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Issue Date
Title
Author(s)
2008
A non-linear filter
Elliott, R.
;
Leung, H.
;
Deng, J.
2009
VaR and expected shortfall: A non-normal regime switching framework
Elliott, R.
;
Miao, H.
2005
Filtering, smoothing and M-ary detection with discrete time poisson observations
Elliott, R.
;
Malcolm, W.
;
Aggoun, L.
2009
On Markov-modulated exponential-affine bond price formulae
Elliott, R.
;
Siu, T.
2009
Insurance claims modulated by a hidden Brownian marked point process
Elliott, R.
;
Chen, Z.
;
Duan, Q.
2008
A hidden Markov model of credit quality
Korolkiewicz, M.
;
Elliott, R.
2009
A Viterbi smoother for discrete state space model
Elliott, R.
;
Deng, J.
2009
Esscher transforms and consumption-based models
Badescu, A.
;
Elliott, R.
;
Siu, T.
2009
Portfolio risk minimization and differential games
Elliott, R.
;
Siu, T.
2004
Conditional moment generating functions for integrals and stochastic integrals
Charalambous, C.
;
Elliott, R.
;
Krishnamurthy, V.
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