101 citations · 224 across the 20 of their papers we have counts for
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q-fin.CP2014
Pricing Currency Derivatives with Markov-modulated Levy Dynamics
Anatoliy Swishchuk, Maksym Tertychnyi, Robert Elliott
Using a Levy process we generalize formulas in Bo et al.(2010) for the Esscher transform parameters for the log-normal distribution which ensure the martingale condition holds for…
q-fin.CP2013★ 2 cited
Filters and smoothers for self-exciting Markov modulated counting processes
Samuel N. Cohen, Robert J. Elliott
We consider a self-exciting counting process, the parameters of which depend on a hidden finite-state Markov chain. We derive the optimal filter and smoother for the hidden chain b…
q-fin.CP2008★ 64 cited
Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
Samuel N. Cohen, Robert J. Elliott
Most previous contributions to BSDEs, and the related theories of nonlinear expectation and dynamic risk measures, have been in the framework of continuous time diffusions or jump…