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

Key publications

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

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