We consider a portfolio optimization problem in a defaultable market with finitely‐many
economical regimes, where the investor can dynamically allocate her wealth among a …

The impact of market frictional costs on pricing insurance and financial products in a regime-
switching environment has not been well-explored. This paper introduces a general pricing …

In this paper, we propose an enhanced model for pricing vulnerable options. Specifically,
our model assumes that parameters such as interest rates, jump intensity, and asset value …

Equity market returns alternate between periods of calm and crises. Researchers commonly
employ regime switching models to capture this behaviour. We show that forward-looking …

The hedging of a European-style contingent claim is studied in a continuous-time doubly
Markov-modulated financial market, where the interest rate of a bond is modulated by an …

We study an open problem of risk-sensitive portfolio allocation in a regime-switching credit
market with default contagion. The state space of the Markovian regime-switching process is …

In this paper we derive the solution of the classical Merton problem, ie, maximizing the utility
of the terminal wealth, in the case when the risky assets follow a diffusion model with …

We consider a general jump-diffusion market with regime-switching where the jump risk is
modeled as a Markov-modulated Poisson random measure. In this incomplete market, we …

This paper studies an optimal investment and risk control problem for an insurer with default
contagion and regime-switching. The insurer in our model allocates his/her wealth across …

In this paper, we analyse a market where the risky assets follow defaultable exponential
additive processes, with coefficients depending on the default state of the assets. In this …