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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
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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
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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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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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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
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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
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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
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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
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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
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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