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Pricing dynamic fund protection under a Regime-switching Jump-diffusion model with stochastic protection level

Chao Xu, ,Department of Mathematics and Physics, Suzhou University of Science and Technology, Suzhou 215009, China, Yinghui Dong, Zhaolu Tian, Guojing Wang, ,College of Applied Mathematics, Shanxi University of Finance and Economics, Taiyuan 030006, China, ,Department of Mathematics and Center for Financial Engineering, Soochow University, Suzhou 215006, China
2017 Journal of Industrial and Management Optimization  
In this paper, we investigate the valuation of dynamic fund protections under the assumption that the market value of the basic fund and the protection level follow regime-switching processes with jumps  ...  The price of the dynamic fund protection (DFP) is associated with the Laplace transform of the first passage time.  ...  Jin et al. (2016) [16] study the value of dynamic fund protections under a generalized regime-switching jump-diffusion model.  ... 
doi:10.3934/jimo.2019072 fatcat:ff5vgim4wnamtj2wh3zq6ebmui

When and How US Dollar Shortages Evolved into the Full Crisis? Evidence from the Cross-Currency Swap Market

Naohiko Baba, Yuji Sakurai
2009 Social Science Research Network  
We employ the dynamic (latent) common factor model with regime-switching β coefficients proposed by Kim (1994) . The main findings are as follows.  ...  There are 2 (high and low) distinctive regimes for β coefficients of each observable price with respect to the common factor.  ...  We employ the dynamic (latent) common factor model with regime-switching β coefficients proposed by Kim (1994) .  ... 
doi:10.2139/ssrn.1456381 fatcat:xt7y7folynbrveeud6kxkhmo2m

When and how US dollar shortages evolved into the full crisis? Evidence from the cross-currency swap market

Naohiko Baba, Yuji Sakurai
2011 Journal of Banking & Finance  
We employ the dynamic (latent) common factor model with regime-switching β coefficients proposed by Kim (1994) . The main findings are as follows.  ...  There are 2 (high and low) distinctive regimes for β coefficients of each observable price with respect to the common factor.  ...  We employ the dynamic (latent) common factor model with regime-switching β coefficients proposed by Kim (1994) .  ... 
doi:10.1016/j.jbankfin.2010.10.030 fatcat:idspttbhxnguxps353yot5ltxy

Dynamic Asset Allocation with Regime Shifts and Long Horizon CVaR-Constraints

Huy Thanh Vo, Raimond Maurer
2013 Social Science Research Network  
We account for nonnormally distributed, skewed, and leptokurtic asset return distributions due to regime shifts.  ...  We account for nonnormally distributed, skewed, and leptokurtic asset return distributions due to regime shifts.  ...  For funding levels less than unity, we apply a pre-defined rule. In any of those states, the investor will switch to a bond with maturity T − t.  ... 
doi:10.2139/ssrn.2191286 fatcat:myfufbqtbnaudn2jfd4y5vhxgi


Umurcan Polat
2017 Eurasian Journal of Economics and Finance  
Before delving into the nonlinear Markov regime-switching model estimation, a conventional one-state linear model is estimated answering to what extent the sovereign credit risk is affected in between  ...  In broad strokes, the regime-switching analysis reveals that among domestic variables, it is the foreign exchange rate that affects the sovereign credit risk more in more volatile periods and among global  ...  2 + 3 + 4 + 5 + 6 + 7 + 8 + 9 + 10 + 11 + 12 −1 + . (1) To explore the regime specific determinants of the CDS spread, a Markov switching dynamic regression model is implemented with a high frequency data  ... 
doi:10.15604/ejef.2017.05.04.007 fatcat:54273l7b7jfcjapujccmcptfg4

Liquidity Contagion: The Emerging Sovereign Debt Markets Example

Serge Darolles, Jérémy Dudek, Gaëlle Le Fol
2013 Social Science Research Network  
Massive investment funds with very short horizons in -and out-flows can generate contagion effects between markets.  ...  effects both in terms of price and liquidity on the emerging sovereign debt market.  ...  To tackle these problems, we present the Regime Switching Dynamic Correlation model (RSDC hereafter).  ... 
doi:10.2139/ssrn.2213825 fatcat:lnbfi4gp6vcwpe4xpowccqm444

Optimal policies for managing oil revenue stabilization funds: An illustration using Saudi Arabia

Nader AlKathiri, Tarek N. Atalla, Frederic Murphy, Axel Pierru
2020 Resources policy  
We also show that the fund can be partitioned into tranches with different asset durations rather than being solely invested in short-term assets.  ...  Our results indicate that the boundary between an oil-revenue stabilization fund and a sovereign wealth fund is not a bright line.  ...  How much protection the fund provides depends on its size at the start of a low or collapse oil-revenue regime after building up during a regime with high oil revenues.  ... 
doi:10.1016/j.resourpol.2020.101686 fatcat:5wldfux2cnfzvabvlyrp7esk44

The "Sudden" Transition to the Free Floating Exchange Rate Regime in Russia in 2014

Evgenii Gilenko
2017 Journal of Reviews on Global Economics  
Noteworthy to say that, although not expectedly to the lay population, this switch of the exchange rate regime was done by Bank of Russia quite timely.  ...  Moreover, the peculiarity of the structure of these reserves dictated a very limited range of maneuver for the central bank, forcing it to switch to the free floating exchange rate regime in the first  ...  The dark-grey area represents the first week of November, 2014 (before the switch to the floating exchange rate regime).  ... 
doi:10.6000/1929-7092.2017.06.16 fatcat:3ve6vik4rjfothhf6ezov74lh4

Risk management of guaranteed minimum maturity benefits under stochastic mortality and regime-switching by Fourier space time-stepping framework [article]

Wenlong Hu
2020 arXiv   pre-print
A regime-switching model is utilised to model the fund dynamics in the financial market, while an affine term structure model is implemented to capture the mortality dynamics.  ...  The middle panels of Fig 2 show vegas, which measure price sensitivity (in percentage terms) with respect to fund volatility in regime 1 (panel (c)) and regime 2 (panel (d)).  ... 
arXiv:2006.15483v2 fatcat:utc7gsnygrg6blrxbhahbi3q7u

A Markov switching unobserved component analysis of the CDX index term premium

Giovanni Calice, Christos Ioannidis, RongHui Miao
2016 International Review of Financial Analysis  
Furthermore, we formulate a model with time-varying regime switching probabilities and regime dependent components.  ...  Model 1 builds on Model 0 withMarkov-switching variances defined in Equations 13-16; Model 2 builds on Model 1 but allow k to switch regimes;Model 3 builds on Model 1 but allow  to switch regimes; Model  ...  volatility regime; (4) both stationary and RW components are in low volatility regime.  ... 
doi:10.1016/j.irfa.2016.01.020 fatcat:kvb54lah25gqtcpmqktebhax6u

Pricing and Hedging Variable Annuity Guarantees with Multiasset Stochastic Investment Models

Andrew Cheuk-Yin Ng, Johnny Siu-Hang Li
2013 North American Actuarial Journal  
Variable annuities are often sold with guarantees to protect investors from downside investment risk.  ...  If one assumes a simple multivariate lognormal model without any serial correlation and regime switching, then the risk-neutral probability measure is unique, and the risk-neutral dynamics of the asset  ...  Regime-Switching Lognormal Models Recall that if y t follows a multivariate regime-switching lognormal model, the dynamics of y t is given by y t = μ J t + a t , a t |F t ∼ MVN(0, H J t ), where a t is  ... 
doi:10.1080/10920277.2013.773240 fatcat:k6tt6yi2vvee3oxfn5ifwlncka

Pricing annuity guarantees under a double regime-switching model

Kun Fan, Yang Shen, Tak Kuen Siu, Rongming Wang
2015 Insurance, Mathematics & Economics  
This paper is concerned with the valuation of equity-linked annuities with mortality risk under a double regime-switching model, which provides a way to endogenously determine the regime-switching risk  ...  Two approaches, namely, the regime-switching Esscher transform and the minimal martingale measure, are used to select pricing kernels for the fair valuation.  ...  Meanwhile, the price level of the reference investment fund may experience a jump when a regime switch occurs.  ... 
doi:10.1016/j.insmatheco.2015.02.005 fatcat:czw2gxvcqzcdbokm4p4zpfftnm

Inflation Protected Investment Strategies

Mirco Mahlstedt, Rudi Zagst
2016 Risks  
Abstract: In this paper, a dynamic inflation-protected investment strategy is presented, which is based on traditional asset classes and Markov-switching models.  ...  A dynamic inflation-protected investment strategy is developed, which combines inflation protection and upside potential.  ...  with an expert view reflecting especially the switch from the previous regime into Regime i.  ... 
doi:10.3390/risks4020009 fatcat:knukq4vtfzfh7gbszvf3er5jpm

Valuing Equity-Linked Death Benefits in a Regime-Switching Framework

Chi Chung Siu, Sheung Chi Phillip Yam, Hailiang Yang
2015 ASTIN Bulletin: The Journal of the International Actuarial Association  
By this alternative approach, closed-form expressions for the Laplace transforms of the values of various contingent options, such as call/put options, lookback options, barrier options, dynamic fund protection  ...  In this article, we consider the problem of computing the expected discounted value of a death benefit, e.g. in Gerber et al. (2012, 2013), in a regime-switching economy.  ...  Dynamic withdrawal benefits In Section 3.4, we focus on the case when the investor enters the dynamic fund protection with an intention that his fund or asset price never drops below a pre-specified level  ... 
doi:10.1017/asb.2014.32 fatcat:eavthxmhcnhi3jfexfvodj2pqi

Page 10523 of Mathematical Reviews Vol. , Issue 2004m [page]

2004 Mathematical Reviews  
[Yin, Gang George] (1-WYNS; Detroit, MI) Markowitz’s mean-variance portfolio selection with regime switching: a continuous-time model. (English summary) SIAM J.  ...  Related issues such as a minimum-variance portfolio and a mu- tual fund theorem are also addressed. All the results are markedly different from those for the case when there is no regime switch- ing.  ... 
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