Browsing Theses by Subject "Markov"
Now showing items 1-3 of 3
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Hierarchical Hidden Markov Model of High-Frequency Market Regimes using Trade Price and Limit Order Book Information
(University of Waterloo, 2011-05-05)Over the last fifty years financial markets have seen an enormous expansion and development both in size and variety. An industry that was once small and secluded has transformed into an essential part of today’s economy. ... -
Markovian Approaches to Joint-life Mortality with Applications in Risk Management
(University of Waterloo, 2011-08-16)The combined survival status of the insured lives is a critical problem when pricing and reserving insurance products with more than one life. Our preliminary experience examination of bivariate annuity data from a large ... -
Modelling Issues in Three-state Progressive Processes
(University of Waterloo, 2001)This dissertation focuses on several issues pertaining to three-state progressive stochastic processes. Casting survival data within a three-state framework is an effective way to incorporate intermediate events into an ...