Siu, Tak Kuen; Elliott, Robert J. Hedging options in a doubly Markov-modulated financial market via stochastic flows. (English) Zbl 1431.91404 Int. J. Theor. Appl. Finance 22, No. 8, Article ID 1950047, 41 p. (2019). Reviewer: George Stoica (Saint John) MSC: 91G20 60J28 91G10 PDF BibTeX XML Cite \textit{T. K. Siu} and \textit{R. J. Elliott}, Int. J. Theor. Appl. Finance 22, No. 8, Article ID 1950047, 41 p. (2019; Zbl 1431.91404) Full Text: DOI OpenURL
Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo Non-Gaussian GARCH option pricing models and their diffusion limits. (English) Zbl 1346.91225 Eur. J. Oper. Res. 247, No. 3, 820-830 (2015). MSC: 91G20 91G70 60H30 60H35 62M10 PDF BibTeX XML Cite \textit{A. Badescu} et al., Eur. J. Oper. Res. 247, No. 3, 820--830 (2015; Zbl 1346.91225) Full Text: DOI Link OpenURL
Elliott, Robert J.; Siu, Tak Kuen; Cohen, Samuel N. Backward stochastic difference equations for dynamic convex risk measures on a binomial tree. (English) Zbl 1390.91333 J. Appl. Probab. 52, No. 3, 771-785 (2015). MSC: 91G70 39A50 60H30 PDF BibTeX XML Cite \textit{R. J. Elliott} et al., J. Appl. Probab. 52, No. 3, 771--785 (2015; Zbl 1390.91333) Full Text: DOI Euclid OpenURL
Elliott, Robert J.; Siu, Tak Kuen Reflected backward stochastic differential equations, convex risk measures and American options. (English) Zbl 1343.60093 Stochastic Anal. Appl. 31, No. 6, 1077-1096 (2013). MSC: 60H30 60H10 60G40 91G80 PDF BibTeX XML Cite \textit{R. J. Elliott} and \textit{T. K. Siu}, Stochastic Anal. Appl. 31, No. 6, 1077--1096 (2013; Zbl 1343.60093) Full Text: DOI OpenURL
Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen A Bayesian approach for optimal reinsurance and investment in a diffusion model. (English) Zbl 1276.91065 J. Eng. Math. 76, 195-206 (2012). MSC: 91B30 91G80 49L20 93E11 PDF BibTeX XML Cite \textit{X. Zhang} et al., J. Eng. Math. 76, 195--206 (2012; Zbl 1276.91065) Full Text: DOI OpenURL
Elliott, Robert J.; Siu, Tak Kuen An HMM approach for optimal investment of an insurer. (English) Zbl 1276.93084 Int. J. Robust Nonlinear Control 22, No. 7, 778-807 (2012). MSC: 93E20 60J10 91B30 PDF BibTeX XML Cite \textit{R. J. Elliott} and \textit{T. K. Siu}, Int. J. Robust Nonlinear Control 22, No. 7, 778--807 (2012; Zbl 1276.93084) Full Text: DOI OpenURL
Elliott, Robert J.; Siu, Tak Kuen Markovian forward-backward stochastic differential equations and stochastic flows. (English) Zbl 1273.60067 Syst. Control Lett. 61, No. 10, 1017-1022 (2012). MSC: 60H10 PDF BibTeX XML Cite \textit{R. J. Elliott} and \textit{T. K. Siu}, Syst. Control Lett. 61, No. 10, 1017--1022 (2012; Zbl 1273.60067) Full Text: DOI Link OpenURL
Elliott, Robert J.; Siu, Tak Kuen A stochastic differential game for optimal investment of an insurer with regime switching. (English) Zbl 1232.91346 Quant. Finance 11, No. 3, 365-380 (2011). MSC: 91B30 91G50 91A15 49N70 49L20 PDF BibTeX XML Cite \textit{R. J. Elliott} and \textit{T. K. Siu}, Quant. Finance 11, No. 3, 365--380 (2011; Zbl 1232.91346) Full Text: DOI OpenURL
Elliott, Robert J.; Siu, Tak Kuen A BSDE approach to a risk-based optimal investment of an insurer. (English) Zbl 1213.60100 Automatica 47, No. 2, 253-261 (2011). Reviewer: Nikolaos Halidias (Athens) MSC: 60H10 91A23 PDF BibTeX XML Cite \textit{R. J. Elliott} and \textit{T. K. Siu}, Automatica 47, No. 2, 253--261 (2011; Zbl 1213.60100) Full Text: DOI OpenURL
Elliott, Robert J.; Siu, Tak Kuen Discussion on: “Pricing annuity guarantees under a regime-switching model”. (English) Zbl 1483.91191 N. Am. Actuar. J. 13, No. 3, 333-337 (2009). MSC: 91G05 PDF BibTeX XML Cite \textit{R. J. Elliott} and \textit{T. K. Siu}, N. Am. Actuar. J. 13, No. 3, 333--337 (2009; Zbl 1483.91191) Full Text: DOI OpenURL
Badescu, Alex; Elliott, Robert J.; Siu, Tak Kuen Esscher transforms and consumption-based models. (English) Zbl 1231.91423 Insur. Math. Econ. 45, No. 3, 337-347 (2009). MSC: 91G20 91B25 91B30 PDF BibTeX XML Cite \textit{A. Badescu} et al., Insur. Math. Econ. 45, No. 3, 337--347 (2009; Zbl 1231.91423) Full Text: DOI Link OpenURL
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung A PDE approach for risk measures for derivatives with regime switching. (English) Zbl 1233.91271 Ann. Finance 4, No. 1, 55-74 (2008). MSC: 91G20 91B30 60J70 35Q91 PDF BibTeX XML Cite \textit{R. J. Elliott} et al., Ann. Finance 4, No. 1, 55--74 (2008; Zbl 1233.91271) Full Text: DOI OpenURL
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung; Lau, John W. Pricing options under a generalized Markov-modulated jump-diffusion model. (English) Zbl 1155.91380 Stochastic Anal. Appl. 25, No. 4, 821-843 (2007). MSC: 91G20 60G42 PDF BibTeX XML Cite \textit{R. J. Elliott} et al., Stochastic Anal. Appl. 25, No. 4, 821--843 (2007; Zbl 1155.91380) Full Text: DOI OpenURL
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen Risk measures for derivatives with Markov-modulated pure jump processes. (English) Zbl 1283.91173 Asia-Pac. Financ. Mark. 13, No. 2, 129-149 (2006). MSC: 91G20 60J28 60J60 91G80 PDF BibTeX XML Cite \textit{R. J. Elliott} et al., Asia-Pac. Financ. Mark. 13, No. 2, 129--149 (2006; Zbl 1283.91173) Full Text: DOI OpenURL
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung Option pricing for GARCH models with Markov switching. (English) Zbl 1138.91437 Int. J. Theor. Appl. Finance 9, No. 6, 825-841 (2006). MSC: 91G20 60G42 62M10 91B84 PDF BibTeX XML Cite \textit{R. J. Elliott} et al., Int. J. Theor. Appl. Finance 9, No. 6, 825--841 (2006; Zbl 1138.91437) Full Text: DOI OpenURL
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen Option pricing and Esscher transform under regime switching. (English) Zbl 1233.91270 Ann. Finance 1, No. 4, 423-432 (2005). MSC: 91G20 60J70 PDF BibTeX XML Cite \textit{R. J. Elliott} et al., Ann. Finance 1, No. 4, 423--432 (2005; Zbl 1233.91270) Full Text: DOI OpenURL