Narrow Results

We extend the one-factor stochastic volatility model to incorporate super-linearly growing coefficient terms with a Markov-switching framework. Since the proposed model is intractable analytically, we develop various mathematical techniques to investigate the convergence in probability of the numerical solutions to the true solution under the local Lipschitz condition. Finally, we perform simulation examples to demonstrate the convergence result and justify the result for the Monte Carlo evaluation of some option contracts written on an underlying interest rate whose prices are governed by this model.

This paper analyzes the impact of the Eurozone debt crisis on China and India. Using Markov-switching analysis, we discern regimes in economic growth as well as financial markets and study the impact of the global financial crisis and Eurozone crisis on the same. We identify vulnerability and robustness factors governing the degree of exposure and resilience to the crisis for both these economies. In view of strong trade and financial linkages, the Eurozone crisis may have marred prospects of recovery in the aftermath of the recent Great Recession in both China and India. China, however, is found to be more resilient to the crisis possibly due to stronger macroeconomic fundamentals.

We find evidence of "pure" contagion effects in international banking arising from the collapse of BCCI. A Markov regime-switching approach is employed to allow for the uncertainty surrounding the date of BCCI's collapse. The results indicate that there are shortcomings in the supervision of internationally spread banking groups like BCCI, and carry implications for the EU single market programme in financial services.

This paper concerns with a Markov-switching predator–prey model with Allee effect for preys. The conditions under which extinction of predator and prey populations occur have been established. Sufficient conditions are also given for persistence and global attractivity in mean. In addition, stability in the distribution of the system under consideration is derived under some assumptions. Finally, numerical simulations are carried out to illustrate theoretical results.