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Collection's Items (Sorted by Submit Date in Descending order): 1 to 13 of 13
Issue DateTitleAuthor(s)/Advisor(s)
4-Aug-2014Backward Stochastic Difference Equations for Dynamic Convex Risk Measures on a Binomial TreeElliott, Robert J.; Siu, Tak Kuen; Cohen, Samuel N.
2011Utility-based indifference pricing in regime-switching modelsElliott, Robert; Siu, Tak Kuen
2009A ‘simple’ hybrid model for power derivativesElliott, Robert; Lyle, Matthew R.
2008Discrete-Time Expectation Maximization Algorithms for Markov-Modulated Poisson ProcessesElliott, Robert; Malcolm, W. P.
2011A BSDE approach to a risk-based optimal investment of an insurerElliott, Robert; Siu, Tak Kuen
2010A model for energy pricing with stochastic emission costsElliott, Robert; Lyle, Matthew R.; Miao, Hong
2011On filtering and estimation of a threshold stochastic volatility modelElliott, Robert; Liew, Chuin Ching; Siu, Tak Kuen
2011On pricing and hedging options in regime-switching models with feedback effectElliott, Robert; Siu, Tak Kuen; Badescu, Alexandru
2011Bond valuation under a discrete-time regime-switching term-structure model and its continuous-time extensionElliott, Robert; Siu, Tak Kuen; Badescu, Alex
2011Characteristic functions and option valuation in a Markov chain marketElliott, Robert; Liew, Chuin Ching; Siu, Tak Kuen
2011Control of discrete-time HMM partially observed under fractional Gaussian noisesElliott, Robert; Siu, Tak Kuen
2009Insurance Claims Modulated by a Hidden Brownian Marked Point ProcessElliott, Robert; Chen, Zhiping; Duan, Qihong
2010COMPARISONS FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS ON MARKOV CHAINS AND RELATED NO-ARBITRAGE CONDITIONSElliott, Robert; Cohen, Samuel N
Collection's Items (Sorted by Submit Date in Descending order): 1 to 13 of 13