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Issue Date
Title
Author(s)
2014
Strategic asset allocation under a fractional hidden markov model
Elliott, R.
;
Siu, T.
2013
Computational dynamic market risk measures in discrete time setting
Seck, B.
;
Elliott, R.
;
Gueyie, J.
2013
Reflected backward stochastic differential equations, convex risk measures and American options
Elliott, R.
;
Siu, T.
2014
A double HMM approach to Altman Z-scores and credit ratings
Elliott, R.
;
Siu, T.
;
Fung, E.
2013
Filtering a double threshold model with regime switching
Elliott, R.
;
Siu, T.
;
Lau, J.
2014
On pricing barrier options with regime switching
Elliott, R.
;
Siu, T.
;
Chan, L.
2013
A modified hidden Markov model
Van Der Hoek, J.
;
Elliott, R.
2014
Filtering and change point estimation for hidden Markov-modulated Poisson processes
Elliott, R.
;
Siu, T.
2015
A Dupire equation for a regime-switching model
Elliott, R.
;
Chan, L.
;
Siu, T.
2015
A note on differentiability in a Markov chain market using stochastic flows
Elliott, R.
;
Siu, T.
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Author
37
Siu, T.
7
Cohen, S.
6
Van Der Hoek, J.
5
Badescu, A.
5
Yang, Z.
4
Deng, J.
3
Chan, L.
3
Miao, H.
2
Fung, E.
2
Lau, J.
.
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Subject
5
BSDE
5
EM algorithm
4
Comparison theorem
4
comparison theorem
4
nonlinear expectation
3
Backward stochastic differential ...
3
Change of measures
3
Convex risk measure
3
Dynamic risk measure
3
Filtering
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