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~subject:"HJB-variational inequalities"
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HJB-variational inequalities
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Coherent risk measures
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HJB Variational Inequalities
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Chan, Leunglung
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Asia-Pacific Financial Markets
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Risk measures for derivatives with Markov-modulated pure jump processes
Elliott, Robert
;
Chan, Leunglung
;
Siu, Tak
- In:
Asia-Pacific Financial Markets
13
(
2006
)
2
,
pp. 129-149
for risk measurement. We also derive the regime-switching
HJB-variational
inequalities
for coherent risk measures for …
Persistent link: https://www.econbiz.de/10005727024
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