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Comparing the reliability of a discrete-time and a continuous-time Markov chain model in
discrete-time transition matrix the default probability the empirical results
2011/8/30
This article compares the reliability of a discrete-time and a continuous-time Markov chain model for estimating credit risk and for investigating loans of Chiao Tung Bank in Taiwan. The continuous-ti...
Perfect and partial hedging for swing game options in discrete time
game options discrete time
2010/11/1
The paper introduces and studies hedging for game (Israeli) style extension of swing options considered as multiple exercise derivatives. Assuming that the underlying security can be traded without re...
Nonparametric Specifiation Tests of Discrete Time Spot Interest Rate Models in China
Spot RateModels Nonparametric Speci… cation Tests Generalized residuals Probability Integral Transform Q-Stats
2011/4/6
Understanding the dynamics of spot rates is very important for asset pricing, risk
management and interest rate liberalization. We examine a wide variety of popular
spot rate models in China, includ...