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Issue Date
Title
Author(s)
2002
HMM volatility estimation
Elliott, R.
;
Malcolm, W.
;
Tsoi, A.
;
Hitay Ozbay,
;
IEEE Conference on Decision and Control (41st : 2002 : Las Vegas, Nevada)
2003
On the numerical stability of time-discretised state estimation via Clark transformations
Malcolm, W.
;
Elliott, R.
;
Van Der Hoek, J.
;
IEEE Conference on Decision and Control (42nd : 2003 : Maui, Hawaii)
2005
Risk-sensitive filtering and smoothing for continuous-time Markov processes
Malcolm, W.
;
Elliott, R.
;
James, M.
2005
General smoothing formulas for Markov-modulated Poisson observations
Elliott, R.
;
Malcolm, W.
2003
Robust parameter estimation for asset price models with Markov modulated volatilities
Elliott, R.
;
Malcolm, W.
;
Tsoi, A.
2006
Data-recursive smoother formulae for partially observed discrete-time Markov chains
Elliott, R.
;
Malcolm, W.
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.
2001
Robust smoother dynamics for Poisson processes driven by an Ito^diffusion
Elliott, R.
;
Malcolm, W.
;
Djaferis, T.
;
IEEE Conference on Decision and Control (40th : 2001 : Orlando, Florida)
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Elliott, R.
3
IEEE Conference on Decision and C...
3
Van Der Hoek, J.
2
Djaferis, T.
2
Tsoi, A.
1
Dufour, F.
1
Hitay Ozbay,
1
IEEE Conference on Decision and C...
1
IEEE Conference on Decision and C...
1
James, M.
.
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Subject
2
Martingales
1
Expectation Maximization Algorithm
1
filtering
1
Forwards and backwards Duncan–Mor...
1
Hedge funds
1
hybrid dynamics
1
jump Markov systems
1
Pairs trading
1
Parameter Estimation
1
Reference probability
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