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Issue Date
Title
Author(s)
2016
Pricing options in a Markov regime switching model with a random acceleration for the volatility
Elliott, R.
;
Chan, L.
;
Siu, T.
2015
A note on differentiability in a Markov chain market using stochastic flows
Elliott, R.
;
Siu, T.
2011
Pricing and hedging contingent claims with regime switching risk
Elliott, R.
;
Siu, T.
2012
A BSDE approach to convex risk measures for derivative securities
Elliott, R.
;
Siu, T.
2011
Default times in a continuous-time Markovian regime switching model
Elliott, R.
;
Siu, T.
2010
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
Elliott, R.
;
Siu, T.
2015
A Dupire equation for a regime-switching model
Elliott, R.
;
Chan, L.
;
Siu, T.
2011
On pricing and hedging options in regime-switching models with feedback effect
Elliott, R.
;
Siu, T.
;
Badescu, A.
2010
On mean-variance portfolio selection under a hidden Markovian regime-switching model
Elliott, R.
;
Siu, T.
;
Badescu, A.
2011
Ruin theory in a hidden Markov-modulated risk model
Elliott, R.
;
Siu, T.
;
Yang, H.
Discover
Author
4
Badescu, A.
4
Chan, L.
3
Yang, H.
2
Fung, E.
2
Lau, J.
2
Liew, C.
2
Zhang, X.
1
American Control Conference (2008...
1
Ching, W.
1
Cohen, S.
.
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Subject
5
Change of measures
4
Esscher transform
4
Stochastic differential game
3
Convex risk measure
3
Convex risk measures
3
Model uncertainty
3
Reference probability
3
Regime-switching HJB equation
2
Dynamic programming
2
EM algorithm
.
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Date issued
37
2010 - 2017
7
2003 - 2009