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Browsing "School of Mathematical Sciences" by Author Van Der Hoek, J.

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PreviewIssue DateTitleAuthor(s)
2004A deterministic discretisation-step upper bound for state estimation via Clark transformationsMalcolm, W.; Elliott, R.; Van Der Hoek, J.
2003A general fractional white noise theory and applications to financeElliott, R.; Van Der Hoek, J.
2013A modified hidden Markov modelVan Der Hoek, J.; Elliott, R.
2012American option prices in a Markov chain market modelVan Der Hoek, J.; Elliott, R.
2012Asset pricing using finite state Markov chain stochastic discount functionsVan Der Hoek, J.; Elliott, R.
2006Binomial Models in FinanceVan Der Hoek, J.; Elliott, R.
2008Conditional expectation formulae for copulasCrane, G.; Van Der Hoek, J.
2013Default times in a continuous time Markov chain economyElliott, R.; Van Der Hoek, J.
2001Fractional Brownian motion and financial modellingElliott, R.; Van Der Hoek, J.; Kohlmann, M.; Tang, S.
2007Ito formulas for franctional Brownian motionElliott, R.; Van Der Hoek, J.; Fu, M.; Jarrow, R.; Yen, J.; Elliott, R.
2012Markov chain hitting timesElliott, R.; Van Der Hoek, J.; Sworder, D.
2010Nonlinear filter estimation of volatilityElliott, R.; Van Der Hoek, J.; Valencia, J.
2003On the numerical stability of time-discretised state estimation via Clark transformationsMalcolm, W.; Elliott, R.; Van Der Hoek, J.; IEEE Conference on Decision and Control (42nd : 2003 : Maui, Hawaii)
2006Optimal linear estimation and data fusionElliott, R.; Van Der Hoek, J.
2005Pairs tradingElliott, R.; Van Der Hoek, J.; Malcolm, W.
2004Pricing claims on non tradable assetsElliott, R.; Van Der Hoek, J.
2003Stochastic Differential Equations in Hilbert SpacesFilinkov, A.; Maizurna, I.; Sorenson, J.; Van Der Hoek, J.; Misra, J.
2001Stochastic flows and the forward measureElliott, R.; Van Der Hoek, J.
2008Using distortions of copulas to price synthetic CDOsCrane, G.; Van Der Hoek, J.
2002Using the Hull and White two factor model in bank treasury risk managementElliott, R.; Van Der Hoek, J.; Geman, H.; Madan, D.; Pliska, S.; Vorst, T.
Showing results 1 to 20 of 21  next >