Department of Mathematics and Statistics at the Faculty of Science
University of Calgary
Paper Review on regime-switching models with applications in finance
Submitted by jlongwor on Mon, 03/02/2009 - 2:07pm.
Mar 5 2009 - 12:00pm
Mar 5 2009 - 12:50pm
Speaker:
Matthew Couch
Location:
MS 325We review selected sections of early papers developing Markov chain based regime switching time series models. We also review the paper ‘Pricing Volatility Swaps Under Heston’s Stochastic Volatility Model with
Regime Switching’ by Robert J. Elliott, Tak Kuen Siu, Leunglung Chan, 2005. In this paper 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) model developed by Heston.
Regime Switching’ by Robert J. Elliott, Tak Kuen Siu, Leunglung Chan, 2005. In this paper 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) model developed by Heston.