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Results 1-10 of 11 (Search time: 0.005 seconds).
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Issue Date
Title
Author(s)
2009
Multiple Priors and Asset Pricing
Madan, D.
;
Elliott, R.
2009
Robust optimal portfolio choice under Markovian regime-switching model
Elliott, R.
;
Siu, T.
2009
Risk-hedging in real estate markets
Cadenillas, A.
;
Elliott, R.
;
Miao, H.
;
Wu, Z.
2009
A 'simple' hybrid model for power derivatives
Lyle, M.
;
Elliott, R.
2009
VaR and expected shortfall: A non-normal regime switching framework
Elliott, R.
;
Miao, H.
2009
On Markov-modulated exponential-affine bond price formulae
Elliott, R.
;
Siu, T.
2009
Insurance claims modulated by a hidden Brownian marked point process
Elliott, R.
;
Chen, Z.
;
Duan, Q.
2009
A Viterbi smoother for discrete state space model
Elliott, R.
;
Deng, J.
2009
Esscher transforms and consumption-based models
Badescu, A.
;
Elliott, R.
;
Siu, T.
2009
Portfolio risk minimization and differential games
Elliott, R.
;
Siu, T.
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Author
4
Siu, T.
3
Miao, H.
1
Badescu, A.
1
Cadenillas, A.
1
Chen, Z.
1
Deng, J.
1
Duan, Q.
1
Lyle, M.
1
Madan, D.
1
Wu, Z.
.
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Subject
2
Asset pricing
2
Change of measures
2
Exponential affine form
2
Stochastic differential game
1
American put option
1
bond valuation
1
Brownian motion
1
Capital structure
1
Change of measure
1
Consumption-based model
.
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