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  • Search: person:"Siu, Tak Kuen"
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Year of publication
Subject
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Theorie 52 Theory 52 Markov chain 41 Option pricing theory 41 Optionspreistheorie 41 Markov-Kette 40 Stochastic process 33 Stochastischer Prozess 33 Portfolio selection 25 Portfolio-Management 25 Risiko 20 Risk 20 Volatility 13 Volatilität 13 Option trading 12 Optionsgeschäft 12 Derivat 11 Derivative 11 Esscher transform 11 Hedging 11 Regime-switching 11 Risikomanagement 10 Risk management 10 ARCH model 9 ARCH-Modell 9 Risikomaß 9 Risk measure 9 Credit risk 7 Dividend 7 Kreditrisiko 7 Risikomodell 7 Risk model 7 Time series analysis 7 Zeitreihenanalyse 7 Anleihe 6 Bond 6 CAPM 6 Dividende 6 HJB equation 6 Martingal 6
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Online availability
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Undetermined 79 Free 29 CC license 1
Type of publication
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Article 186 Book / Working Paper 17
Type of publication (narrower categories)
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Article in journal 95 Aufsatz in Zeitschrift 95 Aufsatz im Buch 3 Book section 3 Article 2 Arbeitspapier 1 Aufsatzsammlung 1 Festschrift 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
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Language
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English 115 Undetermined 88
Author
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Siu, Tak Kuen 175 Elliott, Robert J. 45 Shen, Yang 25 Siu, Tak-Kuen 21 Ching, Wai Ki 18 Yang, Hailiang 16 Ching, Wai-Ki 15 Lau, John W. 13 Badescu, Alex 11 Fung, Eric S. 11 Gu, Jia-Wen 10 Chan, Leunglung 9 Ewald, Christian-Oliver 8 Meng, Hui 8 Fan, Kun 7 Elliott, Robert 6 Huang, Ximin 6 Nawar, Roy 6 Ng, Michael K. 6 Wang, Ning 6 Wang, Rongming 6 Zhang, Xin 6 Zheng, Harry 6 Zhu, Dong-Mei 5 Badescu, Alexandru 4 Fard, Farzad Alavi 4 Fung, Eric 4 Gu, Jia-wen 4 Lam, Kin 4 Siu, Tak-kuen 4 Zhu, Jinxia 4 ELLIOTT, ROBERT J. 3 Feng, Yang 3 Li, Li-min 3 Liew, Chuin Ching 3 Liu, Jingzhen 3 Madan, Dilip B. 3 Ng, Michael 3 Ouyang, Ruolan 3 SIU, TAK KUEN 3
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Institution
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arXiv.org 3 Centre for Research into Industry, Enterprise, Finance and the Firm (CRIEFF), University of St. Andrews 1
Published in...
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Insurance / Mathematics & economics 15 Applied mathematical finance 14 Economic modelling 12 Insurance: Mathematics and Economics 12 Insurance 11 Computational economics 9 Applied Mathematical Finance 7 Economic Modelling 6 Annals of finance 5 IMA journal of management mathematics 5 International journal of theoretical and applied finance 5 Annals of operations research 4 Asia-Pacific financial markets 4 Quantitative Finance 4 European journal of operational research : EJOR 3 International Journal of Theoretical and Applied Finance (IJTAF) 3 International journal of production economics 3 Journal of economic dynamics & control 3 Operations research letters 3 Papers / arXiv.org 3 The journal of futures markets 3 Computational Economics 2 Energy economics 2 Insurance : mathematics and economics 2 Journal of Risk and Financial Management 2 Managerial finance 2 Mathematical methods of operations research 2 Quantitative finance 2 Risk and decision analysis 2 Risks : open access journal 2 Scandinavian actuarial journal 2 Scandinavian actuarial journal : Actuarial Society of Finland ; Norwegian Society of Actuaries ; Swedish Society of Actuaries 2 The journal of credit risk : published quarterly by Incisive Media 2 ASTIN bulletin : the journal of the International Actuarial Association 1 Advances in statistics, probability and actuarial science 1 American journal of agricultural economics 1 Annals of Finance 1 Applied Stochastic Models in Business and Industry 1 Applied economics 1 Business intelligence in economic forecasting : technologies and techniques 1
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Source
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ECONIS (ZBW) 111 RePEc 47 OLC EcoSci 42 EconStor 2 Other ZBW resources 1
Showing 1 - 10 of 203
Cover Image
An IID test for functional time series with applications to high-frequency VIX index data
Huang, Xin; Shang, Han Lin; Siu, Tak Kuen - In: Risks : open access journal 13 (2025) 2, pp. 1-25
To address a key issue in functional time series analysis on testing the randomness of an observed series, we propose an IID test for functional time series by generalizing the Brock-Dechert-Scheinkman (BDS) test, which is commonly used for testing nonlinear independence. Similarly to the BDS...
Persistent link: https://www.econbiz.de/10015333723
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Market consistent valuation for Bitcoin options with long memory in conditional volatility and conditional non-normality
Siu, Tak Kuen - In: The journal of futures markets 45 (2025) 8, pp. 917-945
Persistent link: https://www.econbiz.de/10015464870
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Semi-Markov-modulated exponential-affine bond prices
Siu, Tak Kuen; Elliott, Robert J. - In: Quantitative finance 25 (2025) 11, pp. 1813-1829
Persistent link: https://www.econbiz.de/10015555024
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Life-cycle planning with CEV model and time-inconsistent preferences
Wang, Hao; Hu, Shujie; Siu, Tak Kuen; Wang, Rongming; … - In: International review of economics & finance : IREF 96 (2024) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10015203035
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Investment-consumption optimization with transaction cost and learning about return predictability
Wang, Ning; Siu, Tak Kuen - In: European journal of operational research : EJOR 318 (2024) 3, pp. 877-891
Persistent link: https://www.econbiz.de/10015048184
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Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.; Siu, Tak Kuen - In: The journal of futures markets 43 (2023) 7, pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
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Bayesian nonlinear expectation for time series modelling and its application to Bitcoin
Siu, Tak Kuen - In: Empirical economics : a quarterly journal of the … 64 (2023) 1, pp. 505-537
Persistent link: https://www.econbiz.de/10014226298
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How might model uncertainty and transaction costs impact retained earning & dividend strategies? : an examination through a classical insurance risk model
Feng, Yang; Siu, Tak Kuen; Zhu, Jinxia - In: Insurance : mathematics and economics 120 (2025), pp. 131-158
Persistent link: https://www.econbiz.de/10015431893
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Pareto-optimal risk exchange in a continuous-time economy : application to target benefit pension
Tao, Cheng; Shen, Yang; Siu, Tak Kuen - In: ASTIN bulletin : the journal of the International … 55 (2025) 3, pp. 615-643
Persistent link: https://www.econbiz.de/10015550241
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Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting
Wang, Yike; Liu, Jingzhen; Siu, Tak Kuen - In: Finance and stochastics 28 (2024) 1, pp. 161-214
Persistent link: https://www.econbiz.de/10014447662
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