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Markov-Kette
Theorie
90
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89
Option pricing theory
52
Optionspreistheorie
52
Stochastic process
47
Stochastischer Prozess
47
Markov chain
46
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36
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36
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Elliott, Robert J.
42
Siu, Tak Kuen
16
Chan, Leunglung
5
Mamon, Rogemar S.
5
Hunter, William Curt
3
Jamieson, Barbara M.
3
Elliott, Robert J. R.
2
Lau, John W.
2
Miao, Hong
2
Nishide, Katsumasa
2
Osakwe, Carlton-James U.
2
Shen, Jia
2
Sviščuk, Anatolij
2
Tertychnyi, Maksym
2
Badescu, Alex
1
Buffington, John
1
Ching, Wai Ki
1
Dela Vega, Engel John C.
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
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1
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1
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1
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1
Pertsinidou, Christina-Elisavet
1
Royal, Andrew J.
1
Sass, Jörn
1
Seck, Babacar
1
Siu, Chi Chung
1
Tsoi, Allanus H.
1
Wu, Ping
1
Yu, Jin
1
Zhang, Lianmin
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
The journal of futures markets
2
Annals of operations research
1
Asia-Pacific financial markets
1
Finance and stochastics
1
IMA journal of management mathematics
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
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1
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1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
46
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10
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46
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1
Pricing currency derivatives with Markov-modulated Lévy dynamics
Sviščuk, Anatolij
;
Tertychnyi, Maksym
;
Elliott, Robert J.
- In:
Insurance / Mathematics & economics
57
(
2014
),
pp. 67-76
Persistent link: https://www.econbiz.de/10010402730
Saved in:
2
Viterbi algorithms for hidden semi-Markov models with application to DNA Analysis
Pertsinidou, Christina-Elisavet
;
Limnios, Nikolaos
- In:
RAIRO / Operations research
49
(
2015
)
3
,
pp. 511-526
Persistent link: https://www.econbiz.de/10011509361
Saved in:
3
Currency derivatives pricing for Markov-modulated Merton jump-diffusion spot forex rate
Sviščuk, Anatolij
;
Tertychnyi, Maksym
;
Hoang, Winsor
- In:
Journal of mathematical finance
4
(
2014
)
4
,
pp. 265-278
Persistent link: https://www.econbiz.de/10011312416
Saved in:
4
Drift and volatility estimation in discrete time
Elliott, Robert J.
- In:
Journal of economic dynamics & control
22
(
1998
)
2
,
pp. 209-218
Persistent link: https://www.econbiz.de/10001232395
Saved in:
5
Further developments and applications
Mamon, Rogemar S.
(
ed.
);
Elliott, Robert J.
(
ed.
)
-
2014
-
Softcover reprint of the hardcover 1st edition 2014
Persistent link: https://www.econbiz.de/10011539298
Saved in:
6
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
Saved in:
7
Asset pricing using trading volumes in a hidden regime-switching environment
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
Asia-Pacific financial markets
22
(
2015
)
2
,
pp. 133-149
Persistent link: https://www.econbiz.de/10011377522
Saved in:
8
Credit risk and contagion via self-exciting default intensity
Elliott, Robert J.
;
Shen, Jia
- In:
Annals of finance
11
(
2015
)
3/4
,
pp. 319-344
Persistent link: https://www.econbiz.de/10011459064
Saved in:
9
Optimal execution with regime-switching market resilience
Siu, Chi Chung
;
Guo, Ivan
;
Zhu, Song-Ping
;
Elliott, …
- In:
Journal of economic dynamics & control
101
(
2019
),
pp. 17-40
Persistent link: https://www.econbiz.de/10012131017
Saved in:
10
Heston-type stochastic volatility with a Markov switching regime
Elliott, Robert J.
;
Nishide, Katsumasa
;
Osakwe, …
- In:
The journal of futures markets
36
(
2016
)
9
,
pp. 902-919
Persistent link: https://www.econbiz.de/10011568671
Saved in:
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