytical calculation of risk measures for variable annuity guaranteed benefits (Q2447419) (← links)
• A lattice method for option pricing with two underlying assets in the regime-switching model (Q2448349) (← links)
• Adaptive signal processing of asset price dynamics with predictability analysis (Q2465971) (← links)
• On the joint distribution of surplus before and after ruin under a Markovian regime switching model (Q2490058) (← links)
• Optimal hedging when the underlying asset follows a regime-switching Markov process (Q2514833) (← links)
• Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model (Q2518552) (← links)
• Two-stage nested simulation of tail risk measurement: a likelihood ratio approach (Q2681447) (← links)
• Pricing American options under multi-state regime switching with an efficient<i>L</i>- stable method (Q2804504) (← links)
• A tree approach to options pricing under regime-switching jump diffusion models (Q2804506) (← links)
• On finite-time ruin probabilities with reinsurance cycles influenced by large claims (Q2868604) (← links)
• A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk (Q2875524) (← links)
• Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model (Q2879033) (← links)
• Good-Deal Bounds in a Regime-Switching Diffusion Market (Q2889602) (← links)
• Mixture Gaussian Time Series Modeling of Long-Term Market Returns (Q3010446) (← links)
• Conditional Tail Moments of the Exponential Family and Its Related Distributions (Q3088974) (← links)
• Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method (Q3088977) (← links)
• A moment approach to bounding exotic options under regime switching (Q3145039) (← links)
• Bounds of ruin probability for regime-switching models using time scale separation (Q3440848) (← links)
• Pricing Equity-indexed Annuities When Discrete Dividends Follow a Markov-Modulated Jump Diffusion Model (Q3462361) (← links)
• REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING (Q3580220) (← links)
• NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING (Q3637884) (← links)
• Dynamic asset–liability management in a Markov market with stochastic cash flows (Q4554228) (← links)
• Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance (Q4555162) (← links)
• Hedging Costs for Variable Annuities Under Regime-Switching (Q4562479) (← links)
• Parameter Estimation in a Weak Hidden Markov Model with Independent Drift and Volatility (Q4562483) (← links)
• LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK (Q4562946) (← links)
• VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK (Q4563742) (← links)
• A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model (Q4575461) (← links)
• Mortality regimes and longevity risk in a life annuity portfolio (Q4576922) (← links)
• OPTIMAL ASSET ALLOCATION WITH STOCHASTIC INTEREST RATES IN REGIME-SWITCHING MODELS (Q4584699) (← links)