This book presents an algebraic development of the theory of countable state space Markov
chains with discrete-and continuous-time parameters. A Markov chain is a stochastic …

Proposes a model for pricing credit derivatives that treats changes in a bond's credit rating
as transitions among states in a discrete state Markov chain. Limitations of the Jarrow-Lando-…

The ‘environmental Kuznets curve’ (EKC) refers to an inverted-U-shaped relationship between
some pollutant level and per capita income, ie, the environmental quality deteriorates at …

In recent years, modeling financial uncertainty using stochastic processes has become
increasingly important, but it is commonly perceived as requiring a deep mathematical …

In this paper, we develop general repair models for a repairable system by using the idea of
the virtual age process of the system. If the system has the virtual age Vn –1 = y immediately …

In this paper, a periodical replacement problem with a general repair is considered where a
system is replaced at only scheduled times kT (k = 0,1,…) and is repaired whenever it fails. …

Let N(t) be a counting process associated with a sequence of non-negative random variables
(Xj)1∞ where the distribution of Xn+1 depends only on the value of the partial sum Sn = Σj=…

Thispaper provides a simple model for valuing a credit derivativewhose payoff depends on
the identity (or identities) of the first(or first two) to occur of a given list of credit events, suchas …

This article shows that any coherent risk measure is given by a convex combination of
expected shortfalls, and an expected shortfall (ES) is optimal in the sense that it gives the …

We consider a consistent pricing model of government bonds, interest-rate swaps and basis
swaps in one currency within the no-arbitrage framework. To this end, we propose a three …