- A regime-switching regression model for hedge funds (2010)
- The modelling of hedge funds poses a difficult problem since the available reported data sets are often small and incomplete. We propose a switching regression model for hedge funds, in which the coefficients are able to switch between different regimes. The coefficients are governed by a Markov chain in discrete time. The different states of the Markov chain represent different states of the economy, which influence the performance of the independent variables. Hedge fund indices are chosen as regressors. The parameter estimation for the switching parameter as well as for the switching error term is done through a filtering technique for hidden Markov models developed by Elliott (1994). Recursive parameter estimates are calculated through a filter-based EM-algorithm, which uses the hidden information of the underlying Markov chain. Our switching regression model is applied on hedge fund series and hedge fund indices from the HFR database.
- Pricing American call options under the assumption of stochastic dividends – An application of the Korn-Rogers model (2009)
- In nancial mathematics stock prices are usually modelled directly as a result of supply and demand and under the assumption that dividends are paid continuously. In contrast economic theory gives us the dividend discount model assuming that the stock price equals the present value of its future dividends. These two models need not to contradict each other - in their paper Korn and Rogers (2005) introduce a general dividend model preserving the stock price to follow a stochastic process and to be equal to the sum of all its discounted dividends. In this paper we specify the model of Korn and Rogers in a Black-Scholes framework in order to derive a closed-form solution for the pricing of American Call options under the assumption of a known next dividend followed by several stochastic dividend payments during the option's time to maturity.
- Einsatz konnektionistischer Lernmethoden für die technische Diagnose (1999)
- In diesem Beitrag werden konnektionistische Lernverfahren für die wissensbasierte Diagnose technischer Systeme vorgestellt. Es werden zwei Problemstellungen untersucht: die Prognose von Signalverläufen technischer Zustandsgrössen sowie die diagnostische Klassifikation von Systemzuständen und die Ergebnisse der Untersuchungen dargestellt.