We consider a multidimensional, continuous-time model where the observation process is a diffusion with drift and volatility coefficients being modeled as continuous-time, finite-state Markov chains with a common state process. For the econometric estimation of the states for drift and...

The risk of a future payoff is commonly quantified by calculating the costs of a hedging portfolio such that the resulting position is acceptable, i.e. that it passes a capital adequacy test. A multi-asset risk measure describes the minimal external capital which has to be raised into multiple...

We consider a multidimensional, continuous-time model where the observation process is a diffusion with drift and volatility coefficients being modeled as continuous-time, finite-state Markov chains with a common state process. For the econometric estimation of the states for drift and...

We consider a continuous time Markov switching model (MSM) which is widely used in mathematical finance. The aim is to estimate the parameters given observations in discrete time. Since there is no finite dimensional filter for estimating the underlying state of the MSM, it is not possible to...