Related papers: Multi-state models for evaluating conversion optio…

State-switching models such as hidden Markov models or Markov-switching regression models are routinely applied to analyse sequences of observations that are driven by underlying non-observable states. Coupled state-switching models extend…

Pairwise Choice Markov Chains (PCMC) have been recently introduced to overcome limitations of choice models based on traditional axioms unable to express empirical observations from modern behavior economics like context effects occurring…

Estimating customer lifetime value (CLV or LTV) is extremely important for making better business decisions. The proposed flexible proportional hazards model allows an estimation of lifetime value in contractual settings. This approach…

In this paper, we present a link between preference-based and multiobjective sequential decision-making. While transforming a multiobjective problem to a preference-based one is quite natural, the other direction is a bit less obvious. We…

For nearly every major stock market there exist equity and implied volatility indices. These play important roles within finance: be it as a benchmark, a measure of general uncertainty or a way of investing or hedging. It is well known in…

In this paper, we study model-checking of linear-time properties in multi-valued systems. Safety property, invariant property, liveness property, persistence and dual-persistence properties in multi-valued logic systems are introduced. Some…

Multi-state models are commonly used for intermittent observations of a state over time, but these are generally based on the Markov assumption, that transition rates are independent of the time spent in current and previous states. In a…

This paper summarises the main multi-year investment modelling approaches in energy planning models. Therefore, here we will go from a simple (basic) formulation to a more complex (general) one to understand different levels of detail,…

We examine multiple independent sources providing status updates to a monitor through simple queues. We formulate an Age of Information (AoI) timeliness metric and derive a general result for the AoI that is applicable to a wide variety of…

We consider a control problem for a finite-state Markov system whose performance is evaluated by a coherent Markov risk measure. For each policy, the risk of a state is approximated by a function of its features, thus leading to a…

The concepts of probability, statistics and stochastic theory are being successfully used in structural engineering. Markov Chain modelling is a simple stochastic process model that has found its application in both describing stochastic…

This paper presents pricing and hedging methods for rainbow options and lookback options under Bayesian Markov-Switching Vector Autoregressive (MS--VAR) process. Here we assumed that a regime-switching process is generated by a homogeneous…

We consider the problem of valuation of American options written on dividend-paying assets whose price dynamics follows a multidimensional exponential Levy model. We carefully examine the relation between the option prices, related partial…

Joint modelling of longitudinal and survival data is increasingly used in clinical trials on cancer. In prostate cancer for example, these models permit to account for the link between longitudinal measures of prostate-specific antigen…

This research explores how total mortality figures relate to age-standardized death rates within the United States, using the complete historical record of national mortality statistics. Through a detailed investigation of both all-cause…

We consider the problem of optimal multiple switching in finite horizon, when the state of the system, including the switching costs, is a general adapted stochastic process. The problem is formulated as an extended impulse control problem…

We propose a hybrid tree-finite difference method in order to approximate the Heston model. We prove the convergence by embedding the procedure in a bivariate Markov chain and we study the convergence of European and American option prices.…

Transferring information from observations of a dynamical system to estimate the fixed parameters and unobserved states of a system model can be formulated as the evaluation of a discrete time path integral in model state space. The…

In this paper, we are concerned with the valuation of Guaranteed Annuity Options (GAOs) under the most generalised modelling framework where both interest and mortality rates are stochastic and correlated. Pricing these type of options in…

Model checking has been successfully applied to verification of computer hardware and software, communication systems and even biological systems. In this paper, we further push the boundary of its applications and show that it can be…