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Viterbi-based estimation for Markov switching GARCH model
Elliott, Robert J.; Lau, John W.; Miao, Hong; Siu, Tak Kuen - In: Applied mathematical finance 19 (2012) 3/4, pp. 219-231
Persistent link: https://www.econbiz.de/10009710984
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Option valuation with a discrete-time double Markovian regime-switching model
Siu, Tak Kuen; Fung, Eric S.; Ng, Michael K. - In: Applied mathematical finance 18 (2011) 5/6, pp. 473-490
Persistent link: https://www.econbiz.de/10009422572
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Option pricing and filtering with hidden Markov-modulated pure-jump processes
Elliott, Robert J.; Siu, Tak Kuen - In: Applied mathematical finance 20 (2013) 1/2, pp. 1-25
Persistent link: https://www.econbiz.de/10009737182
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On Markov-modulated exponential-affine bond price formulae
Elliott, Robert J.; Siu, Tak Kuen - In: Applied mathematical finance 16 (2009) 1/2, pp. 1-15
Persistent link: https://www.econbiz.de/10003847135
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Pricing volatility swaps under Heston's stochastic volatility model with regime switching
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung - In: Applied mathematical finance 14 (2007) 1, pp. 41-62
Persistent link: https://www.econbiz.de/10003542938
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Viterbi-Based Estimation for Markov Switching GARCH Model
Elliott, Robert J.; Lau, John W.; Miao, Hong; Kuen Siu, Tak - In: Applied mathematical finance 19 (2012) 3, pp. 219-232
Persistent link: https://www.econbiz.de/10009983142
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Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model
Siu, Tak Kuen; Fung, Eric S.; Ng, Michael K. - In: Applied mathematical finance 18 (2011) 6, pp. 473-491
Persistent link: https://www.econbiz.de/10009798784
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On Markov-modulated Exponential-affine Bond Price Formulae
Elliott, Robert; Siu, Tak Kuen - In: Applied mathematical finance 16 (2009) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10008211952
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A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach
Woo, Wing Hoe; Siu, Tak Kuen - In: Applied mathematical finance 11 (2004) 2, pp. 165
Persistent link: https://www.econbiz.de/10008214708
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A PDE approach to risk measures of derivatives
Siu, Tak Kuen; Yang, Hailiang - In: Applied mathematical finance 7 (2000) 3, pp. 211
Persistent link: https://www.econbiz.de/10008217266