Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Asset Pricing in a Semi-Markov Modulated Market with Time-dependent
  Volatility   This project attempts to address the problem of asset pricing in a financial
market, where the interest rates and volatilities exhibit regime switching.
This is an extension of the Black-Scholes model. Studies of Markov-modulated
regime switching models have been well-documented. This project extends that
notion to a class of semi-Markov processes known as age-dependent processes. We
also allow for time-dependence in volatility within regimes. We show that the
problem of option pricing in such a market is equivalent to solving a certain
integral equation.

26
The categories of this paper are: bayes-an
25
The categories of this paper are: patt-sol
15
The categories of this paper are: nucl-ex
36
The categories of this paper are: cmp-lg
27
The categories of this paper are: comp-gas
0
The categories of this paper are: hep-ph
23
The categories of this paper are: solv-int
8
The categories of this paper are: hep-ex
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The categories of this paper are: eess
2
The categories of this paper are: math
13
The categories of this paper are: quant-ph
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The categories of this paper are: dg-ga
30
The categories of this paper are: q-alg
3
The categories of this paper are: physics
4
The categories of this paper are: cond-mat
11
The categories of this paper are: hep-lat