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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. 1025-1047
Persistent link: https://www.econbiz.de/10009388893
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Attainable contingent claims in a Markovian regime-switching market
Elliott, Robert J.; Siu, Tak Kuen - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-19
Persistent link: https://www.econbiz.de/10009706331
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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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Markovian regime-switching market completion using additional Markov jump assets
Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen; Guo, Junyi - In: IMA journal of management mathematics 23 (2012) 3, pp. 283-305
Persistent link: https://www.econbiz.de/10009572468
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Option pricing for GARCH models with Markov switching
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung - In: International journal of theoretical and applied finance 9 (2006) 6, pp. 825-841
Persistent link: https://www.econbiz.de/10003380278
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A PDE approach for risk measures for derivatives with regime switching
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung - In: Annals of finance 4 (2008) 1, pp. 55-74
Persistent link: https://www.econbiz.de/10003589415
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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
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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
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A Dupire equation for a regime-switching model
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-13
Persistent link: https://www.econbiz.de/10011403770
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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