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Add Asset allocation for a DC pension fund under regime switching environment

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Add Asset allocation under stochastic interest rate with regime switching

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Add Asset allocation under threshold autoregressive models

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Add Attainable contingent claims in a Markovian regime-switching market

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Add A Bayesian approach for optimal reinsurance and investment in a diffusion model

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Add Bond valuation under a discrete-time regime-switching term-structure model and its continuous-time extension

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Add A BSDE approach to a risk-based optimal investment of an insurer

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Add A BSDE approach to convex risk measures for derivative securities

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Add A BSDE approach to optimal investment of an insurer with hidden regime switching

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Add A BSDE approach to risk-based asset allocation of pension funds with regime switching

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Add Characteristic functions and option valuation in a Markov chain market

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Add A Comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions

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Add Control of discrete-time HMM partially observed under fractional Gaussian noises

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Add Credit portfolio management using two-level particle swarm optimization

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Add A Decomposition method for optimal portfolios with regime-switching and risk constraint

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Author/Creator
  • Elliott, Robert J (31)
  • Yang, Hailiang (8)
  • Chan, Leunglung (5)
  • Fung, Eric S (5)
  • Shen, Yang (5)
  • Lau, John W (4)
  • Meng, Hui (4)
  • Zhang, Xin (4)
  • Ching, Wai-Ki (3)
Subject Keyword
  • Esscher transform (9)
  • Regime switching (7)
  • regime switching (6)
  • Filtering (5)
  • Dynamic programming (4)
  • Optimal investment (4)
  • option pricing (4)
  • 010200 Applied Mathematics (3)
  • 010400 Statistics (3)
  • 140200 Applied Economics (3)
Resource Type
  • journal article (62)
  • conference paper (2)
  • book chapter (1)
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Siu, Tak Kuen

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