Housing price jump risk and the subprime crisis have drawn more attention to the precise
estimation of mortgage insurance premiums. This study derives the pricing formula for …

In this study, we constructed the credit-scoring model of P2P loans by using several machine
learning and artificial neural network (ANN) methods, including logistic regression (LR), a …

Carbon markets trade the spot European Union Allowance (EUA), with one EUA providing
the right to emit one tone of carbon dioxide (CO 2 ). We examine the spot EUA returns in …

In this study, we apply deep learning and natural language processing methods to construct
the view distribution in the Black–Litterman model. We implement this approach for portfolio …

Previous studies have investigated the determinants of housing price cycles in the housing
market; however, we observed the phenomenon of housing price jumps in the 2007 …

This paper derives option pricing models to formulize the flexibility and conditions that
managers have in open market share repurchase programs in Taiwan. We extend the exchange …

We derive the pricing formula for catastrophe equity put options (CatEPuts) by assuming
catastrophic events follow a Markov Modulated Poisson process (MMPP) whose intensity varies …

The Intergovernmental Panel on Climate Change Fourth Assessment Report (2007) indicates
that unanticipated catastrophic events could increase with time because of global warming…

This research explores upside and downside jumps in the dynamic processes of three rates:
domestic interest rates, foreign interest rates, and exchange rates. To fill the gap between …

We provide closed-form solutions for a continuous time, Markov-modulated jump diffusion
model in a general equilibrium framework for options prices under a variety of jump diffusion …