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The Heath-Jarrow-Morton model with regime shifts and jumps priced
Elliott, Robert J.; Siu, Tak Kuen - In: New methods in fixed income modeling : fixed income modeling, (pp. 45-59). 2018
Persistent link: https://www.econbiz.de/10012011578
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Asset allocation under stochastic interest rate with regime switching
Shen, Yang; Siu, Tak Kuen - In: Economic modelling 29 (2012) 4, pp. 1126-1136
Persistent link: https://www.econbiz.de/10009667429
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Pricing bond options under a Markovian regime-switching Hull-White model
Shen, Yang; Siu, Tak Kuen - In: Economic modelling 30 (2013), pp. 933-940
Persistent link: https://www.econbiz.de/10009710001
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Risk-shifting, equity risk, and the distress puzzle
Li, Keming; Lockwood, Jimmy; Miao, Hong - In: The journal of corporate finance : contracting, … 44 (2017), pp. 275-288
Persistent link: https://www.econbiz.de/10011752997
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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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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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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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Pricing of discount bonds with a Markov switching regime
Elliott, Robert J.; Nishide, Katsumasa - In: Annals of finance 10 (2014) 3, pp. 509-522
Persistent link: https://www.econbiz.de/10010399761
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Financial signal processing : a self calibrating model
Elliott, Robert J.; Hunter, William Curt; Jamieson, … - In: International journal of theoretical and applied finance 4 (2001) 4, pp. 567-584
Persistent link: https://www.econbiz.de/10001600343
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Stochastic flows and the forward measure
Elliott, Robert J.; Hoek, John van der - In: Finance and stochastics 5 (2001) 4, pp. 511-525
Persistent link: https://www.econbiz.de/10001614608