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subject:"Risk premium"
~person:"Elliott, Robert J."
~subject:"Option pricing theory"
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Elliott, Robert J.
Chen, Son-nan
9
Fabozzi, Frank J.
9
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8
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8
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7
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4
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Mathematical finance - Bachelier Congress, 2000 : selected papers from the first World Congress of the Bachelier Finance Society, Paris, June 29 - July 1, 2000
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The Heath-Jarrow-Morton model with regime shifts and jumps priced
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 45-59)
.
2018
Persistent link: https://www.econbiz.de/10012011578
Saved in:
2
Valuation of certain CMS spreads
Wu, Ping
;
Elliott, Robert J.
- In:
Financial markets and portfolio management
31
(
2017
)
4
,
pp. 445-467
Persistent link: https://www.econbiz.de/10011944624
Saved in:
3
Valuation of CMS range notes in a multifactor LIBOR market model
Wu, Ping
;
Elliott, Robert J.
- In:
International journal of financial engineering
3
(
2016
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011532755
Saved in:
4
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:
5
Pricing of discount bonds with a Markov switching regime
Elliott, Robert J.
;
Nishide, Katsumasa
- In:
Annals of finance
10
(
2014
)
3
,
pp. 509-522
Persistent link: https://www.econbiz.de/10010399761
Saved in:
6
Using the Hull and White two factor model in bank treasury risk management
Elliott, Robert J.
;
Hoek, John van der
- In:
Mathematical finance - Bachelier Congress, 2000 : …
,
(pp. 269-280)
.
2002
Persistent link: https://www.econbiz.de/10001679453
Saved in:
7
Stochastic flows and the forward measure
Elliott, Robert J.
;
Hoek, John van der
- In:
Finance and stochastics
5
(
2001
)
4
,
pp. 511-525
Persistent link: https://www.econbiz.de/10001614608
Saved in:
8
Analytical solutions for the pricing of American bond and yield options
Chesney, Marc
;
Elliott, Robert J.
;
Gibson, Rajna
- In:
Mathematical finance : an international journal of …
3
(
1993
)
3
,
pp. 277-294
Persistent link: https://www.econbiz.de/10001184869
Saved in:
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