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We introduce a new method to price American-style options on underlying investments governed by stochastic volatility (SV) models. The method does not require the volatility process to be observed. Instead, it exploits the fact that the…
In this paper, the primary goal is to offer additional insights into the value iteration through the lens of switching system models in the control community. These models establish a connection between value iteration and switching system…
The paper investigates the problem of estimating the state of a time-varying system with a linear measurement model; in particular, the paper considers the case where the number of measurements available can be smaller than the number of…
We introduce a new tool for predicting the evolution of an option for the cases where at some specific time, there is a high-degree of uncertainty for identifying its price. We work over the special case where we can predict the evolution…
This paper considers a distributed decision-making approach for manufacturing task assignment and condition-based machine health maintenance. Our approach considers information sharing between the task assignment and health management…
This paper examines several computer algorithms designed to assess mortality and longevity risk.
We present an algorithm for the numerical evaluation of the state-space distribution of an Age-of-Information network. Given enough computational resources, the evaluation can be performed to an arbitrary high precision. An…
In this paper, we use a finite-state continuous-time Markov chain with one absorbing state to model an individual's lifetime. Under this model, the time of death follows a phase-type distribution, and the transient states of the Markov…
We consider option pricing using a discrete-time Markov switching stochastic volatility with co-jump model, which can model volatility clustering and varying mean-reversion speeds of volatility. For pricing European options, we develop a…
This paper studies value iteration for infinite horizon contracting Markov decision processes under convexity assumptions and when the state space is uncountable. The original value iteration is replaced with a more tractable form and the…
Quanto options allow the buyer to exchange the foreign currency payoff into the domestic currency at a fixed exchange rate. We investigate quanto options with multiple underlying assets valued in different foreign currencies each with a…
This paper studies the equity holders' mean-variance optimal portfolio choice problem for (non-)protected participating life insurance contracts. We derive explicit formulas for the optimal terminal wealth and the optimal strategy in the…
We have studied the phase transition of the contact process near a multiple junction of $M$ semi-infinite chains by Monte Carlo simulations. As opposed to the continuous transitions of the translationally invariant ($M=2$) and semi-infinite…
We propose a route for the evaluation of risk based on a transformation of the covariance matrix. The approach uses a `potential' or `objective' function. This allows us to rescale data from different assets (or sources) such that each data…
Multimorbidity in older adults is common, heterogeneous, and highly dynamic, and it is strongly associated with disability and increased healthcare utilization. However, existing approaches to studying multimorbidity trajectories are…
We propose a semi-structured discrete-time multi-state model to analyse mortgage delinquency transitions. This model combines an easy-to-understand structured additive predictor, which includes linear effects and smooth functions of time…
Gene regulatory networks with dynamics characterized by multiple stable states underlie cell fate-decisions. Quantitative models that can link molecular-level knowledge of gene regulation to a global understanding of network dynamics have…
The parameters of a discrete stationary Markov model are transition probabilities between states. Traditionally, data consist in sequences of observed states for a given number of individuals over the whole observation period. In such a…
There exists a range of different models for estimating and simulating credit risk transitions to optimally manage credit risk portfolios and products. In this chapter we present a Coupled Markov Chain approach to model rating transitions…
To make medium- and long-term insurance products attractive, it is essential to enable participation in stock market returns. However, to eliminate downside risk, guarantees must be included, which naturally leads to the challenge of…