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Exit Problems in Regime-Switching Models
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This paper provides a general framework for pricing of perpetual American and real options in regime-switching Levy models. In each state of the Markov chain, w
Explicit-Duration Markov Switching Models
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Authors: Silvia Chiappa
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Provides a simple and clear description of explicit duration modeling. The presentation focuses on making distinctions that help structure the space of models a
Complex Systems in Finance and Econometrics
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Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integ
Regime-Switching Models
Language: en
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Authors: Simon van Norden
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This paper is a user's guide to a set of Gauss procedures developed at the Bank of Canada for estimating regime-switching models. The procedures can estimate re
Modern Problems of Stochastic Analysis and Statistics
Language: en
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Authors: Vladimir Panov
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This book brings together the latest findings in the area of stochastic analysis and statistics. The individual chapters cover a wide range of topics from limit