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~type_genre:"Aufsatz in Zeitschrift"
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Malliavin calculus in a binomi...
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Theorie
83
Theory
83
Markov chain
54
Markov-Kette
54
Option pricing theory
54
Optionspreistheorie
54
Stochastic process
43
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43
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24
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24
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20
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20
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17
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Article
216
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1
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Aufsatz in Zeitschrift
Article in journal
217
Arbeitspapier
39
Working Paper
39
Graue Literatur
38
Non-commercial literature
38
Aufsatz im Buch
14
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Aufsatzsammlung
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Collection of articles of several authors
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217
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Siu, Tak Kuen
85
Elliott, Robert J.
76
Elliott, Robert J. R.
76
Cole, Matthew A.
27
Ching, Wai Ki
14
Shen, Yang
13
Strobl, Eric
12
Azhar, Abdul K. M.
9
Chan, Leunglung
6
Cohen, Samuel N.
6
Okubo, Toshihiro
6
Fan, Kun
5
Sun, Puyang
5
Wang, Ning
5
Yang, Hailiang
5
Zhu, Dong-Mei
5
Badescu, Alexandru
4
Brülhart, Marius
4
Hoek, John van der
4
Lau, John W.
4
Miao, Hong
4
Reisinger, Christoph
4
Shimamoto, Kenichi
4
Wang, Rongming
4
Wang, Sheng
4
Wu, Ping
4
Zhou, Ying
4
Badescu, Alex
3
Bradrania, Reza
3
Fung, Eric S.
3
Gu, Jia-Wen
3
Gu, Jia-wen
3
Lindley, Joanne K.
3
Lyle, Matthew R.
3
Madan, Dilip B.
3
Maddison, David
3
Meng, Hui
3
Nguyen-Tien, Viet
3
Schumacher, Ingmar
3
Yang, Qing-Qing
3
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Insurance / Mathematics & economics
13
International journal of theoretical and applied finance
13
Energy economics
11
Applied mathematical finance
10
Annals of finance
8
Ecological economics : the transdisciplinary journal of the International Society for Ecological Economics
8
Economic modelling
8
Journal of economic dynamics & control
8
Mathematical finance : an international journal of mathematics, statistics and financial theory
7
Journal of environmental economics and management : JEEM ; the official journal of the Association of Environmental and Resource Economists
6
Review of world economics
6
The world economy : the leading journal on international economic relations
6
Asia-Pacific financial markets
5
Computational economics
5
Environmental and resource economics
5
IMA journal of management mathematics
5
Finance and stochastics
4
The journal of futures markets
4
Environmental & resource economics : the official journal of the European Association of Environmental and Resource Economists
3
European journal of operational research : EJOR
3
Quantitative finance
3
Weltwirtschaftliches Archiv : Zeitschrift des Instituts für Weltwirtschaft an der Universität Kiel
3
Annals of operations research
2
China economic review : an international journal
2
International journal of production economics
2
Operations research letters
2
Review of development economics
2
Risk and decision analysis
2
Scandinavian actuarial journal
2
The European journal of finance
2
The Manchester School
2
World development : the multi-disciplinary international journal devoted to the study and promotion of world development
2
Accounting and finance
1
American journal of agricultural economics
1
Applied economics
1
Asian economic journal : journal of the East Asian Economic Association
1
Asian economic papers
1
Astin bulletin : the journal of the International Actuarial Association
1
Decisions in economics and finance : a journal of applied mathematics
1
Economics letters
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ECONIS (ZBW)
217
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217
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1
On Markov-modulated exponential-affine bond price formulae
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
Applied mathematical finance
16
(
2009
)
1/2
,
pp. 1-15
Persistent link: https://www.econbiz.de/10003847135
Saved in:
2
On mean-variance portfolio selection under a hidden Markovian regime-switching model
Elliott, Robert J.
;
Siu, Tak Kuen
;
Badescu, Alex
- In:
Economic modelling
27
(
2010
)
3
,
pp. 678-686
Persistent link: https://www.econbiz.de/10003995557
Saved in:
3
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:
4
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:
5
Risk measures for derivatives with Markov-modulated pure jump processes
Elliott, Robert J.
;
Chan, Leunglung
;
Siu, Tak Kuen
- In:
Asia-Pacific financial markets
13
(
2006
)
2
,
pp. 129-149
Persistent link: https://www.econbiz.de/10003496776
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
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:
8
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:
9
On pricing and hedging options in regime-switching models with feedback effect
Elliott, Robert J.
;
Siu, Tak Kuen
;
Badescu, Alexandru
- In:
Journal of economic dynamics & control
35
(
2011
)
5
,
pp. 694-713
Persistent link: https://www.econbiz.de/10009240566
Saved in:
10
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
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