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Issue Date
Title
Author(s)
2007
The term structure of interest rates in a hidden markov setting
Elliott, R.
;
Wilson, C.
;
Mamon, R.
;
Elliott, R.
2001
Stochastic flows and the forward measure
Elliott, R.
;
Van Der Hoek, J.
2007
Smoothed parameter estimation for a hidden Markov Model of credit quality
Korolkiewicz, M.
;
Elliott, R.
;
Mamon, R.
;
Elliott, R.
2005
Parameter estimation for a regime-switching mean-reverting model with jumps
Wu, P.
;
Elliott, R.
2005
An algorithmic estimation scheme for hybrid stochastic systems
Malcolm, W.
;
Elliott, R.
;
Dufour, F.
;
Arulampalam, M.
;
Camacho, E.
;
IEEE Conference on Decision and Control (44th : 2005 : Seville, Spain)
2003
A complete yield curve description of a Markov interest rate model
Elliott, R.
;
Mamon, R.
2001
Hidden Markov chain filtering for generalised Bessel processes
Elliott, R.
;
Platen, E.
;
Hida, T.
;
Karandikar, R.
;
Kunita, H.
;
Rajput, B.
;
Watanabe, S.
;
Xiong, J.
2001
A continuous time kronecker's lemma and martingale convergence
Elliott, R.
2006
Option pricing for pure jump processes with Markov switching compensators
Elliott, R.
2002
Using the Hull and White two factor model in bank treasury risk management
Elliott, R.
;
Van Der Hoek, J.
;
Geman, H.
;
Madan, D.
;
Pliska, S.
;
Vorst, T.
Discover
Author
47
Siu, T.
21
Malcolm, W.
17
Van Der Hoek, J.
8
Cohen, S.
7
Chan, L.
7
Miao, H.
6
Badescu, A.
6
Deng, J.
6
Sworder, D.
5
Boyd, J.
.
next >
Subject
7
Reference probability
6
BSDE
6
EM algorithm
5
Change of measures
5
comparison theorem
5
Esscher transform
5
Filtering
5
nonlinear expectation
4
Comparison theorem
4
Option pricing
.
next >
Date issued
77
2010 - 2017
81
2000 - 2009
3
1998 - 1999