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Issue Date
Title
Author(s)
2012
Filtering a nonlinear stochastic volatility model
Elliott, R.
;
Siu, T.
;
Fung, E.
2012
Backward stochastic difference equations for a single jump process
Shen, L.
;
Elliott, R.
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.
2014
Pricing of discount bonds with a Markov switching regime
Elliott, R.
;
Nishide, K.
2011
Characteristic functions and option valuation in a Markov chain market
Elliott, R.
;
Liew, C.
;
Siu, T.
2012
How to value risk
Shen, B.
;
Elliott, R.
2011
An M-ary detection approach for asset allocation
Elliott, R.
;
Siu, T.
2010
A filter for a state space model with fractional Gaussian noise
Elliott, R.
;
Deng, J.
Discover
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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