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Analytical solutions to the pricing of American bond and yield options

Chesney, Marc; Elliott, Robert J.; Gibson, Rajna - 1991 - Rev. version

Persistent link: https://www.econbiz.de/10000817550

Analytical solutions for the pricing of American bond and yield options

Chesney, Marc; Elliott, Robert J.; Gibson, Rajna - In: Mathematical finance : an international journal of … 3 (1993) 3, pp. 277-294

Persistent link: https://www.econbiz.de/10001184869

Financial signal processing : a self calibrating model

Elliott, Robert J.; Hunter, William Curt; Jamieson, … - In: International journal of theoretical and applied finance 4 (2001) 4, pp. 567-584

Persistent link: https://www.econbiz.de/10001600343

Financial signal processing : a self calibrating model

Elliott, Robert J.; Hunter, William Curt; Jamieson, … - 2001

Persistent link: https://www.econbiz.de/10001577670

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

A complete Yield curve description of a Markov interest rate model

Elliott, Robert J.; Mamon, Rogemar S. - In: International journal of theoretical and applied finance 6 (2003) 4, pp. 317-326

Persistent link: https://www.econbiz.de/10001779812

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

Dynamic optimal capital structure with regime switching

Elliott, Robert J.; Shen, Jia - In: Annals of finance 11 (2015) 2, pp. 199-220

Persistent link: https://www.econbiz.de/10011376180

Valuation of CMS range notes in a multifactor LIBOR market model

Wu, Ping; Elliott, Robert J. - In: International journal of financial engineering 3 (2016) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10011532755

Pricing of Discount Bonds with a Markov Switching Regime

Elliott, Robert J. - 2014

We consider a Markov switching regime and price a discount bond using a CIR-type short rate model. An explicit formula is obtained for the bond price which includes the solution of a matrix ODE. Our model is easy to calculate and captures the effect of regime uncertainty in the price and term...

Persistent link: https://www.econbiz.de/10013066582