We consider a risk minimization problem in a continuous-time Markovian regime-switching
financial model modulated by a continuous-time, observable and finite-state Markov chain …

In this paper, we consider a game theoretic approach to option valuation under Markovian
regime-switching models, namely, a Markovian regime-switching geometric Brownian …

A risk minimization problem is considered in a continuous-time Markovian regime-switching
financial model modulated by a continuous-time, finite-state, Markov chain. We interpret the …

Convex risk measures for European contingent claims are studied in a non-Markovian jump-
diffusion modeling framework using functional Itô's calculus. Two representations for a …

Modeling of uncertainty by probability errs by ignoring the uncertainty in probability. When
financial valuation recognizes the uncertainty of probability, the best the market may offer is …

We consider a risk-based asset allocation problem in a Markov, regime-switching, pure jump
model. With a convex risk measure of the terminal wealth of an investor as a proxy for risk …

This thesis focuses on the pricing and hedging problems of financial derivatives in a Markov-
modulated exponential-Lévy model. Such model is built on a Markov additive process as …

A risk minimization problem is considered in a continuous-time Markovian regime-switching
financial model modulated by a continuous-time, finite-state Markov chain. We interpret the …

This current thesis aims to survey recent development on certain problems in Mathematical
Finance. The geometric Brownian motion model for stock price was rst proposed by the …

In this paper, we present an approximate solution method based on finite-differences to the
American option pricing problem under a Markov modulated. It could be shown by Ito …