Zobrazeno 1 - 10
of 609
pro vyhledávání: '"Robert J. Elliott"'
Autor:
Kelley L. Colvin, Robert J. Elliott, Desiree M. Goodman, Julie Harral, Edward G. Barrett, Michael E. Yeager
Publikováno v:
FASEB BioAdvances, Vol 5, Iss 12, Pp 528-540 (2023)
Abstract Objectives We sought to investigate whether the Dp16 mouse model of Down syndrome (DS) is more susceptible to severe and lethal respiratory tract infection by Streptococcus pneumoniae. Study Design We infected controls and Dp16 mice with Str
Externí odkaz:
https://doaj.org/article/123a846c4e7745399ebb91fbc07f2727
Autor:
Lakhdar Aggoun, Robert J. Elliott
Publikováno v:
Sultan Qaboos University Journal for Science, Vol 3, Iss 0, Pp 67-75 (1998)
An important problem in statistical ecology is how to determine the size of an animal population. The best known technique is the capture-recapture technique. A random sample of individuals is captured, tagged in some way and released back into the p
Externí odkaz:
https://doaj.org/article/bcbf22d3ee09461caefb96850db5b7a2
Autor:
Robert J. Elliott, Tak Kuen Siu
Publikováno v:
Journal of Futures Markets.
Refereed/Peer-reviewed The hedging of European contingent claims in a continuous-time hidden Markov-regime-switching diffusion model is discussed using stochastic flows of diffeomorphisms and Monte-Carlo simulations. Specifically, the price dynamics
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::368a770d322c340fd08f5aaa4194e52e
https://doi.org/10.1002/fut.22422
https://doi.org/10.1002/fut.22422
Autor:
Lakhdar Aggoun, Robert J. Elliott
The estimation of noisily observed states from a sequence of data has traditionally incorporated ideas from Hilbert spaces and calculus-based probability theory. As conditional expectation is the key concept, the correct setting for filtering theory
Publikováno v:
Journal of Futures Markets. 42:983-1001
Refereed/Peer-reviewed This paper presents a numerical method to price American exchange options based on jump-diffusion processes. We first derive a closed-form expression for the value of European exchange options, then decompose the value function
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::828cfff911fcd85a1144676d2ea8d001
https://doi.org/10.1002/fut.22316
https://doi.org/10.1002/fut.22316
Refereed/Peer-reviewed In this paper, we investigate an optimal asset allocation problem in a financial market consisting of one risk-free asset, one liquid risky asset and one illiquid risky asset. The liquidity risk stems from the asset that cannot
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2097a44de98b61dda6dbd3efe0d5ada7
https://hdl.handle.net/11541.2/33997
https://hdl.handle.net/11541.2/33997
We study the liquidity commonality impact of local and foreign institutional investment in the Australian equity market in the cross-section and over time. We find that commonality in liquidity is higher for large stocks compared to small stocks in t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b50410e4b2254016a9c907664656c9bd
http://arxiv.org/abs/2211.03287
http://arxiv.org/abs/2211.03287
Publikováno v:
Land Economics. 97:281-304
We quantify the impact of economic land use (urban and agricultural) on biodiversity measured as phylogenetic diversity (or evolutionary distinctiveness). We construct phylogenetic diversity indexes for bird populations throughout the United States a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1e956cb3566584a60ae26aee1f1df7ab
https://doi.org/10.3368/le.97.2.281
https://doi.org/10.3368/le.97.2.281
Publikováno v:
SIAM Journal on Financial Mathematics. 12:1285-1306
Equity market interactions with their option markets are modeled using a two-state hidden Markov model permitting transitioning between states when the asset market leads and when the option markets lead. Data on S&P 500 returns and returns on the VI
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5837cd7c5bbca5ed6b2b455001074fa5
https://doi.org/10.1137/20m1339830
https://doi.org/10.1137/20m1339830
Publikováno v:
Annals of Finance. 17:27-43
Demand and supply uncertainty lead to a model of markets that set prices to acceptable risk levels for excess supplies and net revenues. The result is a two price partial equilibrium economy. The equilibrium solutions are applied to two price financi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0b2daab6a0b184356d5c5cccb0da4d4b
https://doi.org/10.1007/s10436-020-00377-x
https://doi.org/10.1007/s10436-020-00377-x