Hybrid Switching Diffusions: Properties and Applications (Yin, GG and Zhu, C.; 2010)[Bookshelf]
R Liu - IEEE Control Systems Magazine, 2010 - ieeexplore.ieee.org
Hybrid Switching Diffusions: Properties and Applications (Yin, GG and Zhu, C.; 2010) [Bookshelf]
Page 1 74 IEEE CONTROL SYSTEMS MAGAZINE » OCTOBER 2010 » BOOKSHELF 1066-033X/10/$26.00©2010IEEE …
Page 1 74 IEEE CONTROL SYSTEMS MAGAZINE » OCTOBER 2010 » BOOKSHELF 1066-033X/10/$26.00©2010IEEE …
[图书][B] Stochastic modelling and applied probability
A Board - 2005 - Springer
During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …
book, considerable progress was achieved in the area of financial modelling and pricing of …
Markowitz's mean-variance portfolio selection with regime switching: A continuous-time model
A continuous-time version of the Markowitz mean-variance portfolio selection model is
proposed and analyzed for a market consisting of one bank account and multiple stocks …
proposed and analyzed for a market consisting of one bank account and multiple stocks …
American options with regime switching
J Buffington, RJ Elliott - … Journal of Theoretical and Applied Finance, 2002 - World Scientific
A Black-Scholes market is considered in which the underlying economy, as modeled by the
parameters and volatility of the processes, switches between a finite number of states. The …
parameters and volatility of the processes, switches between a finite number of states. The …
Information and option pricings
X Guo - Quantitative Finance, 2001 - iopscience.iop.org
How can one relate stock fluctuations and information-based human activities? We present
a model of an incomplete market by adjoining the Black–Scholes exponential Brownian …
a model of an incomplete market by adjoining the Black–Scholes exponential Brownian …
Markowitz's mean-variance portfolio selection with regime switching: From discrete-time models to their continuous-time limits
We study a discrete-time version of Markowitz's mean-variance portfolio selection problem
where the market parameters depend on the market mode (regime) that jumps among a …
where the market parameters depend on the market mode (regime) that jumps among a …
Closed-form solutions for perpetual American put options with regime switching
Q Zhang, X Guo - SIAM Journal on Applied Mathematics, 2004 - SIAM
This paper studies an optimal stopping time problem for pricing perpetual American put
options in a regime switching model. An explicit optimal stopping rule and the corresponding …
options in a regime switching model. An explicit optimal stopping rule and the corresponding …
[图书][B] Discrete-time Markov chains: two-time-scale methods and applications
GG Yin, Q Zhang - 2005 - books.google.com
This book focuses on two-time-scale Markov chains in discrete time. Our motivation stems
from existing and emerging applications in optimization and control of complex systems in …
from existing and emerging applications in optimization and control of complex systems in …
[图书][B] Telegraph Process on the Line
AD Kolesnik, N Ratanov, AD Kolesnik, N Ratanov - 2013 - Springer
We define the classic Goldstein-Kac telegraph process performed by a particle that moves
on the real line with some finite constant speed and alternates between two possible …
on the real line with some finite constant speed and alternates between two possible …
Portfolio optimization with Markov-modulated stock prices and interest rates
A financial market with one bond and one stock is considered where the risk free interest
rate, the appreciation rate of the stock and the volatility of the stock depend on an external …
rate, the appreciation rate of the stock and the volatility of the stock depend on an external …