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Issue Date
Title
Author(s)
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.
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.
2004
Arbitrage in a discrete version of the Wick-Fractional Black Scholes model
Bender, C.
;
Elliott, R.
2006
Stochastic volatility model with filtering
Elliott, R.
;
Miao, H.
2001
Fractional Brownian motion and financial modelling
Elliott, R.
;
Van Der Hoek, J.
;
Kohlmann, M.
;
Tang, S.
2002
HMM volatility estimation
Elliott, R.
;
Malcolm, W.
;
Tsoi, A.
;
Hitay Ozbay,
;
IEEE Conference on Decision and Control (41st : 2002 : Las Vegas, Nevada)
1999
Short rate analysis and marked point processes
Elliott, R.
;
Tsoi, A.
;
Lui, 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)
2002
On-line almost-sure parameter estimation for partially observed discrete-time linear systems with known noise characteristics
Elliott, R.
;
Ford, J.
;
Moore, J.
Discover
Author
12
Malcolm, W.
10
Van Der Hoek, J.
4
Tsoi, A.
3
Chan, L.
3
IEEE Conference on Decision and C...
2
Bender, C.
2
Djaferis, T.
2
Krishnamurthy, V.
2
Siu, T.
2
Wu, P.
.
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Subject
2
filtering
2
fractional Brownian motion
2
Markov switching
2
Martingales
2
Option pricing
2
Reference probability
1
adaptive estimation
1
analytical option valuation.
1
Arbitrage
1
binary market models
.
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2007
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2002
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2001
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1999
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1998