A New Regime Switching Model with State–Varying Endogeneity

Option Pricing in a Jump-diffusion Model with Regime Switching

Nowadays, the regime switching model has become a popular model in mathematical finance and actuarial science. The market is not complete when the model has regime switching. Thus, pricing the regime switching risk is an important issue. In Naik (1993), a jump diffusion model with two regimes is studied. In this paper, we extend the model of Naik (1993) to a multi-regime case. We present a trin...

Interactions between Fiscal and Monetary Policy: A New Keynesian Model with Regime Switching Process

Generalized Mean-Variance Portfolio Selection Model with Regime Switching

In this paper we deal with a generalized multi-period mean-variance portfolio selection problem with the market parameters subject to Markov random regime switchings. We present necessary and sufficient conditions for obtaining an optimal control policy for this Markovian generalized multi-period mean-variance model, based on a recursive procedure. The analytical solution of our model provides ...

Time delay model for the stochastic volatility with regime switching

A regime switching macro-nance model of the term structure

This paper presents and estimates a regime switching macro-…nance model of the term structure with latent and macroeconomic factors. The joint dynamics of the yield and macro factors are examined simultaneously. Both the canonical yields-only model and the macro-…nance model capture two regimes in the state equation that relate to a turbulent period and a tranquil period. Statistically, the for...