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 …

As more applications are found, interest in Hidden Markov Models continues to grow.
Following comments and feedback from colleagues, students and other working with Hidden …

We consider the pricing of options when the dynamics of the risky underlying asset are driven
by a Markov-modulated jump-diffusion model. We suppose that the market interest rate, …

This paper proposes a model for asset prices which is the exponential of a pure jump process
with an N-state Markov switching compensator. We argue that such a process has a good …

… * Robert Elliott wishes to thank SSHRC for its support. John van der Hoek wishes to
thank … The maximum of J (w), subject to w ·1 = 1, is given by the first order (Kuhn-Tucker) …

The effect of spin-orbit coupling on the usual band theory of electrons in a lattice is considered.
Particular attention is given to the bands in impurity semiconductors with diamond-type …

This work is aimed at an audience with a sound mathematical background wishing to learn
about the rapidly expanding? eld of mathematical? nance. Its content is suitable particularly …

In this paper, a new version of the quadrature Kalman filter (QKF) is developed theoretically
and tested experimentally. We first derive the new QKF for nonlinear systems with additive …

A Black-Scholes market is considered in which the underlying economy, as modeled by the
parameters and volatility of the processes, switches between a finite number of states. The …

‘Pairs Trading’ is an investment strategy used by many Hedge Funds. Consider two similar
stocks which trade at some spread. If the spread widens short the high stock and buy the low …