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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

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

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

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

Option pricing using a regime switching stochastic discount factor

Elliott, Robert J.; Hamada, Ahmed S. - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-26

Persistent link: https://www.econbiz.de/10010364754

Hidden Markov models in finance

Mamon, Rogemar S. (ed.); Elliott, Robert J. (ed.) - 2010

Persistent link: https://www.econbiz.de/10011550091

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

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

Quadratic hedging schemes for non-Gaussian GARCH models

Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo - In: Journal of economic dynamics & control 42 (2014), pp. 13-32

Persistent link: https://www.econbiz.de/10010426624