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Issue Date
Title
Author(s)
2015
Backward stochastic difference equations for dynamic convex risk measures on a binomial tree
Elliott, R.
;
Siu, T.
;
Cohen, S.
2015
Non-Gaussian GARCH option pricing models and their diffusion limits
Badescu, A.
;
Elliott, R.
;
Ortega, J.
2015
A Dupire equation for a regime-switching model
Elliott, R.
;
Chan, L.
;
Siu, T.
2015
A note on differentiability in a Markov chain market using stochastic flows
Elliott, R.
;
Siu, T.
2015
On binomial observations of continuous-time Markovian population models
Bean, N.G.
;
Elliott, R.
;
Eshragh, A.
;
Ross, J.V.
2015
Asset pricing using trading volumes in a hidden regime-switching environment
Elliott, R.
;
Siu, T.
Discover
Author
4
Siu, T.
1
Badescu, A.
1
Bean, N.G.
1
Chan, L.
1
Cohen, S.
1
Eshragh, A.
1
Ortega, J.
1
Ross, J.V.
Subject
1
Asset pricing; trading volumes; h...
1
Continuous-time Markovian populat...
1
Dynamic convex risk measure; cond...
1
Finance; non-Gaussian GARCH model...
1
Regime-switching local volatility...
1
Stochastic flows; differentiabili...