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Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying
Chesney, Marc; Elliott, Robert J.; Madan, Dilip B.; … - In: Mathematical finance : an international journal of … 3 (1993) 2, pp. 85-99
Persistent link: https://www.econbiz.de/10001333352
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On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
Elliott, Robert J.; Siu, Tak Kuen - 2010
Persistent link: https://www.econbiz.de/10003964890
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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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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/10009517559
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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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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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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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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 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
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A discrete time equivalent martingale measure
Elliott, Robert J. - In: Mathematical finance : an international journal of … 8 (1998) 2, pp. 127-152
Persistent link: https://www.econbiz.de/10001242839