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Issue Date
Title
Author(s)
2005
Hidden Markov filter estimation of the occurrence time of an event in a financial market
Elliott, R.
;
Tsoi, A.
2006
Data-recursive smoother formulae for partially observed discrete-time Markov chains
Elliott, R.
;
Malcolm, W.
2007
The solution of a free boundary problem related to environmental management systems
Elliott, R.
;
Filinkov, A.
2005
Pairs trading
Elliott, R.
;
Van Der Hoek, J.
;
Malcolm, W.
2004
A deterministic discretisation-step upper bound for state estimation via Clark transformations
Malcolm, W.
;
Elliott, R.
;
Van Der Hoek, J.
2006
State and mode estimation for discrete-time jump Markov systems
Elliott, R.
;
Dufour, F.
;
Malcolm, W.
2002
American options with regime switching
Buffington, J.
;
Elliott, R.
2006
A hidden Markov approach to the forward premium puzzle
Elliott, R.
;
Han, B.
2005
Hidden Markov chain filtering for a jump diffusion model
Wu, P.
;
Elliott, R.
2003
Perpetual American options with fractional Brownian motion
Elliott, R.
;
Chan, L.
Discover
Author
12
Malcolm, W.
10
Van Der Hoek, J.
4
Tsoi, A.
3
Chan, L.
3
IEEE Conference on Decision and C...
2
Bender, C.
2
Djaferis, T.
2
Krishnamurthy, V.
2
Siu, T.
2
Wu, P.
.
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Subject
2
filtering
2
fractional Brownian motion
2
Markov switching
2
Martingales
2
Option pricing
2
Reference probability
1
adaptive estimation
1
analytical option valuation.
1
Arbitrage
1
binary market models
.
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Date issued
1
2007
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2006
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2005
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2004
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2002
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2001
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1999
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1998