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Issue Date
Title
Author(s)
2011
A nonlinear filter with fractional gaussian noise
Elliott, R.
;
Deng, J.
2012
A BSDE approach to convex risk measures for derivative securities
Elliott, R.
;
Siu, T.
2012
Viterbi-based estimation for Markov switching GARCH model
Elliott, R.
;
Lau, J.
;
Miao, H.
;
Siu, T.
2011
A risk-based approach for pricing American options under a generalized Markov regime-switching model
Elliott, R.
;
Siu, T.
2011
Default times in a continuous-time Markovian regime switching model
Elliott, R.
;
Siu, T.
2013
Default times in a continuous time Markov chain economy
Elliott, R.
;
Van Der Hoek, J.
2010
Some applications for M-ary detection in quantitative finance
Malcolm, W.
;
Elliott, R.
2011
Backward stochastic differential equations for a single jump process
Shen, L.
;
Elliott, R.
2010
Nonlinear filter estimation of volatility
Elliott, R.
;
Van Der Hoek, J.
;
Valencia, J.
2012
Markovian regime-switching market completion using additional Markov jump assets
Zhang, X.
;
Elliott, R.
;
Siu, T.
;
Guo, J.
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Author
37
Siu, T.
7
Cohen, S.
6
Van Der Hoek, J.
5
Badescu, A.
5
Yang, Z.
4
Deng, J.
3
Chan, L.
3
Miao, H.
2
Fung, E.
2
Lau, J.
.
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Subject
5
BSDE
5
EM algorithm
4
Comparison theorem
4
comparison theorem
4
nonlinear expectation
3
Backward stochastic differential ...
3
Change of measures
3
Convex risk measure
3
Dynamic risk measure
3
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