We consider the option pricing problem when the risky underlying assets are driven by
Markov-modulated Geometric Brownian Motion (GBM). That is, the market parameters, for …

A model is developed for pricing volatility derivatives, such as variance swaps and volatility
swaps under a continuous‐time Markov‐modulated version of the stochastic volatility (SV) …

We consider the fair valuation of a participating life insurance policy with surrender options
when the market values of the asset are modelled by Markov-modulated Geometric Brownian …

We consider the portfolio selection problem of a member of a defined contribution pension
plan in a hidden Markov-modulated economy modulated by a continuous-time, finite-state, …

This article discusses the pricing of derivatives in a continuous-time, hidden Markov-modulated,
pure-jump asset price model. The hidden Markov chain modulating the pure-jump asset …

We consider the pricing of options when the dynamics of the risky underlying asset are driven
by a Markov-modulated jump-diffusion model. We suppose that the market interest rate, …

A large proportion of consumer returns fall into the category of false failure returns, which
refer to returns without functional defects. In this paper, we consider profits resulting from …

In this paper, we develop a unified model to study the inventory management problem of a
product and the coordination of the associated supply chain consisting of a single supplier …

This paper develops a sufficient stochastic maximum principle for a stochastic optimal
control problem, where the state process is governed by a continuous-time Markov regime-…

We introduce a novel approach to optimal investment–reinsurance problems of an insurance
company facing model uncertainty via a game theoretic approach. The insurance company …