| 1 An Exact Solution of the Term Structure of Interest Rateunder Regime.Switching Risk Shuwz.Yong Zeng 1.1 Introduction 1.2 A new representation for modeling regime shift 1.3 The model 1.3.1 TWO state variables 1.3.2 Pricing kernel 1.3.3 The risk.neutral probability measure 1.3.4 The term structure of interest rates 1.4 A tractable specification with exact solution 1.4.1 Affine regimeswitching models 1.5 Conclusions References 2 The Term Structure of Interest Rates in a Hidden MarkovSetting Robert，Elliott.Craig A.WiIson 2.1 Introduction 2.2 The Model 2.2.1 The Markov chain 2.2.2 The shortterm interest rate 2.2.3 The zerOcoupon bond value 2.3 Implementation 2.4 Results 2.5 Conclusion References 3 On Fair Valuation of Participating Life Insurance Policies With Regime Switching Tak Kuen Siu 3.1 Introduction 3.2 The model dynamics 3.3 Dimension reduction to regime-switching PDE 3.4 Further investigation References. 4 Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets Robert，Elliott.Anatoliy矿Swishchuk 4.1 Introduction 4.2 Literature review 4.3 Martingale characterization ofMarkov processes 4.4 Pricing options for Markovmodulated security markets 4.4.1 Incompleteness of Markovmodulated Brownian security markets 4.4.2 The Black-Scholes formula for pricing options in a Markovmodulated Brownian market 4.5 Pricing options for Markov-modulated Brownian markets with jumps 4.5.1 Incompleteness of Markovmodulated Brownian （B，S）-security markets withjumps 4.5.2 BlackScholes formula for pricing options in Markovmodulated Brownian fB，S）-security market with jumps 4.6 Pricing of Variancev swaps for stochastic volatility driven by Markov process. 4.6.1 Stochastic volatility driven by Markov process. 4.6.2 Pricing of variance swaps for stochastic volatility driven by Markov process 4.6.3 Example of variance SWap for stochastic volatility driven by tw0state COntinuous Markov chainA A Some auxiliary results. A.1 A FeynmannKac formula for the Markovmodulated process（Ys（t），Xs（t））t＞s A.2 Formula for the option price FT（ST） for the market combined Markovmodulated（B，Sl-security market and compound geometric Poisson process（see Section 4.4.2） Referrences …… 5 Smoothed Parameter Estimation for a Hidden Markov Model of Credit Quality 6 Expectde Shortfall Under a Model With Market and Credit Risks 7 Filtering of Hidden Weak Markov Chain-Discrete Range Observations 8 Filtering of a Partially Observed Inventory Sytem 9 An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market 10 Early Warning Systems for Currency Crises：A Regime-Switchng Approach |
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