Various Financial Applications of Regime-Switching Jump-Diffusion Models

QR Code

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...

Full description

Bibliographic Details
Main Author:	Yang, Yu
Format:	Thesis
Published:	Curtin University 2020
Online Access:	http://hdl.handle.net/20.500.11937/80427

Similar Items

Pricing formula for power options with jump-diffusion
by: Ibrahim, Siti Nur Iqmal, et al.
Published: (2016)

Markov switching models for time series data with dramatic jumps
by: Masoud Yarmohammadi,, et al.
Published: (2012)

Option Pricing Model Based on the Stochastic Volatility and Jump Diffusion Process
by: Liu, Xudong
Published: (2014)

Modeling of American-style Asian option under jump-diffusion process
by: Laham, Mohamed Faris
Published: (2024)

Weak Euler Approximation for Ito Diffusion and Jump Processes
by: Mikulevicius, R., et al.
Published: (2015)

Pricing formula for power options under jump-diffusion
by: Ibrahim, Siti Nur Iqmal, et al.
Published: (2015)

Modelling exchange rates using regime switching models
by: Mohd Tahir Ismail,, et al.
Published: (2006)

Defaultable bond pricing under the jump diffusion model with copula dependence structure
by: Siti Norafidah Mohd Ramli,, et al.
Published: (2020)

A Martingale approach to optimal portfolios with jump-diffusions and benchmarks
by: Michelbrink, Daniel
Published: (2012)

An Emppirical Study on Asymmetric Jump Diffusion For Option and Annuity Pricing
by: Lau, Kein Joe
Published: (2018)

Multi-Period Mean-Variance Portfolio Selection with Regime-Switching
by: Wang, Yang
Published: (2019)

Post-activation performance enhancement of countermovement jump after drop jump versus squat jump exercises in elite rhythmic gymnasts
by: Yang, Chengbo, et al.
Published: (2024)

Penalty method for pricing American-style Asian option with jumps diffusion process
by: Ibrahim, S. N. I., et al.
Published: (2023)

Switching-regime regression for modeling and predicting a stock market return
by: Szulczyk, Kenneth, et al.
Published: (2019)

Aggregate Australian takeovers: A review of Markov regime switching models
by: Duong, Lien
Published: (2013)

The effect of regime switching policy rules on economic growth
by: Norlin Khalid,, et al.
Published: (2013)

Pricing arithmetic Asian put option with early exercise boundary under jump-diffusion process
by: Laham, Mohamed Faris, et al.
Published: (2020)

Call warrants pricing formula under mixed-fractional Brownian motion with Merton jump-diffusion
by: S. N. I., Ibrahim, et al.
Published: (2022)

A Game theoretic Approach to Option Valuation Under Markovian Regime-Switching Models
by: Siu, Tak kuen
Published: (2008)

A PDE approach for risk measures for derivatives with regime switching
by: Elliott, R., et al.
Published: (2008)

Effects of various jumping exercises on vertical force distribution and emg pattern in school children
by: Siti Musyrifah, Ismail
Published: (2008)

A numerical scheme for pricing american options with transaction costs under a jump diffusion process
by: Lesmana, D., et al.
Published: (2017)

A robust weak Taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations
by: Zhou, Y., et al.
Published: (2013)

Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market
by: Li, S., et al.
Published: (2014)

Biological Utilization Of Fibre In Swine Under Various Nutrient Regimes
by: Ong, Hwee Keng
Published: (1984)

Environmental reporting and speed of adjustment to target leverage: Evidence from a dynamic regime switching model
by: Hafezali, I. H., et al.
Published: (2020)

Study of Various Fluid Flow and Heat Transfer Problems in the Slip Regime
by: Otaif, Amani Ahmed A
Published: (2022)

Analysis of Various Complex Flows of Micropolar Fluids in the Slip Flow Regime
by: Kamram, Muhammad
Published: (2018)

Determination Of Apparent Diffusion Coefficient Of Blood At Its Various Ages Using The Technique Of Diffusion Mri
by: Taib, Hartini Mohd
Published: (2010)

Time and cold joint effect on chloride diffusion in concrete containing GGBFS under various loading conditions
by: Yang, H., et al.
Published: (2018)

A study on various configurations of baffle blocks to reduce the hydraulic jump effect / Caroline Peter Diman... [et al.]
by: Peter Diman, Caroline, et al.
Published: (2008)

Constrained model predictive control for Markov jump system with disturbances
by: Zhang, Y., et al.
Published: (2015)

Evaluation of various leakage current paths with different switching conditions
by: Khan, Md Noman Habib, et al.
Published: (2014)

An adoption-diffusion model for RFID application in Bangladesh
by: Hossain, M., et al.
Published: (2009)

Application of Fickian and non-Fickian diffusion models to study moisture diffusion in asphalt mastics
by: Apeagyei, Alex K., et al.
Published: (2015)

Effect of turbulence intensity on turning diffuser performance at various angle of turns
by: Lim, Gim Huang, et al.
Published: (2020)

Novel hardware for temperature-jump DNP
by: Breeds, Edward
Published: (2018)

Early jump-out corner detectors
by: Cooper, James
Published: (1993)

Making the jump from science to cosmetics
by: Mohamed, Nurjehan
Published: (2012)

A Robust Numerical Scheme for Pricing American Options Under Regime Switching Based on Penalty Method
by: Zhang, Kai, et al.
Published: (2013)

Cannot write session to /tmp/vufind_sessions/sess_r6ua9bp9jsdvjd430jvj4u957u