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The analysis of multiple time-to-event outcomes in a randomised controlled clinical trial can be accomplished with exisiting methods. However, depending on the characteristics of the disease under investigation and the circumstances in…
A Markov-chain model is developed for the purpose estimation of the cure rate of non-performing loans. The technique is performed collectively, on portfolios and it can be applicable in the process of calculation of credit impairment. It is…
In this paper we present an algorithm for pricing barrier options in one-dimensional Markov models. The approach rests on the construction of an approximating continuous-time Markov chain that closely follows the dynamics of the given…
In this study, a new extension of the Markov Renewal theory is introduced by allowing time to evolve in multiple dimensions. The resulting chains are referred to as multi-time Markov Renewal chains and since this extension is new, the state…
A semi-Markov process is one that changes states in accordance with a Markov chain but takes a random amount of time between changes. We consider the generalisation to semi-Markov processes of the classical Lamperti law for the occupation…
Semi-analytical pricing of American options in a time-dependent Ornstein-Uhlenbeck model was presented in [Carr, Itkin, 2020]. It was shown that to obtain these prices one needs to solve (numerically) a nonlinear Volterra integral equation…
This paper presents algorithms for identifying and reducing a dedicated set of controllable transition rates of a state-labelled continuous-time Markov chain model. The purpose of the reduction is to make states to satisfy a given…
In this paper we propose a new stochastic model based on a generalization of semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that the financial returns are described by a weighted indexed…
This paper presents a way of solving Markov Decision Processes that combines state abstraction and temporal abstraction. Specifically, we combine state aggregation with the options framework and demonstrate that they work well together and…
We address the problem of parameter estimation for diffusion driven stochastic volatility models through Markov chain Monte Carlo (MCMC). To avoid degeneracy issues we introduce an innovative reparametrisation defined through…
The aim of this article is to provide a systematic analysis of the conditions such that Fourier transform valuation formulas are valid in a general framework; i.e. when the option has an arbitrary payoff function and depends on the path of…
In this paper, a state-dependent control updating period framework is proposed that leads to real-time implementable Model Predictive Control with certified practical stability results and constraints satisfaction. The scheme is illustrated…
We consider the pricing of variable annuities (VAs) with general fee structures under popular stochastic volatility models such as Heston, Hull-White, Scott, $\alpha$-Hypergeometric, $3/2$, and $4/2$ models. In particular, we analyze the…
In this article we consider risk-sensitive control of semi-Markov processes with a discrete state space. We consider general utility functions and discounted cost in the optimization criteria. We consider random finite horizon and infinite…
In this work the system of agents is applied to establish a model of the nonlinear distributed signal processing. The evolution of the system of the agents - by the prediction time scale diversified trend followers, has been studied for the…
Life course epidemiology of chronic diseases has been dominated so far by the environmental approach. Whether it focuses on early life exposures and events or later lifestyle behaviors, this approach assumes that previous life experiences…
We develop an approach to time-consistent risk evaluation of continuous-time processes in Markov systems. Our analysis is based on dual representation of coherent risk measures, differentiability concepts for multivalued mappings, and a…
We consider a risk-sensitive optimization of consumption-utility on infinite time horizon where the one-period investment gain depends on an underlying economic state whose evolution over time is assumed to be described by a discrete-time,…
Life assurance companies typically possess a wealth of data covering multiple systems and databases. These data are often used for analyzing the past and for describing the present. Taking account of the past, the future is mostly…
The Future Elderly Model and related microsimulations are modeled as Markov chains. These simulations rely on longitudinal survey data to estimate their transition models. The use of survey data presents several incomplete data problems,…