Robert James Elliott

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Publications

Journal articles - peer reviewed

• Badescu, Alexandru, Elliott, Robert and Ortega, Juan-Pablo. "Non-Gaussian GARCH Option Pricing Models and their Continuous Time Limits". European Journal of Operational Research 247.(3) (2015): 820-830. Print.
• Badescu, Alexandru, Elliott, Robert and Ortega, Juan-Pablo. "Quadratic Hedging Schemes for non-Gaussian GARCH Models". Journal of Economic Dynamics and Control 42. (2014): 13-32. Print.
• Elliott, Robert, Siu, Tak Kuen and Badescu, Alexandru. "On Pricing and Hedging Options in Regime-Switching Models with Feedback Effect". Journal of Economic Dynamics and Control 35.(2) (2011): 694-713. Print.
• Badescu, Alexandru, Elliott, Robert, Kulperger, Reg, Miettinen, Jarko and Siu, Tak Kuen. "A Comparison of Pricing Kernels for GARCH Option Pricing with Generalized Hyperbolic Distributions". International Journal of Theoretical and Applied Finance 14.(5) (2011): 669-708. Print.
• Elliott, Robert, Siu, Tak Kuen and Badescu, Alexandru. "Bond Valuation Under Discrete and Continuous Time Regime-Switching Term-Structure Models". Managerial Finance 37.(11) (2011): 1025 - 1047. Print.
• Elliott, Robert, Siu, Tak Kuen and Badescu, Alexandru. "On Mean-Variance Portfolio Selection under a Hidden Markovian Regime Switching Model". Economic Modelling 27. (2010): 678-686. Print.
• Badescu, Alexandru, Elliott, Robert and Siu, Tak Kuen. "Esscher Transforms and Consumption-Based Models". Insurance: Mathematics and Economics 45. (2009): 337-347. Print.

Preprint

• Badescu, Alexandru, Elliott, Robert, Grigoryeva, Lyudmila and Ortega, Juan-Pablo. "Option pricing and hedging under non-affine autoregressive stochastic volatility models". submitted, (2016). Print.