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Valuation of CMS range notes in a multifactor LIBOR market model
Wu, Ping; Elliott, Robert J. - In: International journal of financial engineering 3 (2016) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10011532755
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Parameter estimation for a regime-switching mean-reverting model with jumps
Wu, Ping; Elliott, Robert J. - In: International journal of theoretical and applied finance 8 (2005) 6, pp. 791-806
Persistent link: https://www.econbiz.de/10003133883
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Valuation of certain CMS spreads
Wu, Ping; Elliott, Robert J. - In: Financial markets and portfolio management 31 (2017) 4, pp. 445-467
Persistent link: https://www.econbiz.de/10011944624
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Stochastic processes, finance and control : a Festschrift in honor of Robert J. Elliott
Cohen, Samuel N. (ed.); Madan, Dilip B. (ed.);  … - 2012
This title consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering--
Persistent link: https://www.econbiz.de/10012658655
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Analytical solutions to the pricing of American bond and yield options
Chesney, Marc; Elliott, Robert J.; Gibson, Rajna - 1991 - Rev. version
Persistent link: https://www.econbiz.de/10000817550
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Incomplete diversification and asset pricing
Madan, Dilip B.; Milne, Frank; Elliott, Robert J. - 1992
Persistent link: https://www.econbiz.de/10000135929
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Mathematics of financial markets
Elliott, Robert J.; Kopp, Peter E. - 1999
Persistent link: https://www.econbiz.de/10000663279
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A hidden Markov model of credit quality
Korolkiewicz, Małgorzata W.; Elliott, Robert J. - In: Journal of economic dynamics & control 32 (2008) 12, pp. 3807-3819
Persistent link: https://www.econbiz.de/10003804739
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Duality methods
Elliott, Robert J.; Hoek, John van der - In: Indifference pricing : theory and applications, (pp. 321-386). 2009
Persistent link: https://www.econbiz.de/10003807599
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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