Grant: Standard Research Grants
The University of Calgary
$11,250.00
Random processes in mathematical finance; filtering and hidden Markov models applied to price processes and contingent claims; duration and convexity; Martingale representation
FY 2001-02
Program
Standard Research Grants
Recipient
Location
Alberta, Canada
Type
Grant
Source
SSHRC's Expenditures File
As published
Cle
1847
Name nom
Elliott, Robert
Role
Applicant
Award amount
11250.00
Fiscal year exercice financier
2001
Institution
The University of Calgary
Établissement
The University of Calgary
Province id
AB
Province en
Alberta
Province fr
Alberta
Competition year
1999
Title
Random processes in mathematical finance; filtering and hidden Markov models applied to price processes and contingent claims; duration and convexity; Martingale representation
Keywords
random processes; mathematical finance; filtering; term structure; duration; hedging
Program name en
Standard Research Grants
Program name fr
Subventions ordinaires de recherche
Discipline en
Finance, Banking, Insurance
Discipline fr
Finances, assurances, systèmes bancaires
Main discipline en
Management, Business, Administrative Studies
Main discipline fr
Sciences administratives, gestion des affaires et commerce
Area of research en
Financial and Monetary Systems
Area of research fr
Systèmes financiers et monétaires
