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Results 1-10 of 15 (Search time: 0.001 seconds).
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Issue Date
Title
Author(s)
2012
American option prices in a Markov chain market model
Van Der Hoek, J.
;
Elliott, R.
2012
An HMM approach for optimal investment of an insurer
Elliott, R.
;
Siu, T.
2012
Filtering a nonlinear stochastic volatility model
Elliott, R.
;
Siu, T.
;
Fung, E.
2012
Backward stochastic difference equations for a single jump process
Shen, L.
;
Elliott, R.
2012
A Bayesian approach for optimal reinsurance and investment in a diffusion model
Zhang, X.
;
Elliott, R.
;
Siu, T.
2012
How to value risk
Shen, B.
;
Elliott, R.
2012
Asset pricing using finite state Markov chain stochastic discount functions
Van Der Hoek, J.
;
Elliott, R.
2012
Markov chain hitting times
Elliott, R.
;
Van Der Hoek, J.
;
Sworder, D.
2012
A BSDE approach to convex risk measures for derivative securities
Elliott, R.
;
Siu, T.
2012
Viterbi-based estimation for Markov switching GARCH model
Elliott, R.
;
Lau, J.
;
Miao, H.
;
Siu, T.
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Author
9
Siu, T.
3
Van Der Hoek, J.
3
Zhang, X.
1
Cohen, S.
1
Fung, E.
1
Guo, J.
1
Lau, J.
1
Miao, H.
1
Shen, B.
1
Shen, L.
.
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Subject
1
capacitor lifetime
1
Change of measures
1
Comparison theorem
1
comparison theorem
1
Contingent claims; attainability;...
1
Continuous time Markov chains
1
Convex risk measures
1
Cost process
1
derivative asset pricing
1
double martingales
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