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Valuation of Two-Factor Interest Rate Contingent Claims Using Green's Theorem
Sorwar, Ghulam; Barone-Adesi, Giovanni - In: Applied mathematical finance 18 (2011) 4, pp. 277-290
Persistent link: https://www.econbiz.de/10009988443
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Valuation of two-factor interest rate contingent claims using Green's theorem
Sorwar, Ghulam; Barone-Adesi, Giovanni - In: Applied mathematical finance 18 (2011) 3/4, pp. 277-289
Persistent link: https://www.econbiz.de/10009381923
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Viterbi-Based Estimation for Markov Switching GARCH Model
Elliott, Robert J.; Lau, John W.; Miao, Hong; Kuen Siu, Tak - In: Applied mathematical finance 19 (2012) 3, pp. 219-232
Persistent link: https://www.econbiz.de/10009983142
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Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes
Elliott, Robert J.; Siu, Tak Kuen - In: Applied mathematical finance 20 (2013) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10010072038
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Default times in a continuous time Markov chain economy
Elliott, Robert J.; Hoek, John van der - In: Applied mathematical finance 20 (2013) 5/6, pp. 450-460
Persistent link: https://www.econbiz.de/10010235596
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Viterbi-based estimation for Markov switching GARCH model
Elliott, Robert J.; Lau, John W.; Miao, Hong; Siu, Tak Kuen - In: Applied mathematical finance 19 (2012) 3/4, pp. 219-231
Persistent link: https://www.econbiz.de/10009710984
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Option pricing and filtering with hidden Markov-modulated pure-jump processes
Elliott, Robert J.; Siu, Tak Kuen - In: Applied mathematical finance 20 (2013) 1/2, pp. 1-25
Persistent link: https://www.econbiz.de/10009737182
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On Markov-modulated exponential-affine bond price formulae
Elliott, Robert J.; Siu, Tak Kuen - In: Applied mathematical finance 16 (2009) 1/2, pp. 1-15
Persistent link: https://www.econbiz.de/10003847135
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Pricing volatility swaps under Heston's stochastic volatility model with regime switching
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung - In: Applied mathematical finance 14 (2007) 1, pp. 41-62
Persistent link: https://www.econbiz.de/10003542938