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Issue Date
Title
Author(s)
2012
Viterbi-based estimation for Markov switching GARCH model
Elliott, R.
;
Lau, J.
;
Miao, H.
;
Siu, T.
2011
A risk-based approach for pricing American options under a generalized Markov regime-switching model
Elliott, R.
;
Siu, T.
2011
Default times in a continuous-time Markovian regime switching model
Elliott, R.
;
Siu, T.
2009
On Markov-modulated exponential-affine bond price formulae
Elliott, R.
;
Siu, T.
2012
Markovian regime-switching market completion using additional Markov jump assets
Zhang, X.
;
Elliott, R.
;
Siu, T.
;
Guo, J.
2011
Control of discrete-time HMM partially observed under fractional Gaussian noises
Elliott, R.
;
Siu, T.
2009
Esscher transforms and consumption-based models
Badescu, A.
;
Elliott, R.
;
Siu, T.
2011
Utility-based indifference pricing in regime-switching models
Elliott, R.
;
Siu, T.
2012
Markovian forward-backward stochastic differential equations and stochastic flows
Elliott, R.
;
Siu, T.
2011
On pricing and hedging options in regime-switching models with feedback effect
Elliott, R.
;
Siu, T.
;
Badescu, A.
Discover
Author
6
Chan, L.
4
Badescu, A.
3
Yang, H.
3
Zhang, X.
2
Fung, E.
2
Lau, J.
2
Liew, C.
1
American Control Conference (2008...
1
Ching, W.
1
Cohen, S.
.
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Subject
5
Change of measures
5
Esscher transform
4
Stochastic differential game
3
Convex risk measure
3
Convex risk measures
3
Filtering
3
Model uncertainty
3
Optimal investment
3
Option pricing
3
Reference probability
.
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Date issued
38
2010 - 2017
9
2003 - 2009