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1

Markov and semi-Markov option pricing models with arbitrage possibility

Jacques Janssen, Raimondo Manca, Giuseppe Di Biase

Journal:

Applied Stochastic Models in Business and Industry

Year:

1997

Language:

english

File:

PDF, 162 KB

english, 1997

2

Full backward non-homogeneous semi-Markov processes for disability insurance models: A Catalunya real data application

Guglielmo D’Amico, Montserrat Guillen, Raimondo Manca

Journal:

Insurance: Mathematics and Economics

Year:

2009

Language:

english

File:

PDF, 2.55 MB

english, 2009

3

Modeling and Pricing of Variance and Volatility Swaps for Local Semi-Markov Volatilities in Financial Engineering

Swishchuk, Anatoliy, Manca, Raimondo

Journal:

Mathematical Problems in Engineering

Year:

2010

Language:

english

File:

PDF, 301 KB

english, 2010

4

Asset and Liability Management for Banks and Insurance Companies (Corlosquet-Habart/Asset and Liability Management for Banks and Insurance Companies) || Risks Studied in ALM

Corlosquet-Habart, Marine, Gehin, William, Janssen, Jacques, Manca, Raimondo

Year:

2015

Language:

english

File:

PDF, 356 KB

english, 2015

5

Step semi-Markov models and application to manpower management

Barbu, Vlad Stefan, D’Amico, Guglielmo, Manca, Raimondo, Petroni, Filippo

Journal:

ESAIM Probability and Statistics

Year:

2016

Language:

english

File:

PDF, 669 KB

english, 2016

6

European and American options: The semi-Markov case

Guglielmo D’Amico, Jacques Janssen, Raimondo Manca

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2009

Language:

english

File:

PDF, 1.45 MB

english, 2009

7

Numerical Solution of non-Homogeneous Semi-Markov Processes in Transient Case*

Jacques Janssen, Raimondo Manca

Journal:

Methodology and Computing in Applied Probability

Year:

2001

Language:

english

File:

PDF, 127 KB

english, 2001

8

Discrete Time Non-Homogeneous Semi-Markov Reliability Transition Credit Risk Models and the Default Distribution Functions

Guglielmo D’Amico, Jacques Janssen, Raimondo Manca

Journal:

Computational Economics

Year:

2011

Language:

english

File:

PDF, 784 KB

english, 2011

9

An Algorithmic Approach to Discrete Time Non-homogeneous Backward Semi-Markov Reward Processes with an Application to Disability Insurance

Fredrik Stenberg, Raimondo Manca, Dmitrii Silvestrov

Journal:

Methodology and Computing in Applied Probability

Year:

2007

Language:

english

File:

PDF, 417 KB

english, 2007

10

Numerical Treatment of Homogeneous Semi-Markov Processes in Transient Case–a Straightforward Approach

Gianfranco Corradi, Jacques Janssen, Raimondo Manca

Journal:

Methodology and Computing in Applied Probability

Year:

2004

Language:

english

File:

PDF, 94 KB

english, 2004

11

A semi-Markov modulated interest rate model

D’Amico, Guglielmo, Manca, Raimondo, Salvi, Giovanni

Journal:

Statistics & Probability Letters

Year:

2013

Language:

english

File:

PDF, 421 KB

english, 2013

12

Computational Algorithms for Moments of Accumulated Markov and Semi-Markov Rewards

Silvestrov, Dmitrii, Manca, Raimondo, Silvestrova, Evelina

Journal:

Communication in Statistics- Theory and Methods

Year:

2014

Language:

english

File:

PDF, 191 KB

english, 2014

13

Semi-Markov Disability Insurance Models

D'amico, Guglielmo, Guillen, Montserrat, Manca, Raimondo

Journal:

Communication in Statistics- Theory and Methods

Year:

2013

Language:

english

File:

PDF, 341 KB

english, 2013

14

A NON-HOMOGENEOUS SEMI-MARKOV REWARD MODEL FOR THE CREDIT SPREAD COMPUTATION

D'AMICO, GUGLIELMO, JANSSEN, JACQUES, MANCA, RAIMONDO

Journal:

International Journal of Theoretical and Applied Finance

Year:

2011

Language:

english

File:

PDF, 214 KB

english, 2011

15

Asset and Liability Management for Banks and Insurance Companies (Corlosquet-Habart/Asset and Liability Management for Banks and Insurance Companies) || Building and Use of an ALM Internal Model in Insurance Companies

Corlosquet-Habart, Marine, Gehin, William, Janssen, Jacques, Manca, Raimondo

Year:

2015

Language:

english

File:

PDF, 907 KB

english, 2015

16

Salary cost evaluation by means of non-homogeneous semi-Markov processes

Janssen, Jacques, Manca, Raimondo

Journal:

Stochastic Models

Year:

2002

Language:

english

File:

PDF, 335 KB

english, 2002

17

Asset and Liability Management for Banks and Insurance Companies (Corlosquet-Habart/Asset and Liability Management for Banks and Insurance Companies) || Durations (Revisited) and Scenarios for ALM

Corlosquet-Habart, Marine, Gehin, William, Janssen, Jacques, Manca, Raimondo

Year:

2015

Language:

english

File:

PDF, 478 KB

english, 2015

18

A review of non-Markovian models for the dynamics of credit ratings

D'Amico, Guglielmo, Dharmaraja, Selvamuthu, Manca, Raimondo, Pasricha, Puneet

Journal:

Reports on Economics and Finance

Year:

2019

Language:

english

File:

PDF, 295 KB

english, 2019

19

Future pricing through homogeneous semi-Markov processes

Giuseppe Di Biase, Jacques Janssen, Raimondo Manca

Journal:

Applied Stochastic Models in Business and Industry

Year:

2005

Language:

english

File:

PDF, 109 KB

english, 2005

20

Erratum: Future pricing through homogeneous semi-Markov processes

Giuseppe Di Biase, Jacques Janssen, Raimondo Manca

Journal:

Applied Stochastic Models in Business and Industry

Year:

2005

Language:

english

File:

PDF, 72 KB

english, 2005

21

Homogeneous semi-Markov reliability models for

Guglielmo D’Amico, Jacques Janssen, Raimondo Manca

Journal:

Decisions in Economics and Finance

Year:

2006

Language:

english

File:

PDF, 151 KB

english, 2006

22

A customer’s utility measure based on the reliability of multi-state systems

Guglielmo D’Amico, Giuseppe Di Biase, Raimondo Manca

Journal:

Decisions in Economics and Finance

Year:

2011

Language:

english

File:

PDF, 267 KB

english, 2011

23

Valuing credit default swap in a non-homogeneous semi-Markovian rating based model

Guglielmo D’Amico, Jacques Janssen, Raimondo Manca

Journal:

Computational Economics

Year:

2007

Language:

english

File:

PDF, 242 KB

english, 2007

24

Editorial

Journal:

Methodology and Computing in Applied Probability

Year:

2007

Language:

english

File:

PDF, 42 KB

english, 2007

25

Initial and Final Backward and Forward Discrete Time Non-homogeneous Semi-Markov Credit Risk Models

Guglielmo D’Amico, Jacques Janssen, Raimondo Manca

Journal:

Methodology and Computing in Applied Probability

Year:

2010

Language:

english

File:

PDF, 273 KB

english, 2010

26

A Non-Homogeneous Continuous Time Semi-Markov Model for the Study of Accumulated Claim Process

Giuseppe Di Biase, Jacques Janssen, Raimondo Manca

Journal:

Methodology and Computing in Applied Probability

Year:

2010

Language:

english

File:

PDF, 139 KB

english, 2010

27

Editorial

Raimondo Manca, Christos H. Skiadas, Mariano J. Valderrama

Journal:

Methodology and Computing in Applied Probability

Year:

2012

Language:

english

File:

PDF, 104 KB

english, 2012

28

A realistic non-homogeneous stochastic pension fund model on scenario basis

Janssen, Jacques, Manca, Raimondo

Journal:

Scandinavian Actuarial Journal

Year:

1997

Language:

english

File:

PDF, 1.09 MB

english, 1997

29

Income inequality dynamic measurement of Markov models: Application to some European countries

Guglielmo D'Amico, Giuseppe Di Biase, Raimondo Manca

Journal:

Economic Modelling

Year:

2012

Language:

english

File:

PDF, 234 KB

english, 2012

30

Storage impulsive processes in the merging phase space

Koroliuk, Vladimir S., Manca, Raimondo, D’Amico, Guglielmo

Journal:

Journal of Mathematical Sciences

Year:

2014

Language:

english

File:

PDF, 172 KB

english, 2014

31

Distributions associated with (k1,k2) events on semi-Markov binary trials

Stefanov, Valeri T., Manca, Raimondo

Journal:

Journal of Statistical Planning and Inference

Year:

2013

Language:

english

File:

PDF, 224 KB

english, 2013

32

A system maintenance approach to analyzing the Italian judicial system reform proposal of 2010

D'Amico, Guglielmo, Manca, Raimondo

Journal:

Socio-Economic Planning Sciences

Year:

2012

Language:

english

File:

PDF, 758 KB

english, 2012

33

Bivariate Semi-Markov Process for Counterparty Credit Risk

D'amico, Guglielmo, Manca, Raimondo, Salvi, Giovanni

Journal:

Communication in Statistics- Theory and Methods

Year:

2014

Language:

english

File:

PDF, 451 KB

english, 2014

34

The Input Evaluation of Generalized Bernoulli Processes for Salary Lines Construction by Means of Continuous Time Generalized Non-Homogeneous Semi-Markov Processes

D'Amico, Guglielmo, Biase, Giuseppe Di, Gismondi, Fulvio, Manca, Raimondo

Journal:

Communication in Statistics- Theory and Methods

Year:

2013

Language:

english

File:

PDF, 404 KB

english, 2013

35

The dynamics of pension funds in a stochastic environment

De Dominicis, Rodolfo, Manca, Raimondo, Granata, Laura

Journal:

Scandinavian Actuarial Journal

Year:

1991

Language:

english

File:

PDF, 486 KB

english, 1991

36

Stochastic Methods for Pension Funds (Devolder/Stochastic Methods for Pension Funds) || Deterministic and Stochastic Optimal Control

Devolder, Pierre, Janssen, Jacques, Manca, Raimondo

Year:

2012

File:

PDF, 220 KB

2012

37

Discrete Time Homogeneous Markov Processes for the Study of the Basic Risk Processes

D’Amico, Guglielmo, Gismondi, Fulvio, Janssen, Jacques, Manca, Raimondo

Journal:

Methodology and Computing in Applied Probability

Year:

2015

Language:

english

File:

PDF, 335 KB

english, 2015

38

Non-homogeneous time convolutions, renewal processes and age-dependent mean number of motorcar accidents

Gismondi, Fulvio, Janssen, Jacques, Manca, Raimondo

Journal:

Annals of Actuarial Science

Year:

2015

Language:

english

File:

PDF, 820 KB

english, 2015

39

Avidity Index for Anti-HIV Antibodies: Comparison between Third- and Fourth-Generation Automated Immunoassays

Suligoi, Barbara, Rodella, Anna, Raimondo, Mariangela, Regine, Vincenza, Terlenghi, Luigina, Manca, Nino, Casari, Salvatore, Camoni, Laura, Salfa, Maria Cristina, Galli, Claudio

Journal:

Journal of Clinical Microbiology

Year:

2011

Language:

english

File:

PDF, 432 KB

english, 2011

40

The construction of the claims reserve distribution by means of a semi-Markov backward simulation model

Gismondi, Fulvio, Janssen, Jacques, Manca, Raimondo

Journal:

Annals of Actuarial Science

Year:

2012

Language:

english

File:

PDF, 924 KB

english, 2012

41

Stochastic impulsive processes on a superposition of two renewal processes

Koroliuk, Vladimir S., Manca, Raimondo, D’Amico, Guglielmo

Journal:

Journal of Mathematical Sciences

Year:

2015

Language:

english

File:

PDF, 204 KB

english, 2015

42

An algorithmic approach to non-homogeneous semi-markov processes

De Dominicis, Rodolfo, Manca, Raimondo

Journal:

Communications in Statistics - Simulation and Computation

Year:

1984

Language:

english

File:

PDF, 510 KB

english, 1984

43

Tornadoes and related damage costs: statistical modelling with a semi-Markov approach

D’Amico, Guglielmo, Manca, Raimondo, Corini, Chiara, Petroni, Filippo, Prattico, Flavio

Journal:

Geomatics Natural Hazards and Risk

Year:

2016

Language:

english

File:

PDF, 909 KB

english, 2016

44

Theory and practice of stochastic models and data analysis

D’Amico, Guglielmo, Manca, Raimondo, McClean, Sally

Journal:

Communication in Statistics- Theory and Methods

Year:

2016

Language:

english

File:

PDF, 419 KB

english, 2016

45

Semi-Markov Migration Models for Credit Risk || Recurrence Time Credit Risk Applications

D'Amico, Guglielmo, Di Biase, Giuseppe, Janssen, Jacques, Manca, Raimondo

Year:

2017

Language:

english

File:

PDF, 1.85 MB

english, 2017

46

Semi-Markov Migration Models for Credit Risk || Non-Homogeneous Semi-Markov Reward Processes and Credit Spread Computation

D'Amico, Guglielmo, Di Biase, Giuseppe, Janssen, Jacques, Manca, Raimondo

Year:

2017

Language:

english

File:

PDF, 373 KB

english, 2017

47

Semi-Markov Migration Models for Credit Risk || NHSMP Model for the Evaluation of Credit Default Swaps

D'Amico, Guglielmo, Di Biase, Giuseppe, Janssen, Jacques, Manca, Raimondo

Year:

2017

Language:

english

File:

PDF, 388 KB

english, 2017

48

Semi-Markov Migration Models for Credit Risk || Mono-Unireducible Markov and Semi-Markov Processes

D'Amico, Guglielmo, Di Biase, Giuseppe, Janssen, Jacques, Manca, Raimondo

Year:

2017

Language:

english

File:

PDF, 580 KB

english, 2017

49

Semi-Markov Migration Models for Credit Risk || Semi-Markov Processes Migration Credit Risk Models

D'Amico, Guglielmo, Di Biase, Giuseppe, Janssen, Jacques, Manca, Raimondo

Year:

2017

Language:

english

File:

PDF, 515 KB

english, 2017

50

Semi-Markov Migration Models for Credit Risk || Semi-Markov Credit Risk Simulation Models

D'Amico, Guglielmo, Di Biase, Giuseppe, Janssen, Jacques, Manca, Raimondo

Year:

2017

Language:

english

File:

PDF, 811 KB

english, 2017