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~subject:"Markov chain"
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Markov chain
Theorie
88
Theory
88
Optionspreistheorie
62
Option pricing theory
61
Markov-Kette
49
Stochastic process
42
Stochastischer Prozess
42
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35
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34
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Elliott, Robert J.
49
Siu, Tak Kuen
17
Mamon, Rogemar S.
6
Chan, Leunglung
5
Nishide, Katsumasa
4
Badescu, Alex
3
Hunter, William Curt
3
Jamieson, Barbara M.
3
Miao, Hong
3
Elliott, Robert J. R.
2
Lau, John W.
2
Osakwe, Carlton-James U.
2
Shen, Jia
2
Bradrania, Reza
1
Buffington, John
1
Ching, Wai Ki
1
Dela Vega, Engel John C.
1
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1
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1
Guo, Junyi
1
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1
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1
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1
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1
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1
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1
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1
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1
Malcolm, W. P.
1
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1
Royal, Andrew J.
1
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1
Sathye, Milind
1
Seck, Babacar
1
Siu, Chi Chung
1
Sviščuk, Anatolij
1
Tertychnyi, Maksym
1
Tsoi, Allanus H.
1
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1
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1
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International journal of theoretical and applied finance
11
Annals of finance
5
Journal of economic dynamics & control
4
Applied mathematical finance
3
International Series in Operations Research & Management Science
2
International series in operations research & management science
2
Managerial Finance
2
SpringerLink / Bücher
2
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2
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1
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1
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1
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1
International journal of financial engineering and risk management
1
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1
Managerial finance
1
Mathematical modeling and numerical methods in finance : special volume
1
OR spectrum : quantitative approaches in management
1
Quantitative finance
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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1
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ECONIS (ZBW)
49
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Option pricing for pure jump processes with Markov switching compensators
Elliott, Robert J. R.
;
Osakwe, Carlton-James U.
- In:
Finance and stochastics
10
(
2006
)
2
,
pp. 250-275
Persistent link: https://www.econbiz.de/10003334921
Saved in:
2
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
Saved in:
3
Investment timing under regime switching
Elliott, Robert J.
;
Miao, Hong
;
Yu, Jin
- In:
International journal of theoretical and applied finance
12
(
2009
)
4
,
pp. 443-463
Persistent link: https://www.econbiz.de/10003879069
Saved in:
4
A PDE approach for risk measures for derivatives with regime switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
Annals of finance
4
(
2008
)
1
,
pp. 55-74
Persistent link: https://www.econbiz.de/10003589415
Saved in:
5
Option pricing for GARCH models with Markov switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
International journal of theoretical and applied finance
9
(
2006
)
6
,
pp. 825-841
Persistent link: https://www.econbiz.de/10003380278
Saved in:
6
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
Saved in:
7
A Hidden Markov approach to the forward premium puzzle
Elliott, Robert J.
;
Han, Bing
- In:
International journal of theoretical and applied finance
9
(
2006
)
7
,
pp. 1009-1020
Persistent link: https://www.econbiz.de/10003395950
Saved in:
8
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
Elliott, Robert J.
;
Siu, Tak Kuen
-
2010
Persistent link: https://www.econbiz.de/10003964890
Saved in:
9
Markovian regime-switching market completion using additional Markov jump assets
Zhang, Xin
;
Elliott, Robert J.
;
Siu, Tak Kuen
;
Guo, Junyi
- In:
IMA journal of management mathematics
23
(
2012
)
3
,
pp. 283-305
Persistent link: https://www.econbiz.de/10009572468
Saved in:
10
Dynamic optimal capital structure with regime switching
Elliott, Robert J.
;
Shen, Jia
- In:
Annals of finance
11
(
2015
)
2
,
pp. 199-220
Persistent link: https://www.econbiz.de/10011376180
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