Pages that link to "Item:Q951363"

The following pages link to Robust parameter estimation for asset price models with Markov modulated volatilities (Q951363):

Displaying 30 items.

• Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model (Q340669) (← links)
• Optimal state filtering of controllable systems with random structure (Q465293) (← links)
• Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations (Q523969) (← links)
• Option pricing and Esscher transform under regime switching (Q665552) (← links)
• A PDE approach for risk measures for derivatives with regime switching (Q665800) (← links)
• A game theoretic approach to option valuation under Markovian regime-switching models (Q931215) (← links)
• Optimal portfolios with regime switching and value-at-risk constraint (Q976262) (← links)
• A high-order Markov-switching model for risk measurement (Q980081) (← links)
• On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy (Q993724) (← links)
• Option pricing when the regime-switching risk is priced (Q1036916) (← links)
• Microstructure models with short-term inertia and stochastic volatility (Q1665369) (← links)
• Stock market prediction and portfolio selection models: a survey (Q1788855) (← links)
• Portfolio selection with jumps under regime switching (Q1958452) (← links)
• Dynamic control of the investment portfolio in the jump-diffusion financial market with regime switching (Q2487604) (← links)
• Risk measures for derivatives with Markov-modulated pure jump processes (Q2643673) (← links)
• An HMM approach for optimal investment of an insurer (Q2864634) (← links)
• Filtering of a Multi-Dimension Stochastic Volatility Model (Q3005154) (← links)
• Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market (Q3168704) (← links)
• On Markov‐modulated Exponential‐affine Bond Price Formulae (Q3395727) (← links)
• Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model (Q3592749) (← links)
• A new method for option pricing via time-fractional PDE (Q4556420) (← links)
• An Exact Formula for Pricing American Exchange Options with Regime Switching (Q4562482) (← links)
• Parameter Estimation in a Weak Hidden Markov Model with Independent Drift and Volatility (Q4562483) (← links)
• The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model (Q5022522) (← links)
• Some applications of<i>M</i>-ary detection in quantitative finance (Q5189711) (← links)
• A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL (Q5265237) (← links)
• Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises (Q5421608) (← links)
• Risk Minimizing Option Pricing in a Regime Switching Market (Q5459758) (← links)
• Hidden Markov Filter Estimation of the Occurrence Time of an Event in a Financial Market (Q5707906) (← links)
• Empirical study on option pricing under Markov regime switching economics (Q6662492) (← links)