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Results 21-30 of 37 (Search time: 0.002 seconds).
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Issue Date
Title
Author(s)
2011
A stochastic differential game for optimal investment of an insurer with regime switching
Elliott, R.
;
Siu, T.
2013
Option pricing and filtering with hidden Markov-Modulated pure-jump processes
Elliott, R.
;
Siu, T.
2012
A BSDE approach to convex risk measures for derivative securities
Elliott, R.
;
Siu, T.
2012
Viterbi-based estimation for Markov switching GARCH model
Elliott, R.
;
Lau, J.
;
Miao, H.
;
Siu, T.
2011
A risk-based approach for pricing American options under a generalized Markov regime-switching model
Elliott, R.
;
Siu, T.
2011
Default times in a continuous-time Markovian regime switching model
Elliott, R.
;
Siu, T.
2012
Markovian regime-switching market completion using additional Markov jump assets
Zhang, X.
;
Elliott, R.
;
Siu, T.
;
Guo, J.
2011
Control of discrete-time HMM partially observed under fractional Gaussian noises
Elliott, R.
;
Siu, T.
2011
Utility-based indifference pricing in regime-switching models
Elliott, R.
;
Siu, T.
2012
Markovian forward-backward stochastic differential equations and stochastic flows
Elliott, R.
;
Siu, T.
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Author
37
Elliott, R.
3
Badescu, A.
3
Chan, L.
2
Fung, E.
2
Lau, J.
2
Liew, C.
2
Yang, H.
2
Zhang, X.
1
Ching, W.
1
Cohen, S.
.
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Subject
3
Change of measures
3
Convex risk measure
3
Reference probability
2
Convex risk measures
2
Dynamic programming
2
EM algorithm
2
Esscher transform
2
Filtering
2
Hidden Markov chain
2
Hidden Markov models
.
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