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Issue Date
Title
Author(s)
2011
Pricing and hedging contingent claims with regime switching risk
Elliott, R.
;
Siu, T.
2015
Backward stochastic difference equations for dynamic convex risk measures on a binomial tree
Elliott, R.
;
Siu, T.
;
Cohen, S.
2016
Comparison and converse comparison theorems for backward stochastic differential equations with Markov chain noise
Yang, Z.
;
Ramarimbahoaka, D.
;
Elliott, R.
2016
Heston-type stochastic volatility with a Markov switching regime
Elliott, R.
;
Nishide, K.
;
Osakwe, C.
2015
Non-Gaussian GARCH option pricing models and their diffusion limits
Badescu, A.
;
Elliott, R.
;
Ortega, J.
2013
Dynamic risk, accounting-based valuation and firm fundamentals
Lyle, M.
;
Callen, J.
;
Elliott, R.
2012
American option prices in a Markov chain market model
Van Der Hoek, J.
;
Elliott, R.
2013
Multiple solutions to stochastic differential delay equations and a related comparison theorem
Yang, Z.
;
Wei, L.
;
Elliott, R.
2013
Some properties of generalized anticipated backward stochastic differential equations
Yang, Z.
;
Elliott, R.
2012
An HMM approach for optimal investment of an insurer
Elliott, R.
;
Siu, T.
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Siu, T.
7
Cohen, S.
6
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5
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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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