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Issue Date
Title
Author(s)
2008
A Markovian regime-switching stochastic differential game for portfolio risk minimization
Elliott, R.
;
Siu, T.
;
American Control Conference (2008 : Seattle, Washington)
2002
An interest rate model with a Markovian mean reverting level
Elliott, R.
;
Mamon, R.
2009
Multiple Priors and Asset Pricing
Madan, D.
;
Elliott, R.
2008
A PDE approach for risk measures for derivatives with regime switching
Elliott, R.
;
Siu, T.
;
Chan, L.
2009
Robust optimal portfolio choice under Markovian regime-switching model
Elliott, R.
;
Siu, T.
2009
Risk-hedging in real estate markets
Cadenillas, A.
;
Elliott, R.
;
Miao, H.
;
Wu, Z.
2009
A 'simple' hybrid model for power derivatives
Lyle, M.
;
Elliott, R.
2008
A self tuning model for risk estimation
Elliott, R.
;
Filinkov, A.
2008
Discrete-time expectation maximization algorithms for Markov-modulated poisson processes
Elliott, R.
;
Malcolm, W.
2007
Discrete-time nonlinear filtering algorithms using Gauss-Hermite quadrature: new computationally efficient methods are proposed for more accurately analyzing and modeling dynamic processes that are nonlinear and subject to non-Gaussian noise
Arasaratnam, I.
;
Haykin, S.
;
Elliott, R.
;
IEEE Transactions on Automatic Control (1 May 2007
Discover
Author
8
Malcolm, W.
7
Siu, T.
5
Boyd, J.
5
Hutchins, R.
5
Sworder, D.
4
Dufour, F.
4
Mamon, R.
3
Miao, H.
2
Aggoun, L.
2
Asilomar Conference on Signals, S...
.
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Subject
2
Asset pricing
2
Change of measure
2
Change of measures
2
Esscher transform
2
Exponential affine form
2
Reference probability
2
Regime-switching HJB equation
2
Stochastic differential game
1
American options
1
American put option
.
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Date issued
11
2009
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2001