On Markov‐modulated Exponential‐affine Bond Price Formulae

By Robert J. R. Elliott, Tak Kuen Siu. 2009

80 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/77f7ee656c3bfd33e516b16cb66cbb70eaff7213

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Guang-Hua Lian
2. Robert J. R. Elliott
3. M. Cole
4. Samuel N. Cohen
5. Tak Kuen Siu
6. Monique Jeanblanc
7. Jan Baldeaux
8. David Nualart

Citations in the corpus

• Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (2013, background): “…models in finance includes the applications for asset allocation (Elliott and Van der Hoek 1997), for short-term rate model and bond evaluation (Elliott and Siu 2009), for portfolio analysis (Honda 2003, Zhou and Yin 2004, Elliott et al. 2010), for pricing options (Guo and Zhang 2004, Elliott…”