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Results 1-10 of 13 (Search time: 0.001 seconds).
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Issue Date
Title
Author(s)
2011
Pricing and hedging contingent claims with regime switching risk
Elliott, R.
;
Siu, T.
2011
A BSDE approach to a risk-based optimal investment of an insurer
Elliott, R.
;
Siu, T.
2011
On filtering and estimation of a threshold stochastic volatility model
Elliott, R.
;
Liew, C.
;
Siu, T.
2011
Characteristic functions and option valuation in a Markov chain market
Elliott, R.
;
Liew, C.
;
Siu, T.
2011
An M-ary detection approach for asset allocation
Elliott, R.
;
Siu, T.
2011
Ruin theory in a hidden Markov-modulated risk model
Elliott, R.
;
Siu, T.
;
Yang, H.
2011
A stochastic differential game for optimal investment of an insurer with regime switching
Elliott, R.
;
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.
2011
Control of discrete-time HMM partially observed under fractional Gaussian noises
Elliott, R.
;
Siu, T.
Discover
Author
13
Elliott, R.
2
Badescu, A.
2
Liew, C.
1
Kulperger, R.
1
Miettinen, J.
1
Yang, H.
Subject
2
Convex risk measure
2
Dynamic programming
2
Filtering
2
Insurance company
2
Model uncertainty
2
Optimal investment
1
American contingent claims
1
Asian options
1
Asset allocation
1
Backward stochastic differential ...
.
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