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Issue Date
Title
Author(s)
2009
On Markov-modulated exponential-affine bond price formulae
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.
2009
Esscher transforms and consumption-based models
Badescu, A.
;
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.
2011
On pricing and hedging options in regime-switching models with feedback effect
Elliott, R.
;
Siu, T.
;
Badescu, A.
2009
Portfolio risk minimization and differential games
Elliott, R.
;
Siu, T.
2012
Attainable contingent claims in a Markovian regime-switching market
Elliott, R.
;
Siu, T.
2016
Pricing options in a Markov regime switching model with a random acceleration for the volatility
Elliott, R.
;
Chan, L.
;
Siu, T.
Discover
Author
44
Elliott, R.
4
Badescu, A.
4
Chan, L.
3
Yang, H.
2
Fung, E.
2
Lau, J.
2
Liew, C.
2
Zhang, X.
1
American Control Conference (2008...
1
Ching, W.
.
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Subject
5
Change of measures
4
Esscher transform
4
Stochastic differential game
3
Convex risk measure
3
Convex risk measures
3
Model uncertainty
3
Reference probability
3
Regime-switching HJB equation
2
Dynamic programming
2
EM algorithm
.
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Date issued
37
2010 - 2017
7
2003 - 2009