Tak Kuen Siu
Names
| first: |
Tak Kuen |
| last: |
Siu |
Identifer
Contact
Affiliations
-
Macquarie University
/ Business School
Research profile
author of:
- On Pricing Basket Credit Default Swaps (RePEc:arx:papers:1204.4025)
by Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng - On Reduced Form Intensity-based Model with Trigger Events (RePEc:arx:papers:1301.0109)
by Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng - On Infectious Model for Dependent Defaults (RePEc:arx:papers:1301.0186)
by Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng - On Optimal Pricing Model for Multiple Dealers in a Competitive Market (RePEc:arx:papers:1512.08866)
by Wai-Ki Ching & Jia-Wen Gu & Qing-Qing Yang & Tak-Kuen Siu - Trading Strategy with Stochastic Volatility in a Limit Order Book Market (RePEc:arx:papers:1602.00358)
by Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu & Qing-Qing Yang - Interacting Default Intensity with Hidden Markov Process (RePEc:arx:papers:1603.02902)
by Feng-Hui Yu & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu - Generalized Optimal Liquidation Problems Across Multiple Trading Venues (RePEc:arx:papers:1607.04553)
by Qing-Qing Yang & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu - Regime Switching Optimal Growth Model with Risk Sensitive Preferences (RePEc:arx:papers:2110.15025)
by Anindya Goswami & Nimit Rana & Tak Kuen Siu - A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach (RePEc:bla:jtsera:v:38:y:2017:i:2:p:243-265)
by Tata Subba Rao & Granville Tunnicliffe Wilson & Shiu Fung Wong & Howell Tong & Tak Kuen Siu & Zudi Lu - A hidden Markov regime-switching smooth transition model (RePEc:bpj:sndecm:v:22:y:2018:i:4:p:21:n:2)
by Elliott Robert J. & Siu Tak Kuen & Lau John W. - On Bayesian Mixture Credibility (RePEc:cup:astinb:v:36:y:2006:i:02:p:573-588_01)
by Lau, John W. & Siu, Tak Kuen & Yang, Hailiang - Continuous-time optimal reinsurance strategy with nontrivial curved structures (RePEc:eee:apmaco:v:363:y:2019:i:c:38)
by Meng, Hui & Liao, Pu & Siu, Tak Kuen - On pricing and hedging options in regime-switching models with feedback effect (RePEc:eee:dyncon:v:35:y:2011:i:5:p:694-713)
by Elliott, Robert J. & Siu, Tak Kuen & Badescu, Alexandru - Market-making strategy with asymmetric information and regime-switching (RePEc:eee:dyncon:v:90:y:2018:i:c:p:408-433)
by Yang, Qing-Qing & Ching, Wai-Ki & Gu, Jia-Wen & Siu, Tak-Kuen - On mean-variance portfolio selection under a hidden Markovian regime-switching model (RePEc:eee:ecmode:v:27:y:2010:i:3:p:678-686)
by Elliott, Robert J. & Siu, Tak Kuen & Badescu, Alex - On optimal reinsurance, dividend and reinvestment strategies (RePEc:eee:ecmode:v:28:y:2011:i:1-2:p:211-218)
by Meng, Hui & Siu, Tak Kuen - On optimal reinsurance, dividend and reinvestment strategies (RePEc:eee:ecmode:v:28:y:2011:i:1:p:211-218)
by Meng, Hui & Siu, Tak Kuen - Asset allocation under stochastic interest rate with regime switching (RePEc:eee:ecmode:v:29:y:2012:i:4:p:1126-1136)
by Shen, Yang & Siu, Tak Kuen - Pricing bond options under a Markovian regime-switching Hull–White model (RePEc:eee:ecmode:v:30:y:2013:i:c:p:933-940)
by Shen, Yang & Siu, Tak Kuen - Pricing foreign equity options with regime-switching (RePEc:eee:ecmode:v:37:y:2014:i:c:p:296-305)
by Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming - Valuing commodity options and futures options with changing economic conditions (RePEc:eee:ecmode:v:51:y:2015:i:c:p:524-533)
by Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming - Optimal reinsurance policies with two reinsurers in continuous time (RePEc:eee:ecmode:v:59:y:2016:i:c:p:182-195)
by Meng, Hui & Zhou, Ming & Siu, Tak Kuen - Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model (RePEc:eee:ecmode:v:66:y:2017:i:c:p:223-232)
by Zhu, Dong-Mei & Lu, Jiejun & Ching, Wai-Ki & Siu, Tak-Kuen - Life-cycle model with subsistence consumption constraint and state-dependent utilities (RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001074)
by Wang, Hao & Siu, Tak Kuen & Hu, Shujie & Wang, Ning - A functional Itô’s calculus approach to convex risk measures with jump diffusion (RePEc:eee:ejores:v:250:y:2016:i:3:p:874-883)
by Siu, Tak Kuen - Singular dividend optimization for a linear diffusion model with time-inconsistent preferences (RePEc:eee:ejores:v:285:y:2020:i:1:p:66-80)
by Zhu, Jinxia & Siu, Tak Kuen & Yang, Hailiang - Investment–consumption optimization with transaction cost and learning about return predictability (RePEc:eee:ejores:v:318:y:2024:i:3:p:877-891)
by Wang, Ning & Siu, Tak Kuen - Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance (RePEc:eee:eneeco:v:36:y:2013:i:c:p:97-107)
by Ewald, Christian-Oliver & Nawar, Roy & Siu, Tak Kuen - Optimal risk exposure and dividend payout policies under model uncertainty (RePEc:eee:insuma:v:100:y:2021:i:c:p:1-29)
by Feng, Yang & Zhu, Jinxia & Siu, Tak Kuen - European option pricing with market frictions, regime switches and model uncertainty (RePEc:eee:insuma:v:113:y:2023:i:c:p:233-250)
by Siu, Tak Kuen - Optimal payout strategies when Bruno de Finetti meets model uncertainty (RePEc:eee:insuma:v:116:y:2024:i:c:p:148-164)
by Feng, Yang & Siu, Tak Kuen & Zhu, Jinxia - Subjective risk measures: Bayesian predictive scenarios analysis (RePEc:eee:insuma:v:25:y:1999:i:2:p:157-169)
by Siu, Tak Kuen & Yang, Hailiang - Fair valuation of participating policies with surrender options and regime switching (RePEc:eee:insuma:v:37:y:2005:i:3:p:533-552)
by Siu, Tak Kuen - A game theoretic approach to option valuation under Markovian regime-switching models (RePEc:eee:insuma:v:42:y:2008:i:3:p:1146-1158)
by Siu, Tak Kuen - On option pricing under a completely random measure via a generalized Esscher transform (RePEc:eee:insuma:v:43:y:2008:i:1:p:99-107)
by Lau, John W. & Siu, Tak Kuen - Pricing currency options under two-factor Markov-modulated stochastic volatility models (RePEc:eee:insuma:v:43:y:2008:i:3:p:295-302)
by Siu, Tak Kuen & Yang, Hailiang & Lau, John W. - Optimal investment and reinsurance of an insurer with model uncertainty (RePEc:eee:insuma:v:45:y:2009:i:1:p:81-88)
by Zhang, Xin & Siu, Tak Kuen - Esscher transforms and consumption-based models (RePEc:eee:insuma:v:45:y:2009:i:3:p:337-347)
by Badescu, Alex & Elliott, Robert J. & Siu, Tak Kuen - A hidden Markov regime-switching model for option valuation (RePEc:eee:insuma:v:47:y:2010:i:3:p:374-384)
by Liew, Chuin Ching & Siu, Tak Kuen - Longevity bond pricing under stochastic interest rate and mortality with regime-switching (RePEc:eee:insuma:v:52:y:2013:i:1:p:114-123)
by Shen, Yang & Siu, Tak Kuen - Optimal dividends with debts and nonlinear insurance risk processes (RePEc:eee:insuma:v:53:y:2013:i:1:p:110-121)
by Meng, Hui & Siu, Tak Kuen & Yang, Hailiang - Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach (RePEc:eee:insuma:v:53:y:2013:i:3:p:712-721)
by Fard, Farzad Alavi & Siu, Tak Kuen - Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model (RePEc:eee:insuma:v:53:y:2013:i:3:p:757-768)
by Shen, Yang & Siu, Tak Kuen - Pricing annuity guarantees under a double regime-switching model (RePEc:eee:insuma:v:62:y:2015:i:c:p:62-78)
by Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming - A self-exciting threshold jump–diffusion model for option valuation (RePEc:eee:insuma:v:69:y:2016:i:c:p:168-193)
by Siu, Tak Kuen - Impact of secondary market on consumer return policies and supply chain coordination (RePEc:eee:jomega:v:45:y:2014:i:c:p:57-70)
by Huang, Ximin & Gu, Jia-Wen & Ching, Wai-Ki & Siu, Tak-Kuen - Regime switching optimal growth model with risk sensitive preferences (RePEc:eee:mateco:v:101:y:2022:i:c:s0304406822000490)
by Goswami, Anindya & Rana, Nimit & Siu, Tak Kuen - On supply chain coordination for false failure returns: A quantity discount contract approach (RePEc:eee:proeco:v:133:y:2011:i:2:p:634-644)
by Huang, Ximin & Choi, Sin-Man & Ching, Wai-Ki & Siu, Tak-Kuen & Huang, Min - Pricing strategy for a two-echelon supply chain with optimized return effort level (RePEc:eee:proeco:v:182:y:2016:i:c:p:185-195)
by Xie, Yue & Tai, Allen H. & Ching, Wai-Ki & Siu, Tak-Kuen - A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach (RePEc:ehl:lserod:78515)
by Wong, Shiu Fung & Tong, Howell & Siu, Tak Kuen & Lu, Zudi - Unknown item RePEc:eme:mfipps:v:37:y:2011:i:11:p:1025-1047 (article)
- Bayesian Lower and Upper Estimates for Ether Option Prices with Conditional Heteroscedasticity and Model Uncertainty (RePEc:gam:jjrfmx:v:17:y:2024:i:10:p:436-:d:1488913)
by Tak Kuen Siu - A Pseudo-Bayesian Model for Stock Returns In Financial Crises (RePEc:gam:jjrfmx:v:4:y:2011:i:1:p:43-73:d:28373)
by Eric S. Fung & Kin Lam & Tak-Kuen Siu & Wing-Keung Wong - A Risk-Based Approach for Asset Allocation with A Defaultable Share (RePEc:gam:jrisks:v:6:y:2018:i:1:p:14-:d:133788)
by Yang Shen & Tak Kuen Siu - Impulse Control of Proportional Reinsurance with Constraints (RePEc:hin:jnijsa:190603)
by Hui Meng & Tak Kuen Siu - A Stochastic Flows Approach for Asset Allocation with Hidden Economic Environment (RePEc:hin:jnijsa:462524)
by Tak Kuen Siu - Pricing Participating Products under a Generalized Jump-Diffusion Model (RePEc:hin:jnijsa:474623)
by Tak Kuen Siu & John W. Lau & Hailiang Yang - Regime-Switching Risk: To Price or Not to Price? (RePEc:hin:jnijsa:843246)
by Tak Kuen Siu - A Markov Regime-Switching Marked Point Process for Short-Rate Analysis with Credit Risk (RePEc:hin:jnijsa:870516)
by Tak Kuen Siu - Integration by Parts and Martingale Representation for a Markov Chain (RePEc:hin:jnlaaa:438258)
by Tak Kuen Siu - Option pricing and Esscher transform under regime switching (RePEc:kap:annfin:v:1:y:2005:i:4:p:423-432)
by Robert J. Elliott & Leunglung Chan & Tak Kuen Siu - Two price economic equilibria and financial market bid/ask prices (RePEc:kap:annfin:v:17:y:2021:i:1:d:10.1007_s10436-020-00377-x)
by Robert J. Elliott & Dilip B. Madan & Tak Kuen Siu - A PDE approach for risk measures for derivatives with regime switching (RePEc:kap:annfin:v:4:y:2008:i:1:p:55-74)
by Robert Elliott & Tak Siu & Leunglung Chan - Pricing and managing risks of European-style options in a Markovian regime-switching binomial model (RePEc:kap:annfin:v:9:y:2013:i:3:p:421-438)
by Farzad Fard & Tak Siu - On Bayesian Value at Risk: From Linear to Non-Linear Portfolios (RePEc:kap:apfinm:v:11:y:2004:i:2:p:161-184)
by Tak Siu & Howell Tong & Hailiang Yang - Risk measures for derivatives with Markov-modulated pure jump processes (RePEc:kap:apfinm:v:13:y:2006:i:2:p:129-149)
by Robert Elliott & Leunglung Chan & Tak Siu - On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity (RePEc:kap:apfinm:v:14:y:2007:i:3:p:255-275)
by Tak Siu & John Lau & Hailiang Yang - Asset Pricing Using Trading Volumes in a Hidden Regime-Switching Environment (RePEc:kap:apfinm:v:22:y:2015:i:2:p:133-149)
by Robert Elliott & Tak Siu - Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models (RePEc:kap:compec:v:26:y:2005:i:3:p:69-102)
by Tak-Kuen Siu & Wai-Ki Ching & Eric Fung & Michael Ng - Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models (RePEc:kap:compec:v:29:y:2007:i:3:p:425-425)
by Tak-Kuen Siu & Wai-Ki Ching & Eric Fung & Michael Ng - Pricing Risky Debts Under a Markov-modudated Merton Model with Completely Random Measures (RePEc:kap:compec:v:31:y:2008:i:3:p:255-288)
by John Lau & Tak Siu - A Flexible Markov Chain Approach for Multivariate Credit Ratings (RePEc:kap:compec:v:39:y:2012:i:2:p:135-143)
by Eric Fung & Tak Siu - On Optimal Pricing Model for Multiple Dealers in a Competitive Market (RePEc:kap:compec:v:53:y:2019:i:1:d:10.1007_s10614-017-9749-6)
by Qing-Qing Yang & Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu - Option Pricing Under a Stochastic Interest Rate and Volatility Model with Hidden Markovian Regime-Switching (RePEc:kap:compec:v:53:y:2019:i:2:d:10.1007_s10614-017-9754-9)
by Dong-Mei Zhu & Jiejun Lu & Wai-Ki Ching & Tak-Kuen Siu - On the Market-consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures (RePEc:oup:ajagec:v:99:y:2017:i:1:p:207-224.)
by Christian-Oliver Ewald & Ruolan Ouyang & Tak Kuen Siu - On reduced-form intensity-based model with ‘trigger’ events (RePEc:pal:jorsoc:v:65:y:2014:i:3:p:331-339)
by Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng - Unknown item RePEc:san:crieff:0713 (paper)
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy (RePEc:spr:annopr:v:176:y:2010:i:1:p:271-291:10.1007/s10479-008-0448-5)
by Robert Elliott & Tak Siu - A BSDE approach to risk-based asset allocation of pension funds with regime switching (RePEc:spr:annopr:v:201:y:2012:i:1:p:449-473:10.1007/s10479-012-1211-5)
by Tak Siu - Robust reinsurance and investment strategies under principal–agent framework (RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04696-2)
by Ning Wang & Tak Kuen Siu & Kun Fan - Trading strategy with stochastic volatility in a limit order book market (RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-020-00278-8)
by Qing-Qing Yang & Wai-Ki Ching & Jiawen Gu & Tak-Kuen Siu - Bayesian nonlinear expectation for time series modelling and its application to Bitcoin (RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02255-z)
by Tak Kuen Siu - Investment–consumption–insurance optimisation problem with multiple habit formation and non-exponential discounting (RePEc:spr:finsto:v:28:y:2024:i:1:d:10.1007_s00780-023-00510-4)
by Yike Wang & Jingzhen Liu & Tak Kuen Siu - Improving Revenue Management: A Real Option Approach (RePEc:spr:ihichp:978-3-642-04313-0_6)
by Wai-Ki Ching & Xun Li & Tak Kuen Siu & Zhenyu Wu - On Fair Valuation of Participating Life Insurance Policies With Regime Switching (RePEc:spr:isochp:978-0-387-71163-8_3)
by Tak Kuen Siu - Introduction (RePEc:spr:isochp:978-1-4614-6312-2_1)
by Wai-Ki Ching & Ximin Huang & Michael K. Ng & Tak-Kuen Siu - Queueing Systems and the Web (RePEc:spr:isochp:978-1-4614-6312-2_2)
by Wai-Ki Ching & Ximin Huang & Michael K. Ng & Tak-Kuen Siu - Manufacturing and Re-manufacturing Systems (RePEc:spr:isochp:978-1-4614-6312-2_3)
by Wai-Ki Ching & Ximin Huang & Michael K. Ng & Tak-Kuen Siu - A Hidden Markov Model for Customer Classification (RePEc:spr:isochp:978-1-4614-6312-2_4)
by Wai-Ki Ching & Ximin Huang & Michael K. Ng & Tak-Kuen Siu - Markov Decision Processes for Customer Lifetime Value (RePEc:spr:isochp:978-1-4614-6312-2_5)
by Wai-Ki Ching & Ximin Huang & Michael K. Ng & Tak-Kuen Siu - Higher-Order Markov Chains (RePEc:spr:isochp:978-1-4614-6312-2_6)
by Wai-Ki Ching & Ximin Huang & Michael K. Ng & Tak-Kuen Siu - Multivariate Markov Chains (RePEc:spr:isochp:978-1-4614-6312-2_7)
by Wai-Ki Ching & Ximin Huang & Michael K. Ng & Tak-Kuen Siu - Hidden Markov Chains (RePEc:spr:isochp:978-1-4614-6312-2_8)
by Wai-Ki Ching & Ximin Huang & Michael K. Ng & Tak-Kuen Siu - A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing (RePEc:spr:isochp:978-1-4899-7442-6_8)
by Tak Kuen Siu - Markov Chains (RePEc:spr:isorms:978-1-4614-6312-2)
by Wai-Ki Ching & Ximin Huang & Michael K. Ng & Tak-Kuen Siu - Optimal pairs trading with dynamic mean-variance objective (RePEc:spr:mathme:v:94:y:2021:i:1:d:10.1007_s00186-021-00751-z)
by Dong-Mei Zhu & Jia-Wen Gu & Feng-Hui Yu & Tak-Kuen Siu & Wai-Ki Ching - Robust Optimal Portfolio Choice Under Markovian Regime-switching Model (RePEc:spr:metcap:v:11:y:2009:i:2:d:10.1007_s11009-008-9085-3)
by Robert J. Elliott & Tak Kuen Siu - Strategic Asset Allocation Under a Fractional Hidden Markov Model (RePEc:spr:metcap:v:16:y:2014:i:3:d:10.1007_s11009-012-9318-3)
by Robert J. Elliott & Tak Kuen Siu - A Higher-order interactive hidden Markov model and its applications (RePEc:spr:orspec:v:39:y:2017:i:4:d:10.1007_s00291-017-0484-0)
by Dong-Mei Zhu & Wai-Ki Ching & Robert J. Elliott & Tak-Kuen Siu & Lianmin Zhang - A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach (RePEc:taf:apmtfi:v:11:y:2004:i:2:p:165-186)
by Wing Hoe Woo & Tak Kuen Siu - Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (RePEc:taf:apmtfi:v:14:y:2007:i:1:p:41-62)
by Robert Elliott & Tak Kuen Siu & Leunglung Chan - On Markov-modulated Exponential-affine Bond Price Formulae (RePEc:taf:apmtfi:v:16:y:2009:i:1:p:1-15)
by Robert Elliott & Tak Kuen Siu - Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model (RePEc:taf:apmtfi:v:18:y:2011:i:6:p:473-490)
by Tak Kuen Siu & Eric S. Fung & Michael K. Ng - Viterbi-Based Estimation for Markov Switching GARCH Model (RePEc:taf:apmtfi:v:19:y:2012:i:3:p:219-231)
by Robert J. Elliott & John W. Lau & Hong Miao & Tak Kuen Siu - Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes (RePEc:taf:apmtfi:v:20:y:2013:i:1:p:1-25)
by Robert J. Elliott & Tak Kuen Siu - A PDE approach to risk measures of derivatives (RePEc:taf:apmtfi:v:7:y:2000:i:3:p:211-228)
by Tak Kuen Siu & Hailiang Yang - The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights (RePEc:taf:applec:v:53:y:2021:i:17:p:1991-2014)
by Tak Kuen Siu - Bitcoin option pricing with a SETAR-GARCH model (RePEc:taf:eurjfi:v:27:y:2021:i:6:p:564-595)
by Tak Kuen Siu & Robert J. Elliott - An FFT approach for option pricing under a regime-switching stochastic interest rate model (RePEc:taf:lstaxx:v:46:y:2017:i:11:p:5292-5310)
by Kun Fan & Yang Shen & Tak Kuen Siu & Rongming Wang - Consumption-leisure-investment strategies with time-inconsistent preference in a life-cycle model (RePEc:taf:lstaxx:v:49:y:2020:i:24:p:6057-6079)
by Qian Zhao & Tak Kuen Siu - Can expected shortfall and Value-at-Risk be used to statically hedge options? (RePEc:taf:quantf:v:10:y:2010:i:6:p:575-583)
by Jonathan Wylie & Qiang Zhang & Tak Kuen Siu - A stochastic differential game for optimal investment of an insurer with regime switching (RePEc:taf:quantf:v:11:y:2010:i:3:p:365-380)
by Robert Elliott & Tak Kuen Siu - Long-term strategic asset allocation with inflation risk and regime switching (RePEc:taf:quantf:v:11:y:2011:i:10:p:1565-1580)
by Tak Kuen Siu - On pricing basket credit default swaps (RePEc:taf:quantf:v:13:y:2013:i:12:p:1845-1854)
by Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng - Pricing regime-switching risk in an HJM interest rate environment (RePEc:taf:quantf:v:16:y:2016:i:12:p:1791-1800)
by Robert J. Elliott & Tak Kuen Siu - The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model (RePEc:taf:quantf:v:16:y:2016:i:12:p:1823-1842)
by Christian-Oliver Ewald & Roy Nawar & Ruolan Ouyang & Tak Kuen Siu - Interacting default intensity with a hidden Markov process (RePEc:taf:quantf:v:17:y:2017:i:5:p:781-794)
by Feng-Hui Yu & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu - Stochastic Flows and Jump-Diffusions (RePEc:taf:quantf:v:20:y:2020:i:6:p:895-897)
by Tak Kuen Siu - A generalized Esscher transform for option valuation with regime switching risk (RePEc:taf:quantf:v:22:y:2022:i:4:p:691-705)
by R. J. Elliott & T. K. Siu - On a multivariate Markov chain model for credit risk measurement (RePEc:taf:quantf:v:5:y:2005:i:6:p:543-556)
by Tak-Kuen Siu & Wai-Ki Ching & S. Eric Fung & Michael Ng - Optimal investment of an insurer with regime-switching and risk constraint (RePEc:taf:sactxx:v:2014:y:2014:i:7:p:583-601)
by Jingzhen Liu & Ka-Fai Cedric Yiu & Tak Kuen Siu - Robust reinsurance contracts with risk constraint (RePEc:taf:sactxx:v:2020:y:2020:i:5:p:419-453)
by Ning Wang & Tak Kuen Siu - Household consumption-investment-insurance decisions with uncertain income and market ambiguity (RePEc:taf:sactxx:v:2021:y:2021:i:10:p:832-865)
by Ning Wang & Zhuo Jin & Tak Kuen Siu & Ming Qiu - The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model (RePEc:taf:uaajxx:v:12:y:2008:i:1:p:18-46)
by Tak Kuen Siu & Christina Erlwein & Rogemar Mamon - “Asset Allocation with Hedge Funds on the Menu,” Phelim Boyle and Sun Siang Liew, October 2007 (RePEc:taf:uaajxx:v:12:y:2008:i:2:p:213-215)
by Tak Kuen Siu - Dynamic Fund Protection for Property Markets (RePEc:taf:uaajxx:v:26:y:2022:i:3:p:383-402)
by Tak Kuen Siu & Ha Nguyen & Ning Wang - Bayesian Risk Measures for Derivatives via Random Esscher Transform (RePEc:taf:uaajxx:v:5:y:2001:i:3:p:78-91)
by Tak Kuen Siu & Howell Tong & Hailiang Yang - On Pricing Derivatives Under GARCH Models: A Dynamic Gerber-Shiu Approach (RePEc:taf:uaajxx:v:8:y:2004:i:3:p:17-31)
by Tak Kuen Siu & Howell Tong & Hailiang Yang - Asset allocation under threshold autoregressive models (RePEc:wly:apsmbi:v:28:y:2012:i:1:p:60-72)
by Na Song & Tak Kuen Siu & Wa‐Ki Ching & Howell Tong & Hailiang Yang - Malliavin calculus in a binomial framework (RePEc:wly:apsmbi:v:34:y:2018:i:6:p:774-781)
by Samuel N. Cohen & Robert J. Elliott & Tak Kuen Siu - Option Valuation Under a Double Regime‐Switching Model (RePEc:wly:jfutmk:v:34:y:2014:i:5:p:451-478)
by Yang Shen & Kun Fan & Tak Kuen Siu - Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method (RePEc:wly:jfutmk:v:43:y:2023:i:7:p:925-950)
by Robert J. Elliott & Tak Kuen Siu - Coherent Risk Measures For Derivatives Under Black–Scholes Economy (RePEc:wsi:ijtafx:v:04:y:2001:i:05:n:s0219024901001267)
by H. Yang & T. K. Siu - Option Pricing For Garch Models With Markov Switching (RePEc:wsi:ijtafx:v:09:y:2006:i:06:n:s0219024906003846)
by Robert J. Elliott & Tak Kuen Siu & Leunglung Chan - A Comparison Of Pricing Kernels For Garch Option Pricing With Generalized Hyperbolic Distributions (RePEc:wsi:ijtafx:v:14:y:2011:i:05:n:s0219024911006401)
by Alexandru Badescu & Robert J. Elliott & Reg Kulperger & Jarkko Miettinen & Tak Kuen Siu - Attainable Contingent Claims In A Markovian Regime-Switching Market (RePEc:wsi:ijtafx:v:15:y:2012:i:08:n:s0219024912500550)
by Robert J. Elliott & Tak Kuen Siu - A Dupire Equation For A Regime-Switching Model (RePEc:wsi:ijtafx:v:18:y:2015:i:04:n:s0219024915500235)
by Robert J. Elliott & Leunglung Chan & Tak Kuen Siu - Hedging Options In A Doubly Markov-Modulated Financial Market Via Stochastic Flows (RePEc:wsi:ijtafx:v:22:y:2019:i:08:n:s021902491950047x)
by Tak Kuen Siu & Robert J. Elliott