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Results 11-20 of 37 (Search time: 0.002 seconds).
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Issue Date
Title
Author(s)
2015
A note on differentiability in a Markov chain market using stochastic flows
Elliott, R.
;
Siu, T.
2012
Filtering a nonlinear stochastic volatility model
Elliott, R.
;
Siu, T.
;
Fung, E.
2010
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
Elliott, R.
;
Siu, T.
2011
A BSDE approach to a risk-based optimal investment of an insurer
Elliott, R.
;
Siu, T.
2011
On filtering and estimation of a threshold stochastic volatility model
Elliott, R.
;
Liew, C.
;
Siu, T.
2011
Characteristic functions and option valuation in a Markov chain market
Elliott, R.
;
Liew, C.
;
Siu, T.
2011
An M-ary detection approach for asset allocation
Elliott, R.
;
Siu, T.
2010
On mean-variance portfolio selection under a hidden Markovian regime-switching model
Elliott, R.
;
Siu, T.
;
Badescu, A.
2010
Filtering a Markov modulated random measure
Elliott, R.
;
Siu, T.
;
Yang, H.
2011
Ruin theory in a hidden Markov-modulated risk model
Elliott, R.
;
Siu, T.
;
Yang, H.
Discover
Author
3
Badescu, A.
3
Chan, L.
2
Fung, E.
2
Lau, J.
2
Liew, C.
2
Yang, H.
2
Zhang, X.
1
Ching, W.
1
Cohen, S.
1
Guo, J.
.
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Subject
3
Change of measures
3
Convex risk measure
3
Reference probability
2
Convex risk measures
2
Dynamic programming
2
EM algorithm
2
Esscher transform
2
Filtering
2
Hidden Markov chain
2
Hidden Markov models
.
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