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Viterbi-Based Estimation for M...
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Elliott, Robert J.
198
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165
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120
Miao, Hong
81
Ramchander, Sanjay
51
Cole, Matthew A.
49
Shen, Yang
24
Chatrath, Arjun
19
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19
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17
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17
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16
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15
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13
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12
Madan, Dilip B.
12
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12
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12
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11
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10
Chan, Leunglung
9
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8
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8
Meng, Hui
8
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7
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7
Fan, Kun
7
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7
Shimamoto, Kenichi
7
Sun, Puyang
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6
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6
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6
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6
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15
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13
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12
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11
On option pricing under a completely random measure via a generalized Esscher transform
Lau, John W.
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
43
(
2008
)
1
,
pp. 99-107
Persistent link: https://www.econbiz.de/10008082358
Saved in:
12
Pricing Risky Debts Under a Markov-modudated Merton Model with Completely Random Measures
Lau, John W.
;
Siu, Tak Kuen
- In:
Computational economics
31
(
2008
)
3
,
pp. 255-288
Persistent link: https://www.econbiz.de/10007988797
Saved in:
13
On option pricing under a completely random measure via a generalized Esscher transform
Lau, John W.
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
43
(
2008
)
1
,
pp. 99-108
Persistent link: https://www.econbiz.de/10008883789
Saved in:
14
Pricing currency options under two-factor Markov-modulated stochastic volatility models
Siu, Tak Kuen
;
Yang, Hailiang
;
Lau, John W.
- In:
Insurance / Mathematics & economics
43
(
2008
)
3
,
pp. 295-303
Persistent link: https://www.econbiz.de/10008893165
Saved in:
15
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:
16
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
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17
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
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18
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:
19
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:
20
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:
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