Hidden Markov models
Over a number of years Robert J Elliott and John van der Hoek have worked on several applications of Hidden Markov Models: modelling hidden factors in an economy, Markov chain based discounting functions and asset pricing.
Contact: John van der Hoek
RJ Elliott & J van der Hoek, 'Asset pricing using finite state Markov chain stochastic discount functions', Stochastic Analysis and Applications.
RJ Elliott, J van der Hoek & D Sworder, 'Markov Chain Hitting Times', Journal of Stochastic Analysis and Applications, 2011.
J van der Hoek & RJ Elliott, 'American Option prices in a Markov chain market model',Applied Stochastic Models in Business and Industry, 2011.
RJ Elliott & J van der Hoek, 'Default Times in a Continuous Time Markov Chain Economy',Applied Mathematical Finance, 2012.
Areas of study and research
- Health Research
- Alliance for Research in Exercise, Nutrition and Activity (ARENA)
- Centre for Cancer Biology
- Centre for Drug Discovery and Development
- Centre for Population Health Research
- Centre of Research Excellence for the Prevention of Chronic Conditions in Rural and Remote High Risk Populations
- International Centre for Allied Health Evidence
- Medicine and Device Surveillance CRE
- Quality Use of Medicines and Pharmacy Research Centre
and Social Sciences
- Art, Architecture and Design
- Communication, International Studies and Languages
- Psychology, Social Work and Social Policy
- Hawke Research Institute
- Asia Pacific Centre for Work Health and Safety
- Australian Centre for Child Protection
- Barbara Hardy Institute
- Centre for Research in Education
- Hawke EU Jean Monnet Centre of Excellence
- Centre for Islamic Thought and Education
- International Centre for Muslim and non-Muslim Understanding
- Research Centre for Languages and Cultures
- Zero Waste SA Research Centre for Sustainable Design and Behaviour (sd+b)
IT, Engineering and
- Future Industries Institute
- UniSA College