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Applied mathematical finance
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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
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2
Pricing volatility swaps under Heston's stochastic volatility model with regime switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
Applied mathematical finance
14
(
2007
)
1
,
pp. 41-62
Persistent link: https://www.econbiz.de/10003542938
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3
Viterbi-based estimation for Markov switching GARCH model
Elliott, Robert J.
;
Lau, John W.
;
Miao, Hong
;
Siu, Tak Kuen
- In:
Applied mathematical finance
19
(
2012
)
3/4
,
pp. 219-231
Persistent link: https://www.econbiz.de/10009710984
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4
Default times in a continuous time Markov chain economy
Elliott, Robert J.
;
Hoek, John van der
- In:
Applied mathematical finance
20
(
2013
)
5/6
,
pp. 450-460
Persistent link: https://www.econbiz.de/10010235596
Saved in:
5
Option pricing and filtering with hidden Markov-modulated pure-jump processes
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
Applied mathematical finance
20
(
2013
)
1/2
,
pp. 1-25
Persistent link: https://www.econbiz.de/10009737182
Saved in:
6
Viterbi-Based Estimation for Markov Switching GARCH Model
Elliott, Robert J.
;
Lau, John W.
;
Miao, Hong
;
Kuen Siu, Tak
- In:
Applied mathematical finance
19
(
2012
)
3
,
pp. 219-232
Persistent link: https://www.econbiz.de/10009983142
Saved in:
7
Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
Applied mathematical finance
20
(
2013
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10010072038
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