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Hidden Markov Models: Estimation and Control
TLDR
This paper presents a meta-modelling procedure called Markov Model Processing that automates the very labor-intensive and therefore time-heavy and therefore expensive process of HMMEstimation.
American options with regime switching
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 switching is…
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Discrete-Time Nonlinear Filtering Algorithms Using Gauss–Hermite Quadrature
TLDR
A new version of the quadrature Kalman filter (QKF) is developed theoretically and tested experimentally and exhibits a significant improvement over other nonlinear filtering approaches, namely, the basic bootstrap (particle) filters and Gaussian-sum extended Kalman filters, to solve nonlinear non- Gaussian filtering problems.
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Determining the trade–environment composition effect: the role of capital, labor and environmental regulations
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Option pricing and Esscher transform under regime switching
SummaryWe consider the option pricing problem when the risky underlying assets are driven by Markov-modulated Geometric Brownian Motion (GBM). That is, the market parameters, for instance, the market…
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The Environmental Performance of Firms: The Role of Foreign Ownership, Training, and Experience
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Endogenous Pollution Havens: Does FDI Influence Environmental Regulations?
We suggest a novel perspective on the relationship between the stringency of environmental policies and foreign direct investment (FDI). We develop a political economy model with imperfect product…
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A General Fractional White Noise Theory And Applications To Finance
We present a new framework for fractional Brownian motion in which processes with all indices can be considered under the same probability measure. Our results extend recent contributions by Hu,…
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On Models of Default Risk
We first discuss some mathematical tools used to compute the intensity of a single jump process, in its canonical filtration. In the second part, we try to clarify the meaning of default and the…
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Pairs trading
‘Pairs Trading’ is an investment strategy used by many Hedge Funds. Consider two similar stocks which trade at some spread. If the spread widens short the high stock and buy the low stock. As the…
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