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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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On Markov-modulated Exponential-affine Bond Price Formulae
Elliott, Robert; Siu, Tak Kuen - In: Applied mathematical finance 16 (2009) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10008211952
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Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
Elliott, Robert; Siu, Tak Kuen; Chan, Leunglung - In: Applied mathematical finance 14 (2007) 1, pp. 41-62
Persistent link: https://www.econbiz.de/10008222007
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On Markov-modulated Exponential-affine Bond Price Formulae
Elliott, Robert; Siu, Tak Kuen - In: Applied mathematical finance 16 (2009) 1-2, pp. 1-16
Persistent link: https://www.econbiz.de/10008311803
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Esscher transforms and consumption-based models
Badescu, Alex; Elliott, Robert J.; Siu, Tak Kuen - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 337-347
Persistent link: https://www.econbiz.de/10008332292
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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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Bond valuation under a discrete-time regime-switching term-structure model and its continuous-time extension
Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alex - In: Managerial finance 37 (2011) 11, pp. 1025-1048
Persistent link: https://www.econbiz.de/10009330249
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Moment calculations for piecewise-defined functions: an application to stochastic optimization with coherent risk measures
Elliott, Robert J.; Siu, Tak Kuen - 2010
Persistent link: https://www.econbiz.de/10008393895
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On pricing and hedging options in regime-switching models with feedback effect
Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alexandru - In: Journal of economic dynamics & control 35 (2011) 5, pp. 694-714
Persistent link: https://www.econbiz.de/10008877103
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Esscher transforms and consumption-based models
Badescu, Alex; Elliott, Robert J.; Siu, Tak Kuen - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 337-348
Persistent link: https://www.econbiz.de/10008890270