We discuss the data available for the TSE 300 and S&P 500 total return indexes. We consider a number of models, including the Wilkie model and regime switching models. We discuss calibration by maximum likelihood and by Markov chain Monte Carlo for the regime switching lognormal model. We then show how to use this model to price and hedge simple segregated fund maturity guarantees. keywords: Re...

The law of many dynamical systems changes with the evolution system. These are often associated occurrence certain events whose time depends on trajectory system itself. Dynamics that take longer to change will be observed more frequently and may dominate in long run (the only ones observed). This article proposes a Markov chain model, called Self-Switching Chain, which emergence dominant dynam...

This paper introduces a new dynamic panel model with multi-layer network effects. Series-specific latent Markov chain processes drive the dynamics of observable processes, and several types interaction effects among hidden chains allow for various degrees endogenous synchronization both processes. The is driven by exogenous connectivity layers. We provide some theoretical properties model, deve...