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Anleihe
Theorie
49
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49
Markov chain
35
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34
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33
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33
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30
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Siu, Tak Kuen
4
Elliott, Robert J.
2
Shen, Yang
2
Badescu, Alex
1
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Applied mathematical finance
1
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1
Insurance / Mathematics & economics
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ECONIS (ZBW)
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1
Pricing bond options under a Markovian regime-switching Hull-White model
Shen, Yang
;
Siu, Tak Kuen
- In:
Economic modelling
30
(
2013
),
pp. 933-940
Persistent link: https://www.econbiz.de/10009710001
Saved in:
2
Longevity bond pricing under stochastic interest rate and mortality with regime-switching
Shen, Yang
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
52
(
2013
)
1
,
pp. 114-123
Persistent link: https://www.econbiz.de/10009718990
Saved in:
3
Bond valuation under a discrete-time regime-switching term-structure model and its continuous-time extension
Elliott, Robert J.
;
Siu, Tak Kuen
;
Badescu, Alex
- In:
Managerial finance
37
(
2011
)
11
,
pp. 1025-1047
Persistent link: https://www.econbiz.de/10009388893
Saved in:
4
On Markov-modulated exponential-affine bond price formulae
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
Applied mathematical finance
16
(
2009
)
1/2
,
pp. 1-15
Persistent link: https://www.econbiz.de/10003847135
Saved in:
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