3 citations · 3 across the 2 of their papers we have counts for
3 papers
math.PR2025
Stochastic control for Backward Stochastic Differential Equations with semi-Markov chain noises
Robert J. Elliott, Zhe Yang
In this paper, we extend the results of Elliott and Yang \cite{elliott3} and discuss the control of a stochastic process for which the driving noise is provided by a martingale ass…
q-fin.PR2012
Quadratic hedging schemes for non-Gaussian GARCH models
Alexandru Badescu, Robert J. Elliott, Juan-Pablo Ortega
We propose different schemes for option hedging when asset returns are modeled using a general class of GARCH models. More specifically, we implement local risk minimization and a…
q-fin.RM2009★ 3 cited
Time consistency and moving horizons for risk measures
Samuel N. Cohen, Robert J. Elliott
We consider portfolio selection when decisions based on a dynamic risk measure are affected by the use of a moving horizon, and the possible inconsistencies that this creates. By g…