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Title Author/Creator Date Full Text Reviewed
Add Esscher transforms and consumption-based models Badescu, Alex; Elliott, Robert J; Siu, Tak Kuen 2009 — Reviewed
Add A Comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions Badescu, Alexandru; Elliott, Robert J; Kulperger, Reg; Miettinen, Jarkko; Siu, Tak Kuen 2011 — Reviewed
Add Option valuation under a regime-switching constant elasticity of variance process Elliott, Robert J; Chan, Leunglung; Siu, Tak Kuen 2013 — Reviewed
Add Option pricing and filtering with hidden Markov-modulated pure-jump processes Elliott, Robert J; Siu, Tak Kuen 2013 — Reviewed
Add A Partial differential equation approach to multivariate risk theory Elliott, Robert J; Siu, Tak Kuen; Yang, Hailiang 2012 —
Add Attainable contingent claims in a Markovian regime-switching market Elliott, Robert J; Siu, Tak Kuen 2012 — Reviewed
Add Markovian forward-backward stochastic differential equations and stochastic flows Elliott, Robert J; Siu, Tak Kuen 2012 — Reviewed
Add A BSDE approach to convex risk measures for derivative securities Elliott, Robert J; Siu, Tak Kuen 2012 — Reviewed
Add Viterbi-based estimation for Markov switching GARCH model Elliott, Robert J; Lau, John W; Miao, Hong; Siu, Tak Kuen 2012 — Reviewed
Add Bond valuation under a discrete-time regime-switching term-structure model and its continuous-time extension Elliott, Robert J; Siu, Tak Kuen; Badescu, Alex 2011 — Reviewed
Add An HMM approach for optimal investment of an insurer Elliott, Robert J; Siu, Tak Kuen 2012 — Reviewed
Add Filtering a nonlinear stochastic volatility model Elliott, Robert J; Siu, Tak Kuen; Fung, Eric S 2012 — Reviewed
Add Pricing and hedging contingent claims with regime switching risk Elliott, Robert J; Siu, Tak Kuen 2011 — Reviewed
Add A Risk-based approach for pricing American options under a generalized Markov regime-switching model Elliott, Robert J; Siu, Tak Kuen 2011 — Reviewed
Add Utility-based indifference pricing in regime-switching models Elliott, Robert J; Siu, Tak Kuen 2011 — Reviewed
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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)
  • Badescu, Alex (2)
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 (61)
  • conference paper (2)
  • book chapter (1)
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Siu, Tak Kuen

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