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Issue Date
Title
Author(s)
2011
Pricing and hedging contingent claims with regime switching risk
Elliott, R.
;
Siu, T.
2015
Backward stochastic difference equations for dynamic convex risk measures on a binomial tree
Elliott, R.
;
Siu, T.
;
Cohen, S.
2012
An HMM approach for optimal investment of an insurer
Elliott, R.
;
Siu, T.
2014
Strategic asset allocation under a fractional hidden markov model
Elliott, R.
;
Siu, T.
2013
Reflected backward stochastic differential equations, convex risk measures and American options
Elliott, R.
;
Siu, T.
2014
A double HMM approach to Altman Z-scores and credit ratings
Elliott, R.
;
Siu, T.
;
Fung, E.
2013
Filtering a double threshold model with regime switching
Elliott, R.
;
Siu, T.
;
Lau, J.
2014
On pricing barrier options with regime switching
Elliott, R.
;
Siu, T.
;
Chan, L.
2014
Filtering and change point estimation for hidden Markov-modulated Poisson processes
Elliott, R.
;
Siu, T.
2015
A Dupire equation for a regime-switching model
Elliott, R.
;
Chan, L.
;
Siu, T.
Discover
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
2
HJB dynamic programming
2
Insurance company
2
Model uncertainty
2
model uncertainty
2
Optimal investment
2
Option pricing
2
regime switching
2
robust filters
2
Stochastic differential game
2
Stochastic volatility
.
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