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Issue Date
Title
Author(s)
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.
2012
Filtering a nonlinear stochastic volatility model
Elliott, R.
;
Siu, T.
;
Fung, E.
2009
Multiple Priors and Asset Pricing
Madan, D.
;
Elliott, R.
2012
Backward stochastic difference equations for a single jump process
Shen, L.
;
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.
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.
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