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Issue Date
Title
Author(s)
2011
Pricing and hedging contingent claims with regime switching risk
Elliott, R.
;
Siu, T.
2003
On a generalized form of risk measure
Elliott, R.
;
Siu, T.
;
Yang, H.
2008
A Markovian regime-switching stochastic differential game for portfolio risk minimization
Elliott, R.
;
Siu, T.
;
American Control Conference (2008 : Seattle, Washington)
2015
Backward stochastic difference equations for dynamic convex risk measures on a binomial tree
Elliott, R.
;
Siu, T.
;
Cohen, S.
2012
An HMM approach for optimal investment of an insurer
Elliott, R.
;
Siu, T.
2014
Strategic asset allocation under a fractional hidden markov model
Elliott, R.
;
Siu, T.
2013
Reflected backward stochastic differential equations, convex risk measures and American options
Elliott, R.
;
Siu, T.
2014
A double HMM approach to Altman Z-scores and credit ratings
Elliott, R.
;
Siu, T.
;
Fung, E.
2013
Filtering a double threshold model with regime switching
Elliott, R.
;
Siu, T.
;
Lau, J.
2014
On pricing barrier options with regime switching
Elliott, R.
;
Siu, T.
;
Chan, L.
Discover
Author
4
Badescu, A.
4
Chan, L.
3
Yang, H.
2
Fung, E.
2
Lau, J.
2
Liew, C.
2
Zhang, X.
1
American Control Conference (2008...
1
Ching, W.
1
Cohen, S.
.
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Subject
5
Change of measures
4
Esscher transform
4
Stochastic differential game
3
Convex risk measure
3
Convex risk measures
3
Model uncertainty
3
Reference probability
3
Regime-switching HJB equation
2
Dynamic programming
2
EM algorithm
.
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Date issued
37
2010 - 2017
7
2003 - 2009