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subject:"Markov chain"
~person:"Elliott, Robert J."
~person:"Goutte, Stéphane"
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Search: subject_exact:"Brownian bridge"
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Markov chain
Stochastic process
41
Stochastischer Prozess
41
Option pricing theory
24
Optionspreistheorie
24
Markov-Kette
21
Volatility
16
Volatilität
16
Theorie
15
Theory
15
Option trading
7
Optionsgeschäft
7
Portfolio selection
7
Portfolio-Management
7
Hedging
6
Financial economics
5
Financial investment
5
Financial market
5
Finanzmarkt
5
Kapitalanlage
5
Kapitalmarkttheorie
5
ARCH model
4
ARCH-Modell
4
Derivat
4
Derivative
4
Estimation
4
Schätzung
4
Black-Scholes model
3
Black-Scholes-Modell
3
Estimation theory
3
European options
3
Finanzmathematik
3
Lévy processes
3
Monte Carlo simulation
3
Monte-Carlo-Simulation
3
Schätztheorie
3
Yield curve
3
Zinsstruktur
3
Bivariate diffusion limit
2
Börsenkurs
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16
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2
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English
21
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Elliott, Robert J.
Goutte, Stéphane
Siu, Tak Kuen
13
Nguyen, Duy
12
Cui, Zhenyu
10
Rady, Sven
10
Keller, Godfrey
9
Chan, Leunglung
7
Chib, Siddhartha
7
Forbes, Catherine Scipione
7
Kirkby, J. Lars
7
Kirkby, Justin
7
Martin, Gael M.
7
Sethi, Suresh
7
Hainaut, Donatien
6
Maneesoonthorn, Worapree
6
Rodriguez, Gabriel
6
Shephard, Neil G.
6
Balbus, Lukasz
5
Chiarella, Carl
5
Ferrari, Giorgio
5
Kolkiewicz, Adam W.
5
León-González, Roberto
5
Mamon, Rogemar S.
5
Men, Zhongxian
5
Omori, Yasuhiro
5
Platen, Eckhard
5
Rodrigues, Paulo Jorge Maurício
5
Seeger, Norman
5
Wirjanto, Tony S.
5
Yu, Jun
5
Zhang, Hanqin
5
Zhang, Qing
5
Zhu, Song-Ping
5
Casarin, Roberto
4
Chan, Joshua
4
Chen, Son-nan
4
Ching, Wai Ki
4
Dimitrakopoulos, Stefanos
4
Gapeev, Pavel V.
4
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Annals of finance
3
Applied mathematical finance
2
International Series in Operations Research & Management Science
2
International series in operations research & management science
2
SpringerLink / Bücher
2
Applied economics
1
Asia-Pacific financial markets
1
Insurance / Mathematics & economics
1
International journal of theoretical and applied finance
1
International journal of theoretical and applied finance : IJTAF
1
Journal of economic dynamics & control
1
Journal of mathematical finance
1
OR spectrum : quantitative approaches in management
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The journal of derivatives : JOD
1
The journal of futures markets
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ECONIS (ZBW)
21
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1
Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
2
A stochastic control approach to bid-ask price modelling
Dela Vega, Engel John C.
;
Elliott, Robert J.
- In:
International journal of theoretical and applied …
25
(
2022
)
4/5
,
pp. 1-30
Persistent link: https://www.econbiz.de/10013371064
Saved in:
3
American option pricing and filtering with a hidden regime-switching jump diffusion
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The journal of derivatives : JOD
29
(
2022
)
3
,
pp. 106-123
Persistent link: https://www.econbiz.de/10013174827
Saved in:
4
Optimal execution with regime-switching market resilience
Siu, Chi Chung
;
Guo, Ivan
;
Zhu, Song-Ping
;
Elliott, …
- In:
Journal of economic dynamics & control
101
(
2019
),
pp. 17-40
Persistent link: https://www.econbiz.de/10012131017
Saved in:
5
On the estimation of regime-switching Lévy models
Chevallier, Julien
;
Goutte, Stéphane
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
1
,
pp. 3-29
Persistent link: https://www.econbiz.de/10011650170
Saved in:
6
Cross-country performance of Lévy regime-switching models for stock markets
Chevallier, Julien
;
Goutte, Stéphane
- In:
Applied economics
49
(
2017
)
2
,
pp. 111-137
Persistent link: https://www.econbiz.de/10011810520
Saved in:
7
A higher-order interactive hidden Markov model and its applications
Zhu, Dong-Mei
;
Ching, Wai Ki
;
Elliott, Robert J.
;
Siu, …
- In:
OR spectrum : quantitative approaches in management
39
(
2017
)
4
,
pp. 1055-1069
Persistent link: https://www.econbiz.de/10011777086
Saved in:
8
Regime-switching stochastic volatility model : estimation and calibration to VIX options
Goutte, Stéphane
;
Ismail, Amine
;
Pham, Huyên
- In:
Applied mathematical finance
24
(
2017
)
1/2
,
pp. 38-75
Persistent link: https://www.econbiz.de/10011746993
Saved in:
9
Dynamic optimal capital structure with regime switching
Elliott, Robert J.
;
Shen, Jia
- In:
Annals of finance
11
(
2015
)
2
,
pp. 199-220
Persistent link: https://www.econbiz.de/10011376180
Saved in:
10
Asset pricing using trading volumes in a hidden regime-switching environment
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
Asia-Pacific financial markets
22
(
2015
)
2
,
pp. 133-149
Persistent link: https://www.econbiz.de/10011377522
Saved in:
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