| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A BSDE approach to risk-based asset allocation of pension funds with regime switching |
0 |
1 |
1 |
7 |
0 |
3 |
25 |
53 |
| A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS |
0 |
0 |
1 |
5 |
1 |
1 |
7 |
20 |
| A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL |
0 |
0 |
0 |
17 |
1 |
1 |
13 |
64 |
| A Flexible Markov Chain Approach for Multivariate Credit Ratings |
0 |
0 |
1 |
8 |
0 |
0 |
6 |
53 |
| A Higher-order interactive hidden Markov model and its applications |
0 |
0 |
0 |
6 |
0 |
0 |
17 |
50 |
| A Markov Regime-Switching Marked Point Process for Short-Rate Analysis with Credit Risk |
0 |
0 |
0 |
1 |
0 |
0 |
8 |
15 |
| A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach |
0 |
0 |
0 |
2 |
0 |
1 |
7 |
31 |
| A PDE approach for risk measures for derivatives with regime switching |
0 |
0 |
0 |
98 |
0 |
2 |
15 |
287 |
| A PDE approach to risk measures of derivatives |
0 |
0 |
0 |
134 |
0 |
1 |
10 |
573 |
| A Pseudo-Bayesian Model for Stock Returns In Financial Crises |
0 |
0 |
0 |
15 |
1 |
3 |
13 |
97 |
| A Risk-Based Approach for Asset Allocation with A Defaultable Share |
0 |
0 |
0 |
2 |
0 |
0 |
12 |
49 |
| A Stochastic Flows Approach for Asset Allocation with Hidden Economic Environment |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
7 |
| A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach |
0 |
0 |
1 |
448 |
1 |
1 |
14 |
1,623 |
| A functional Itô’s calculus approach to convex risk measures with jump diffusion |
1 |
1 |
2 |
14 |
1 |
4 |
20 |
54 |
| A game theoretic approach to option valuation under Markovian regime-switching models |
0 |
0 |
1 |
56 |
0 |
0 |
12 |
172 |
| A generalized Esscher transform for option valuation with regime switching risk |
0 |
1 |
2 |
6 |
0 |
2 |
7 |
19 |
| A hidden Markov regime-switching model for option valuation |
0 |
0 |
2 |
75 |
0 |
3 |
20 |
245 |
| A hidden Markov regime-switching smooth transition model |
0 |
0 |
1 |
17 |
2 |
4 |
24 |
102 |
| A self-exciting threshold jump–diffusion model for option valuation |
0 |
0 |
0 |
12 |
0 |
0 |
7 |
61 |
| A stochastic differential game for optimal investment of an insurer with regime switching |
0 |
0 |
1 |
43 |
1 |
1 |
13 |
142 |
| ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET |
0 |
0 |
0 |
2 |
1 |
1 |
6 |
20 |
| An FFT approach for option pricing under a regime-switching stochastic interest rate model |
0 |
0 |
0 |
5 |
0 |
0 |
6 |
14 |
| An IID Test for Functional Time Series with Applications to High-Frequency VIX Index Data |
0 |
0 |
0 |
1 |
1 |
1 |
7 |
17 |
| Asset Pricing Using Trading Volumes in a Hidden Regime-Switching Environment |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
44 |
| Asset allocation under stochastic interest rate with regime switching |
0 |
0 |
0 |
58 |
2 |
2 |
15 |
207 |
| Asset allocation under threshold autoregressive models |
0 |
0 |
0 |
2 |
0 |
0 |
8 |
12 |
| Bayesian Lower and Upper Estimates for Ether Option Prices with Conditional Heteroscedasticity and Model Uncertainty |
0 |
0 |
0 |
0 |
0 |
2 |
13 |
17 |
| Bayesian Risk Measures for Derivatives via Random Esscher Transform |
0 |
0 |
0 |
1 |
0 |
0 |
9 |
13 |
| Bayesian nonlinear expectation for time series modelling and its application to Bitcoin |
0 |
0 |
0 |
2 |
1 |
2 |
15 |
30 |
| Bitcoin option pricing with a SETAR-GARCH model |
0 |
0 |
4 |
42 |
0 |
1 |
18 |
92 |
| COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY |
0 |
0 |
0 |
1 |
1 |
1 |
6 |
16 |
| Can expected shortfall and Value-at-Risk be used to statically hedge options? |
0 |
0 |
0 |
49 |
1 |
2 |
8 |
122 |
| Consumption-leisure-investment strategies with time-inconsistent preference in a life-cycle model |
0 |
0 |
0 |
1 |
1 |
1 |
5 |
16 |
| Continuous-time optimal reinsurance strategy with nontrivial curved structures |
0 |
0 |
0 |
3 |
0 |
0 |
9 |
31 |
| Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model |
0 |
0 |
2 |
15 |
0 |
0 |
16 |
66 |
| Dynamic Fund Protection for Property Markets |
0 |
0 |
0 |
0 |
1 |
2 |
6 |
9 |
| Epidemic modelling and actuarial applications for pandemic insurance: a case study of Victoria, Australia |
0 |
0 |
1 |
1 |
1 |
2 |
10 |
11 |
| Esscher transforms and consumption-based models |
0 |
0 |
1 |
77 |
0 |
2 |
13 |
261 |
| European option pricing with market frictions, regime switches and model uncertainty |
0 |
0 |
0 |
2 |
0 |
0 |
12 |
23 |
| Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models |
0 |
0 |
0 |
11 |
0 |
2 |
12 |
81 |
| Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models |
0 |
0 |
0 |
41 |
0 |
0 |
14 |
229 |
| Fair valuation of participating policies with surrender options and regime switching |
0 |
0 |
0 |
50 |
0 |
1 |
7 |
146 |
| HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS |
0 |
1 |
1 |
9 |
0 |
3 |
12 |
45 |
| Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method |
0 |
2 |
2 |
3 |
1 |
5 |
12 |
16 |
| Household consumption-investment-insurance decisions with uncertain income and market ambiguity |
0 |
0 |
0 |
3 |
1 |
1 |
7 |
15 |
| How might model uncertainty and transaction costs impact retained earning & dividend strategies? An examination through a classical insurance risk model |
0 |
0 |
2 |
2 |
0 |
0 |
19 |
21 |
| Impact of secondary market on consumer return policies and supply chain coordination |
0 |
0 |
1 |
10 |
0 |
0 |
11 |
117 |
| Impulse Control of Proportional Reinsurance with Constraints |
0 |
0 |
0 |
0 |
0 |
0 |
7 |
9 |
| Integration by Parts and Martingale Representation for a Markov Chain |
0 |
0 |
0 |
1 |
0 |
0 |
5 |
10 |
| Interacting default intensity with a hidden Markov process |
0 |
0 |
0 |
3 |
0 |
0 |
6 |
21 |
| Investment–consumption optimization with transaction cost and learning about return predictability |
0 |
0 |
0 |
0 |
0 |
0 |
8 |
9 |
| Investment–consumption–insurance optimisation problem with multiple habit formation and non-exponential discounting |
0 |
1 |
3 |
6 |
0 |
4 |
17 |
30 |
| Life-cycle model with subsistence consumption constraint and state-dependent utilities |
0 |
0 |
1 |
3 |
0 |
7 |
17 |
21 |
| Long-term strategic asset allocation with inflation risk and regime switching |
0 |
1 |
3 |
6 |
0 |
2 |
11 |
22 |
| Longevity bond pricing under stochastic interest rate and mortality with regime-switching |
0 |
0 |
1 |
37 |
0 |
0 |
19 |
149 |
| Malliavin calculus in a binomial framework |
0 |
0 |
0 |
4 |
1 |
1 |
4 |
15 |
| Market-making strategy with asymmetric information and regime-switching |
0 |
0 |
8 |
36 |
1 |
4 |
30 |
135 |
| Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance |
0 |
0 |
0 |
10 |
0 |
1 |
11 |
89 |
| OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING |
0 |
0 |
1 |
9 |
0 |
1 |
12 |
37 |
| On Bayesian Mixture Credibility |
0 |
0 |
0 |
0 |
0 |
1 |
7 |
11 |
| On Bayesian Value at Risk: From Linear to Non-Linear Portfolios |
0 |
0 |
0 |
224 |
0 |
2 |
11 |
538 |
| On Markov-modulated Exponential-affine Bond Price Formulae |
0 |
0 |
1 |
107 |
0 |
1 |
10 |
276 |
| On Optimal Pricing Model for Multiple Dealers in a Competitive Market |
0 |
0 |
1 |
3 |
0 |
2 |
13 |
33 |
| On Pricing Derivatives Under GARCH Models: A Dynamic Gerber-Shiu Approach |
0 |
0 |
0 |
1 |
0 |
0 |
4 |
8 |
| On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity |
0 |
0 |
0 |
21 |
1 |
2 |
14 |
140 |
| On a multivariate Markov chain model for credit risk measurement |
0 |
0 |
2 |
24 |
0 |
0 |
7 |
76 |
| On mean-variance portfolio selection under a hidden Markovian regime-switching model |
2 |
2 |
8 |
134 |
2 |
4 |
45 |
351 |
| On optimal reinsurance, dividend and reinvestment strategies |
0 |
0 |
0 |
5 |
0 |
1 |
11 |
61 |
| On optimal reinsurance, dividend and reinvestment strategies |
0 |
0 |
0 |
45 |
1 |
1 |
8 |
166 |
| On option pricing under a completely random measure via a generalized Esscher transform |
0 |
0 |
0 |
34 |
0 |
2 |
6 |
122 |
| On pricing and hedging options in regime-switching models with feedback effect |
0 |
0 |
1 |
49 |
0 |
1 |
12 |
195 |
| On pricing basket credit default swaps |
0 |
0 |
0 |
2 |
0 |
1 |
12 |
36 |
| On reduced-form intensity-based model with ‘trigger’ events |
0 |
0 |
0 |
2 |
0 |
0 |
6 |
31 |
| On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy |
1 |
1 |
1 |
6 |
1 |
3 |
14 |
42 |
| On supply chain coordination for false failure returns: A quantity discount contract approach |
0 |
0 |
0 |
19 |
1 |
1 |
10 |
136 |
| On the Market-consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures |
0 |
0 |
1 |
13 |
0 |
1 |
16 |
56 |
| Optimal dividends with debts and nonlinear insurance risk processes |
0 |
0 |
0 |
6 |
1 |
1 |
10 |
47 |
| Optimal investment and reinsurance of an insurer with model uncertainty |
0 |
0 |
0 |
67 |
0 |
0 |
6 |
225 |
| Optimal investment of an insurer with regime-switching and risk constraint |
0 |
0 |
0 |
1 |
0 |
0 |
2 |
5 |
| Optimal pairs trading with dynamic mean-variance objective |
0 |
0 |
1 |
2 |
0 |
4 |
10 |
21 |
| Optimal payout strategies when Bruno de Finetti meets model uncertainty |
0 |
0 |
0 |
5 |
0 |
17 |
24 |
30 |
| Optimal reinsurance policies with two reinsurers in continuous time |
0 |
0 |
1 |
9 |
0 |
0 |
21 |
62 |
| Optimal risk exposure and dividend payout policies under model uncertainty |
0 |
0 |
1 |
9 |
1 |
1 |
14 |
41 |
| Option Pricing Under a Stochastic Interest Rate and Volatility Model with Hidden Markovian Regime-Switching |
0 |
0 |
1 |
8 |
0 |
0 |
31 |
61 |
| Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes |
0 |
0 |
1 |
24 |
0 |
0 |
6 |
90 |
| Option Valuation Under a Double Regime‐Switching Model |
0 |
0 |
1 |
12 |
0 |
0 |
6 |
32 |
| Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model |
0 |
0 |
0 |
12 |
0 |
0 |
5 |
74 |
| Option pricing and Esscher transform under regime switching |
0 |
1 |
2 |
924 |
0 |
2 |
19 |
1,901 |
| Pricing Participating Products under a Generalized Jump-Diffusion Model |
0 |
0 |
0 |
0 |
1 |
1 |
5 |
8 |
| Pricing Risky Debts Under a Markov-modudated Merton Model with Completely Random Measures |
0 |
0 |
0 |
19 |
0 |
0 |
9 |
74 |
| Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching |
0 |
0 |
0 |
199 |
0 |
1 |
12 |
607 |
| Pricing and managing risks of European-style options in a Markovian regime-switching binomial model |
0 |
0 |
0 |
10 |
0 |
0 |
8 |
57 |
| Pricing annuity guarantees under a double regime-switching model |
0 |
0 |
0 |
12 |
1 |
1 |
14 |
69 |
| Pricing bond options under a Markovian regime-switching Hull–White model |
0 |
0 |
2 |
50 |
0 |
5 |
21 |
198 |
| Pricing currency options under two-factor Markov-modulated stochastic volatility models |
0 |
0 |
0 |
78 |
1 |
3 |
16 |
277 |
| Pricing foreign equity options with regime-switching |
0 |
0 |
0 |
17 |
0 |
0 |
10 |
75 |
| Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach |
0 |
0 |
0 |
8 |
0 |
0 |
8 |
80 |
| Pricing regime-switching risk in an HJM interest rate environment |
0 |
1 |
1 |
11 |
1 |
3 |
44 |
73 |
| Pricing strategy for a two-echelon supply chain with optimized return effort level |
0 |
0 |
0 |
4 |
1 |
2 |
13 |
57 |
| Regime switching optimal growth model with risk sensitive preferences |
0 |
0 |
0 |
4 |
0 |
1 |
16 |
31 |
| Regime-Switching Risk: To Price or Not to Price? |
0 |
0 |
0 |
2 |
1 |
1 |
8 |
16 |
| Risk measures for derivatives with Markov-modulated pure jump processes |
0 |
0 |
0 |
103 |
2 |
2 |
7 |
335 |
| Robust Optimal Portfolio Choice Under Markovian Regime-switching Model |
0 |
0 |
0 |
0 |
0 |
0 |
7 |
11 |
| Robust reinsurance and investment strategies under principal–agent framework |
0 |
1 |
4 |
9 |
1 |
3 |
17 |
29 |
| Robust reinsurance contracts with risk constraint |
0 |
0 |
2 |
3 |
1 |
1 |
8 |
10 |
| Singular dividend optimization for a linear diffusion model with time-inconsistent preferences |
0 |
0 |
1 |
6 |
1 |
1 |
7 |
24 |
| Stochastic Flows and Jump-Diffusions |
0 |
0 |
0 |
2 |
1 |
1 |
5 |
19 |
| Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model |
0 |
0 |
1 |
14 |
1 |
1 |
7 |
51 |
| Strategic Asset Allocation Under a Fractional Hidden Markov Model |
0 |
0 |
0 |
1 |
0 |
2 |
17 |
29 |
| Subjective risk measures: Bayesian predictive scenarios analysis |
0 |
0 |
0 |
39 |
0 |
0 |
7 |
117 |
| The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model |
0 |
0 |
0 |
0 |
1 |
2 |
8 |
11 |
| The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model |
0 |
0 |
0 |
3 |
0 |
1 |
12 |
32 |
| The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights |
0 |
0 |
0 |
12 |
1 |
1 |
9 |
36 |
| Threshold Autoregressive Nearest-Neighbour Models for Claims Reserving |
0 |
0 |
0 |
3 |
0 |
0 |
12 |
16 |
| Trading strategy with stochastic volatility in a limit order book market |
0 |
0 |
0 |
15 |
2 |
8 |
23 |
95 |
| Two price economic equilibria and financial market bid/ask prices |
0 |
0 |
0 |
6 |
1 |
1 |
6 |
28 |
| Valuing commodity options and futures options with changing economic conditions |
0 |
0 |
0 |
9 |
0 |
0 |
9 |
67 |
| Viterbi-Based Estimation for Markov Switching GARCH Model |
0 |
0 |
0 |
19 |
2 |
2 |
9 |
101 |
| “Asset Allocation with Hedge Funds on the Menu,” Phelim Boyle and Sun Siang Liew, October 2007 |
0 |
0 |
0 |
1 |
0 |
0 |
5 |
9 |
| Total Journal Articles |
4 |
14 |
78 |
3,902 |
50 |
170 |
1,395 |
13,464 |
LogEc is hosted by the
Örebro University School of Business.