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Issue Date
Title
Author(s)
2003
On the numerical stability of time-discretised state estimation via Clark transformations
Malcolm, W.
;
Elliott, R.
;
Van Der Hoek, J.
;
IEEE Conference on Decision and Control (42nd : 2003 : Maui, Hawaii)
2006
Binomial Models in Finance
Van Der Hoek, J.
;
Elliott, R.
2003
A general fractional white noise theory and applications to finance
Elliott, R.
;
Van Der Hoek, J.
2004
A deterministic discretisation-step upper bound for state estimation via Clark transformations
Malcolm, W.
;
Elliott, R.
;
Van Der Hoek, J.
2004
Pricing claims on non tradable assets
Elliott, R.
;
Van Der Hoek, J.
2001
Stochastic flows and the forward measure
Elliott, R.
;
Van Der Hoek, J.
2006
Optimal linear estimation and data fusion
Elliott, R.
;
Van Der Hoek, J.
2005
Pairs trading
Elliott, R.
;
Van Der Hoek, J.
;
Malcolm, W.
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.
2001
Fractional Brownian motion and financial modelling
Elliott, R.
;
Van Der Hoek, J.
;
Kohlmann, M.
;
Tang, S.
Discover
Author
3
Malcolm, W.
1
Geman, H.
1
IEEE Conference on Decision and C...
1
Kohlmann, M.
1
Madan, D.
1
Pliska, S.
1
Tang, S.
1
Vorst, T.
Subject
1
bond pricing
1
Clark-Ocone representation theorem
1
data fusion
1
exponential affine
1
Forward measure
1
fractional Black-Scholes market
1
fractional Brownian motion
1
fractional Ito isometry
1
fractional white noise
1
Girasanov's theorem
.
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2006
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2003
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