10 papers
EM Estimation of Conditional Matrix Variate Distributions
Battulga Gankhuu
Conditional matrix variate student distribution was introduced by Battulga (2024a). In this paper, we propose a new version of the conditional matrix variate student distri…
Bayesian Markov-Switching Vector Autoregressive Process
Battulga Gankhuu
This study introduces marginal density functions of the general Bayesian Markov-Switching Vector Autoregressive (MS-VAR) process. In the case of the Bayesian MS-VAR process, we pro…
The Merton's Default Risk Model for Public Company
Battulga Gankhuu
In this paper, we developed the Merton's structural model for public companies under an assumption that liabilities of the companies are observed. Using Campbell and Shiller's appr…
The Log Private Company Valuation Model
Battulga Gankhuu
For a public company, pricing and hedging models of options and equity--linked life insurance products have been sufficiently developed. However, for a private company, because of…
Augmented Dynamic Gordon Growth Model
Battulga Gankhuu
In this paper, we introduce a dynamic Gordon growth model, which is augmented by a time--varying spot interest rate and the Gordon growth model for dividends. Using the risk--neutr…
Equity-Linked Life Insurances on Maximum of Several Assets
Battulga Gankhuu
Economic variables play important roles in any economic model, and sudden and dramatic changes exist in the financial market and economy. For this reason, to price and hedge equity…