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Issue Date
Title
Author(s)
2007
Pricing options and variance swaps in Markov-Modulated Brownian markets
Elliott, R.
;
Swishchuk, A.
;
Mamon, R.
;
Elliott, R.
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.
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.
Discover
Author
44
Siu, T.
9
Malcolm, W.
7
Cohen, S.
7
Van Der Hoek, J.
6
Badescu, A.
6
Deng, J.
6
Miao, H.
6
Sworder, D.
5
Boyd, J.
5
Hutchins, R.
.
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Subject
5
BSDE
5
Change of measures
5
EM algorithm
5
Reference probability
4
Comparison theorem
4
comparison theorem
4
Esscher transform
4
nonlinear expectation
4
Stochastic differential game
3
Backward stochastic differential ...
.
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Date issued
75
2010 - 2017
41
2001 - 2009