The Markov Chain Market

DOI10.2143/AST.33.2.503693zbMath1098.91531OpenAlexW4230899089MaRDI QIDQ4661683

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 theoryrisk minimizationcontinuous time Markov chainsmartingale analysisunit linked insurance

Mathematics Subject Classification ID

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

Related Items (15)

The Minimal Entropy Martingale Measure for Exponential Markov Chains ⋮ An optimal mean-reversion trading rule under a Markov chain model ⋮ Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market ⋮ Time-Coherent Risk Measures for Continuous-Time Markov Chains ⋮ Explicit solutions for an optimal stock selling problem under a Markov chain model ⋮ Optimal hedging of demographic risk in life insurance ⋮ Integration by parts and martingale representation for a Markov chain ⋮ On a generalization of the expected discounted penalty function in a discrete-time insurance risk model ⋮ MDP algorithms for portfolio optimization problems in pure jump markets ⋮ Dynamic Greeks ⋮ Asset allocation with contagion and explicit bankruptcy procedures ⋮ Interest Guarantees in Banking ⋮ On a Markov chain approximation method for option pricing with regime switching ⋮ A Note on Differentiability in a Markov Chain Market Using Stochastic Flows ⋮ Optimal stopping behavior of equity-linked investment products with regime switching

Cites Work

• Unnamed Item
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• A general version of the fundamental theorem of asset pricing
• Term Structure Models Driven by General Levy Processes
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
• Bond Market Structure in the Presence of Marked Point Processes
• Option pricing when underlying stock returns are discontinuous
• Option pricing: A simplified approach
• Statistical models based on counting processes

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