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Issue Date
Title
Author(s)
2011
A filter for a hidden Markov chain observed in fractional Gaussian noise
Elliott, R.
;
Deng, J.
2012
Attainable contingent claims in a Markovian regime-switching market
Elliott, R.
;
Siu, T.
2014
Option pricing using a regime switching stochastic discount factor
Elliott, R.
;
Hamada, A.
2010
Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
Cohen, S.
;
Elliott, R.
2010
A general comparison theorem for backward stochastic differential equations
Cohen, S.
;
Elliott, R.
;
Pearce, C.
2016
Pricing options in a Markov regime switching model with a random acceleration for the volatility
Elliott, R.
;
Chan, L.
;
Siu, T.
2011
Backward stochastic difference equations and nearly time-consistent nonlinear expectations
Cohen, S.
;
Elliott, R.
2011
A comparison of pricing kernels for garch option pricing with generalized hyperbolic distributions
Badescu, A.
;
Elliott, R.
;
Kulperger, R.
;
Miettinen, J.
;
Siu, T.
2012
A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance
Zhang, X.
;
Elliott, R.
;
Siu, T.
2011
Backward Stochastic Difference Equations with Finite States
Cohen, S.
;
Elliott, R.
;
Kohatsu Higa, A.
;
Privault, N.
;
Sheu, S.
;
Workshop on Stochastic Analysis and Finance (29 Jun 2009 - 3 Jul 2009 : Hong Kong)
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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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BSDE
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EM algorithm
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Comparison theorem
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comparison theorem
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nonlinear expectation
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Backward stochastic differential ...
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Change of measures
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Convex risk measure
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