{"id":"W2596270135","doi":"10.3934/dcdsb.2017100","title":"Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model","year":2017,"lang":"en","type":"article","venue":"Discrete and Continuous Dynamical Systems - B","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":5,"is_retracted":false,"has_abstract":true,"ca_institutions":"York University","funders":"","keywords":"Jump diffusion; Jump; Diffusion; Markov process; Statistical physics; Applied mathematics; Mathematical economics; Mathematics; Computer science; Physics; Statistics; Thermodynamics; Quantum mechanics","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.002122404,0.000915458,0.001800552,0.0008656148,0.000800872,0.002200206,0.001693601,0.002696687,0.003545543],"category_scores_gemma":[0.003982219,0.0004966481,0.001778604,0.0006733625,0.002842761,0.003108484,0.001722302,0.002423906,0.0003089784],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001613862,"about_ca_system_score_gemma":0.001382678,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.003354024,"about_ca_topic_score_gemma":0.001623981,"domain_scores_codex":[0.9992083,0.0003236165,0.00003862075,0.0001524509,0.0001533775,0.0001237001],"domain_scores_gemma":[0.9985164,0.0007977113,0.0002143928,0.0000873514,0.0001547786,0.0002294808],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.00003721194,0.0000506316,0.0003728329,0.00004822053,0.00003453615,0.000241332,0.00009668995,0.1092416,0.001389541,0.8859208,0.0006670658,0.001899468],"study_design_scores_gemma":[0.00001728573,0.00002775912,0.000171649,0.00001019846,0.00001270824,0.00005928845,0.0000200928,0.7582163,0.0001667959,0.2408781,0.000399282,0.00002040999],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.1969667,0.001689191,0.7709905,0.003684507,0.0001993475,0.0000772116,0.0001839887,0.0001390404,0.02606955],"genre_scores_gemma":[0.9538571,0.0009725083,0.02733627,0.0002299676,0.0001651454,0.00008022787,0.00009019179,0.00004677723,0.0172218],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.003545543,"threshold_uncertainty_score":0.01186103,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.01064527402733693,"score_gpt":0.2229734622500493,"score_spread":0.2123281882227124,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}