Pricing participating products under a generalized jump-diffusion model.
Siu, Tak Kuen, Lau, John W., Yang, Hailiang (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Siu, Tak Kuen, Lau, John W., Yang, Hailiang (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Ching, Wai-Ki, Siu, Tak-Kuen, Li, Li-Min (2007)
Journal of Applied Mathematics and Decision Sciences
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Siu, Tak Kuen (2010)
International Journal of Stochastic Analysis
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Liu, R.H., Zhang, Q., Yin, G. (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Schoenmakers, John G.M., Kloeden, Peter E. (1999)
Journal of Applied Mathematics and Stochastic Analysis
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Wong, Bernard, Heyde, C.C. (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Anne Estrade (1997)
Séminaire de probabilités de Strasbourg
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Darling, R.W.R., Norris, J.R. (2008)
Probability Surveys [electronic only]
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Swishchuk, Anatoliy, Xu, Li (2011)
International Journal of Stochastic Analysis
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Ratanov, Nikita (2007)
Journal of Applied Mathematics and Stochastic Analysis
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Shigeyoshi Ogawa, Monique Pontier (2007)
ESAIM: Probability and Statistics
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We consider an extension of the Kyle and Back's model [Back, (1992) 387–409; Kyle, (1985) 1315–1335], meaning a model for the market with a continuous time risky asset and asymmetrical information. There are three financial agents: the market maker, an insider trader (who knows a random variable which will be revealed at final time) and a non informed agent. Here we assume that the non informed agent is strategic, namely he/she uses a utility function...
Klebaner, Fima (2002)
Electronic Communications in Probability [electronic only]
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Jacek Jakubowski, Mariusz Niewęgłowski (2008)
Banach Center Publications
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We investigate the properties of a rating migration process assuming that it is given by subordination of a discrete time Markov chain and a Cox process. The problem of pricing of defaultable bonds with fractional recovery of par value with rating migration and credit default swaps is considered. As an example of applications of our results, we give an explicit solution to the pricing problem in a model with short rate and intensity processes given by the solution of a two-dimensional...