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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

On mean-variance portfolio selection under a hidden Markovian regime-switching model

Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alex - In: Economic modelling 27 (2010) 3, pp. 678-686

Persistent link: https://www.econbiz.de/10003995557

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. 694-713

Persistent link: https://www.econbiz.de/10009240566

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

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

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

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

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

A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions

Badescu, Alexandru; Elliott, Robert J.; Kulperger, Reg; … - In: International journal of theoretical and applied finance 14 (2011) 5, pp. 669-708

Persistent link: https://www.econbiz.de/10009298478

Option pricing and filtering with hidden Markov-modulated pure-jump processes

Elliott, Robert J.; Siu, Tak Kuen - In: Applied mathematical finance 20 (2013) 1/2, pp. 1-25

Persistent link: https://www.econbiz.de/10009737182

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