| MATHEMATICAL
FINANCE 1990 - |
| 246. |
R.J.
Elliott and P.E. Kopp. "Option pricing and hedge portfolios for
Poisson processes", Journal of Stochastic Analysis and Applications
8 (1990): 157-167. |
| 247. |
R.J.
Elliott and H. Föllmer. "Orthogonal martingale representation",
Liber Amicorum for M. Zakai. Academic Press (1991): 139-152. |
| 248. |
D.
Colwell, R.J. Elliott and P.E. Kopp. "Martingale representations
and hedging policies". Stochastic Processes and Applications
38 (1991): 335-345. |
| 249. |
G.
Barone-Adesi and R.J. Elliott. "Pricing the treasury bond futures
contract as the minimum value of deliverable bond prices", The
Review of Futures Markets 8 (1991): 438-444. |
| 250. |
R.J.
Elliott and P.E. Kopp. "Equivalent martingale measures for bridge
processes", Journal of Stochastic Analysis and Applications 9
(1991): 429-444. |
| 251. |
G.
Barone-Adesi and R.J. Elliott. ‘Approximations for the values
of American options’, Journal of Stochastic Analysis and Applications
9 (1991): 115-131. |
| 252. |
M.
Chesney, R.J. Elliott and R. Gibson. "Analytical solutions for
the pricing of American bond and yield options", Mathematical
Finance 3 (1993): 277-294. |
| 253. |
M.
Chesney and R.J. Elliott. "Estimating the volatility of an exchange
rate", 6th International Symposium on Applied Stochastic Models
and Data Analysis (J. Janssen and C. Skiadis, eds.) World Scientific
Singapore
(1993): 131-135. |
| 254. |
D.B.
Colwell and R.J. Elliott. "Discontinuous asset prices and nonattainable
contingent claims", Mathematical Finance 3 (1993): 295-308. |
| 255. |
M.
Chesney, R.J. Elliott, Dilip Madan and Hailiang Yang. "Diffusion
coefficient estimation and asset pricing when risk period and sensitivities
are time varying", Mathematical Finance 3 (1993): 85-99. |
| 256. |
R.J.
Elliott and R.W. Rishel. "Estimating the implicit interest rate
of a risky asset", Stochastic Processes and Applications 49 (1994):
199-206. |
| 257. |
R.J.
Elliott and A. Tsoi. "Martingale representation in continuous
trading", 33rd I.E.E.E. Conference on Decision and Control, Orlando,
FL, December
14-16, 1994 (1994): 2807-2812. |
| 258. |
A.
Bensoussan and R.J. Elliott. "Attainable claims in a Markov market",
Mathematical Finance 5 (1995): 121-131. |
| 259. |
W.
Allegretto, G. Barone-Adesi and R.J. Elliott. "Numerical evaluation
of the critical price and American options", European Journal
of Finance 1 (1995): 69-78. |
| 260. |
M.
Chesney and R.J. Elliott. "Estimating the instantaneous volatility
and covariance of risky assets", Applied Stochastic Models and
Data Analysis 11 (1995): 51-58. |
| 261. |
R.J.
Elliott, W.C. Hunter, P.E. Kopp and D.B. Madan. "Pricing via
multiplicative price decomposition", Journal of Financial Engineering
4 (1995): 247-262. |
| 262. |
R.J.
Elliott and W.C. Hunter. "Filtering a discrete time price process",
29th I.E.E.E. Asilomar Conference on Signals Systems and Computers,
Asilomar, CA I.E.E.E. Computer Society Press (1996): 1305-1309. |
| 263. |
R.J.
Elliott, D. Madan and C. Lahaie. "Filtering derivative security
evaluations from market prices", Proceedings of the Isaac Newton
Institute Bank of England Conference on Mathematical Finance, June
1995, Cambridge University Press (1997), 141-162. |
| 264. |
R.J.
Elliott, H. Geman and R. Korkie, "Portfolio optimization and
contingent claim pricing with differential information", Stochastics
and Stochastic Reports, 60(1997), 185-203. |
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| 265. |
R.J.
Elliott and D. Madan. "A discrete time equivalent martingale
measure". Math. Finance, 8(1998), 127-152. |
| 266. |
R.J.
Elliott, W.C. Hunter and B.M. Jamieson. "Drift and volatility
estimation in discrete time", Jour. of Economic Dynamics &
Control, 22(1998) 209-218. |
| 267. |
R.J.
Elliott, W.C. Hunter and B.M. Jamieson. "Financial signal processing",
International Journal of Theoretical and Applied Finance, 4 (2001):
567-584. |
| 268. |
R.J.
Elliott and J.van der Hoek. "An application of hidden Markov
models to asset allocation problems", Finance and Stochastics
3 (1997), 229-238. |
| 269. |
F.
Aldabe, G. Barone-Adesi and R.J. Elliott. "Option pricing with
regularized fractional Brownian motions", Applied Stochastic
Models and Data Analysis, 14(1998), 285-294. |
| 270. |
R.J.
Elliott, P. Fischer and E. Platen. "Hidden Markov model filtering
for a mean reverting interest rate model", Canadian Applied Math.
Quarterly 7 (1999): 15 ms. pages. 38th I.E.E.E. Conference on Decision
and Control, Phoenix, AZ, Dec. 1999, I.E.E.E. Press, Piscataway, NJ:
2782-2787. |
| 271. |
R.J.Elliott,
W.P. Malcolm and A.H. Tsoi. "Robust parameter estimation for
asset price models with Markov modulated volatilities." Jour.
Economics, Dynamics & Control. |
| 272. |
P.P.
Boyle, R.J. Elliott and H. Yang. "Controlled diffusion models
of an insurance company", submitted for publication. |
| 273. |
R.J.
Elliott and M. Jeanblanc. "Incomplete Markets with Jumps and
Informed Agents", Math. Methods of Operations Research 50 (1999):
475-492. |
| 274. |
R.J.
Elliott and M. J. van der Hoek. "Stochastic flows and the forward
measure", Finance and Stochastics. 5 (2001): 511-525. |
| 275. |
S.
Clark, R.J. Elliott, J. van der Hoek and J. Valencia. "Nonlinear
filter estimation of volatility", submitted for publication. |
| 276. |
R.J.
Elliott and E. Platen. "Hidden Markov chain filtering for generalized
Bessel processes", in 'Stochastics in Finite and Infinite Dimensions:
In Honor of Gopi Kallianpur.' Birkhauser. Boston,
Basel, Berlin,
2000: 122-148. |
| 277. |
R.J.
Elliott and J. van der Hoek. "Using the Hull-White two factor
model in bank treasury risk management", Proceedings of the Bachelier
World Congress, Paris,
June 2000, Springer Verlag. Berlin-Heidelberg-New
York, (2002) 269-280. |
| 278. |
R.J.
Elliott, P. Fischer and E. Platen, `Filtering and parameter estimation
for a mean reverting interest rate model’. Canadian Applied Math. Quarterly 7 (1999): 381-400. |
| 279. |
R.J.
Elliott, M. Jeanblanc and M. Yor, `Some models of default risk'. Mathematical
Finance 10 (2000), 179-195. |
| 280. |
R.J.
Elliott and J. van der Hoek, 'A general fractional white noise theory
and applications to finance'. Mathematical Finance; 13 (2003) 301-330. |
| 281. |
R.J.
Elliott, T.K. Siu and H. Yang, 'On a generalized form of risk measure'.
Australian Actuarial Journal, 9 (2003) 587-623. |
| 282. |
R.J.
Elliott and J. Hinz, 'Portfolio analysis, hidden Markov models and
chart analysis by PF-diagrams.' International Journal of Theoretical and Applied Finance. 5 (2002). 385-399. |
| 283. |
R.J.
Elliott, G.Sick and M. Stein, 'Pricing Electricity Calls'. |
| 284. |
R.J.
Elliott and J. van der Hoek, ‘Fractional Brownian Motion and
Financial Modelling’. Trends in Mathematics. Proceedings of
the Conference on Finance and Stochastics, Konstanz,
Germany. Birkhauser
Verlag, Basel 2001. pp. 140-151. |
| 285. |
J.Buffington
and R.J. Elliott, "American options with regime switching".
International Journal of Theoretical and Applied Finance. 5 (2002)
497-514. |
| 286. |
R.J.Elliott
and R.S.Mamon, 'Term structure of a Vasicek model with a Markovian
mean reverting level.' Submitted for publication. |
| 287. |
R.J.Elliott
and R.S.Mamon, 'A complete yield curve description of a Markov interest
model'. International Journal of Theoretical and Applied Finance.
6(4) (2003) 317-326. |
| 288. |
C.
Wilson and R.J. Elliott, ‘The term structure of interest rates
when a Markov chain is driving drift and volatility parameters of
the short rate diffusion process’. |
| 289. |
A.
Cadenillas, R.J. Elliott and L.A. Leger, ‘On the pricing of
American options when the asset is a mean-reverting process’. |
| 290. |
J.
Buffington and R. J. Elliott, "Regime Switching and European
Options", in Stochastic Theory and Control, Proceedings of a
Workshop, Lawrence, K.S., October 2002, Springer Verlag (2002), 73-81. |
| 291. |
R.
J. Elliott ‘Financial Filtering’. |
| 292. |
R.
J. Elliott and J. Hinz ‘On
portfolio efficiency of data modeling’. |
| 293. |
R.
J. Elliott and C. B. Hyndman. 'Parameter Estimation in Commodity Markets
- A Filtering Approach'. |
| 294. |
R.
J. Elliott, W. P. Malcolm and A. Tsoi ‘HMM Volatility Estimation’. 41st
IEEE Conference on Decision and Control, Las Vegas, NV, December 2002,
IEEE Press Piscataway, N.J. 398-404. |
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| 295. |
M.
W. Korolkiewicz and R. J. Elliott ‘Credit rating process as a hidden Markov
chain’. |
| 296. |
R.
J. Elliott and Leunglung Chan, ‘Optimal portfolios in a multiple fractional
Brownian Black & Scholes market. |
| 297. |
R.J.
Elliott, A. Tsoi and S.H.Lui. ‘Incomplete diversification and
asset pricing’, Advances in Finance & Stochastics. (eds.)
K. Sandmann and P. J. Schönbucher. Springer , Berlin-Heidelberg-New
York (2002) 101-124. |
| 298. |
R.
J. Elliott & C. A. Wilson ‘Auto regressive estimation in
a Hidden Markov setting: with application to a short term interest
rate model. |
| 299. |
R.
J. Elliott, H. Geman & A. Roncoroni,
‘A model for electricity price’. |
| 300. |
M.
Webb, W. P. Malcolm and R. J. Elliott, ‘Volatility Estimation
for Hybrid Time Scale Markov Modulated Asset Price Models’. |
| 301. |
R.
J. Elliott & C. J. U. Osakwe, 'Option Pricing for Pure Jump Processes
with Markov Switching Compensators'. |
| 302. |
R.
J. Elliott and Leunglung Chan. 'A Closed Form Solution for Perpetual
American Options with a Fractional Brownian Motion'. Quantitative
Finance, 4 (2004) 123-128. |
| 303. |
R.
J. Elliott and D. B. Madan, 'A Multiple Priors Asset Pricing Model'. |
| 304. |
C.
Bender and R. J. Elliott, 'On the Clark-Ocone Theorem for Fractional
Brownian Motions with Hurst Parameter Bigger than One Half' Stochastics
and Stochastic Reports 75 (2003). 391-405. |
| 305. |
R.
J. Elliott, Q. Wang, and L. Chan, 'Alternative Characterizations of
American Options with Fractional Brownian Motion'. |
| 306. |
R.
J. Elliott and L. Chan, 'Option Pricing with Stochastic Volatility
Driven by a Fractional Ornstein-Ohlenbeck Process'. |
| 307. |
C.
Bender and R. J. Elliott, 'Arbitrage in a Discrete Version of the
Wick-Fractional Black Scholes Model'. Mathematics of Operations Research.
Accepted. |
| 308. |
R.
J. Elliott and C. A. Wilson, 'The term structure of interest rates
in a Markov setting'. |
| 309. |
R.
J. Elliott and L. Chan, 'Forward equation for American Options with
Fractional Brownian Motion.' |
| 310. |
R.J.
Elliott, G.A. Sick and M. Stein 'Modelling Electricity Price Risk' |
| 311. |
R.J.
Elliott and J. van der Hoek, 'Pricing Non-tradable Assets" Duality
Methods'. |
| 312. |
R.J.
Elliott and B. Han, 'A Hidden Markov Approach to the Forward Premium
Puzzle'. |
| 313. |
P.
Wu and R.J. Elliott, 'Parameter Estimates for a Regime Switching Mean-Reverting
Model with Jumps'. |
| 314. |
A.
Cadenillas and R.J. Elliott, 'On the Pricing of Swing Options'. |
| 315. |
R.J.
Elliott and J. van der Hoek, 'Pricing Claims on Non-Tradable Assets'.
|
| 316. |
B.
Pasik - Duncan, R.J. Elliott and M. Davis; Guest Editorial: Special
Issue of the IEEE Transactions on Automatic Control in Stochastic
Control Methods in Financial Engineering. 49 (2004). |
| 317. |
R.
J. Elliott and L. L. Chan. 'Dynamic Mean Semi-Variance Portfolio Selection
with Regime Switching'. |
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