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Issue Date
Title
Author(s)
2008
A PDE approach for risk measures for derivatives with regime switching
Elliott, R.
;
Siu, T.
;
Chan, L.
2010
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
Elliott, R.
;
Siu, T.
2009
Portfolio risk minimization and differential games
Elliott, R.
;
Siu, T.
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Author
3
Siu, T.
1
Chan, L.
Subject
2
Change of measures
2
Stochastic differential game
1
American options
1
Convex risk measure
1
Convex risk measures
1
Delta-neutral hedging
1
Esscher transform
1
Exotic options
1
Financial risk
1
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Date issued
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2010
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2008