Various Financial Applications of Regime-Switching Jump-Diffusion Models
The regime-switching jump-diffusion models have attracted great attention from the research community recently due to their ability to capture the random market movements during both short-term and long-term periods. This research focuses on the applications of various regime-switching jump-diffusio...
| Main Author: | |
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| Format: | Thesis |
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Curtin University
2020
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| Online Access: | http://hdl.handle.net/20.500.11937/80427 |
| _version_ | 1848764214914580480 |
|---|---|
| author | Yang, Yu |
| author_facet | Yang, Yu |
| author_sort | Yang, Yu |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | The regime-switching jump-diffusion models have attracted great attention from the research community recently due to their ability to capture the random market movements during both short-term and long-term periods. This research focuses on the applications of various regime-switching jump-diffusion models to two important financial problems, the mean-variance asset-liability management problem and the pricing of variance (volatility) swaps, where little work has been done to our knowledge. |
| first_indexed | 2025-11-14T11:15:48Z |
| format | Thesis |
| id | curtin-20.500.11937-80427 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T11:15:48Z |
| publishDate | 2020 |
| publisher | Curtin University |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-804272022-08-05T04:32:43Z Various Financial Applications of Regime-Switching Jump-Diffusion Models Yang, Yu The regime-switching jump-diffusion models have attracted great attention from the research community recently due to their ability to capture the random market movements during both short-term and long-term periods. This research focuses on the applications of various regime-switching jump-diffusion models to two important financial problems, the mean-variance asset-liability management problem and the pricing of variance (volatility) swaps, where little work has been done to our knowledge. 2020 Thesis http://hdl.handle.net/20.500.11937/80427 Curtin University fulltext |
| spellingShingle | Yang, Yu Various Financial Applications of Regime-Switching Jump-Diffusion Models |
| title | Various Financial Applications of Regime-Switching Jump-Diffusion Models |
| title_full | Various Financial Applications of Regime-Switching Jump-Diffusion Models |
| title_fullStr | Various Financial Applications of Regime-Switching Jump-Diffusion Models |
| title_full_unstemmed | Various Financial Applications of Regime-Switching Jump-Diffusion Models |
| title_short | Various Financial Applications of Regime-Switching Jump-Diffusion Models |
| title_sort | various financial applications of regime-switching jump-diffusion models |
| url | http://hdl.handle.net/20.500.11937/80427 |