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Issue Date
Title
Author(s)
2009
Robust optimal portfolio choice under Markovian regime-switching model
Elliott, R.
;
Siu, T.
2009
On Markov-modulated exponential-affine bond price formulae
Elliott, R.
;
Siu, T.
2009
Esscher transforms and consumption-based models
Badescu, A.
;
Elliott, R.
;
Siu, T.
2009
Portfolio risk minimization and differential games
Elliott, R.
;
Siu, T.
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Author
4
Elliott, R.
1
Badescu, A.
Subject
2
Change of measures
2
Exponential affine form
2
Stochastic differential game
1
bond valuation
1
Consumption-based model
1
Convex risk measures
1
Esscher transform
1
Esscher–Girsanov transform
1
Euler equation
1
Financial risk
.
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