A PDE approach for risk measures for derivatives with regime switching (Q665800): Difference between revisions

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+Coherent Measures of Risk
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+AMERICAN OPTIONS WITH REGIME SWITCHING
@@ Property / cites work: AMERICAN OPTIONS WITH REGIME SWITCHING / rank @@
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+Option pricing and Esscher transform under regime switching
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@@ Property / cites work @@
+The variational principle and stochastic optimal control
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+FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL
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+PORTFOLIO OPTIMIZATION, HIDDEN MARKOV MODELS, AND TECHNICAL ANALYSIS OF P&amp;F-CHARTS
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+Robust parameter estimation for asset price models with Markov modulated volatilities
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+Mathematics of financial markets
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+Asset Prices With Regime-Switching Variance Gamma Dynamics
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+Q3974816
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+Q2782359
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+Mean-variance hedging for general claims
@@ Property / cites work: Mean-variance hedging for general claims / rank @@
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+A PDE approach to risk measures of derivatives
@@ Property / cites work: A PDE approach to risk measures of derivatives / rank @@
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+COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY
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+Bayesian Risk Measures for Derivatives via Random Esscher Transform
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+.1007/S10436-006-0068-5
@@ Property / DOI: 10.1007/S10436-006-0068-5 / rank @@
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