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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

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

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

American option pricing and filtering with a hidden regime-switching jump diffusion

Siu, Tak Kuen; Elliott, Robert J. - In: The journal of derivatives : JOD 29 (2022) 3, pp. 106-123

Persistent link: https://www.econbiz.de/10013174827

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

Hedging options in a doubly Markov-modulated financial market via stochastic flows

Siu, Tak Kuen; Elliott, Robert J. - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-41

Persistent link: https://www.econbiz.de/10012183224

A higher-order interactive hidden Markov model and its applications

Zhu, Dong-Mei; Ching, Wai Ki; Elliott, Robert J.; Siu, … - In: OR spectrum : quantitative approaches in management 39 (2017) 4, pp. 1055-1069

Persistent link: https://www.econbiz.de/10011777086

Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method

Elliott, Robert J.; Siu, Tak Kuen - In: The journal of futures markets 43 (2023) 7, pp. 925-950

Persistent link: https://www.econbiz.de/10014293270

Comparison theorems for finite state backward stochastic differential equations

Cohen, Samuel N.; Elliott, Robert J. - In: Contemporary quantitative finance : essays in honour of …, (pp. 135-158). 2010

Persistent link: https://www.econbiz.de/10008749289

Option pricing and Esscher transform under regime switching

Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen - In: Annals of finance 1 (2005) 4, pp. 423-432

Persistent link: https://www.econbiz.de/10003090579