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~isPartOf:"American journal of agricultural economics"
~isPartOf:"Annals of operations research"
~isPartOf:"IMA journal of management mathematics"
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How correlation risk in basket credit derivatives might be priced and managed?
Zhu, Dong-Mei
;
Gu, Jia-wen
;
Yu, Feng-Hui
;
Ching, Wai Ki
; …
- In:
IMA journal of management mathematics
32
(
2021
)
2
,
pp. 195-219
Persistent link: https://www.econbiz.de/10012434401
Saved in:
2
Pricing dynamic fund protection under hidden Markov models
Fan, Kun
;
Shen, Yang
;
Siu, Tak Kuen
;
Wang, Rongming
- In:
IMA journal of management mathematics
29
(
2018
)
1
,
pp. 99-117
Persistent link: https://www.econbiz.de/10011858973
Saved in:
3
On the market-consistent valuation of fish farms : using the real option approach and salmon futures
Ewald, Christian-Oliver
;
Ouyang, Ruolan
;
Siu, Tak Kuen
- In:
American journal of agricultural economics
99
(
2017
)
1
,
pp. 207-224
Persistent link: https://www.econbiz.de/10011761182
Saved in:
4
Optimal investment and consumption in a continuous-time co-integration model
Shen, Yang
;
Siu, Tak Kuen
- In:
IMA journal of management mathematics
28
(
2017
)
4
,
pp. 501-530
Persistent link: https://www.econbiz.de/10011845245
Saved in:
5
Capital requirements and optimal investment with solvency probability constraints
Asimit, Alexandru V.
;
Badescu, Alexandru M.
;
Siu, Tak Kuen
- In:
IMA journal of management mathematics
26
(
2015
)
4
,
pp. 345-375
Persistent link: https://www.econbiz.de/10011515664
Saved in:
6
Markovian regime-switching market completion using additional Markov jump assets
Zhang, Xin
;
Elliott, Robert J.
;
Siu, Tak Kuen
;
Guo, Junyi
- In:
IMA journal of management mathematics
23
(
2012
)
3
,
pp. 283-305
Persistent link: https://www.econbiz.de/10009572468
Saved in:
7
A BSDE approach to risk-based asset allocation of pension funds with regime switching
Siu, Tak Kuen
-
2012
Persistent link: https://www.econbiz.de/10009710207
Saved in:
8
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
Elliott, Robert J.
;
Siu, Tak Kuen
-
2010
Persistent link: https://www.econbiz.de/10003964890
Saved in:
9
A BSDE approach to risk-based asset allocation of pension funds with regime switching
Siu, Tak Kuen
-
2012
Persistent link: https://www.econbiz.de/10010047423
Saved in:
10
Moment calculations for piecewise-defined functions: an application to stochastic optimization with coherent risk measures
Elliott, Robert J.
;
Siu, Tak Kuen
-
2010
Persistent link: https://www.econbiz.de/10008393895
Saved in:
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