Similar Search Results

Stochastic processes, finance and control : a Festschrift in honor of Robert J. Elliott

Cohen, Samuel N. (ed.); Madan, Dilip B. (ed.); … - 2012

This title consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering--

Persistent link: https://www.econbiz.de/10012658655

Option pricing with regularized fractional Brownian motions

Aldabe, F. - In: Geld, Finanzwirtschaft, Banken und Versicherungen : …, (pp. 379-397). 1997

Persistent link: https://www.econbiz.de/10001298418

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

Option pricing and Esscher transform under regime switching

Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen - In: Annals of finance 1 (2005) 4, pp. 423-432

Persistent link: https://www.econbiz.de/10003090579

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

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

Pricing currency derivatives with Markov-modulated Lévy dynamics

Sviščuk, Anatolij; Tertychnyi, Maksym; Elliott, Robert J. - In: Insurance / Mathematics & economics 57 (2014), pp. 67-76

Persistent link: https://www.econbiz.de/10010402730

Option pricing using a regime switching stochastic discount factor

Elliott, Robert J.; Hamada, Ahmed S. - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-26

Persistent link: https://www.econbiz.de/10010364754

Quadratic hedging schemes for non-Gaussian GARCH models

Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo - In: Journal of economic dynamics & control 42 (2014), pp. 13-32

Persistent link: https://www.econbiz.de/10010426624

Comparison theorems for finite state backward stochastic differential equations

Cohen, Samuel N.; Elliott, Robert J. - In: Contemporary quantitative finance : essays in honour of …, (pp. 135-158). 2010

Persistent link: https://www.econbiz.de/10008749289