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Issue Date
Title
Author(s)
2009
Risk-hedging in real estate markets
Cadenillas, A.
;
Elliott, R.
;
Miao, H.
;
Wu, Z.
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.
2009
A 'simple' hybrid model for power derivatives
Lyle, M.
;
Elliott, R.
2010
A Zakai equation derivation of the extended Kalman filter
Elliott, R.
;
Haykin, S.
2008
A self tuning model for risk estimation
Elliott, R.
;
Filinkov, A.
2010
On mean-variance portfolio selection under a hidden Markovian regime-switching model
Elliott, R.
;
Siu, T.
;
Badescu, A.
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