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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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Fair valuation of participating policies with surrender options and regime switching
Siu, Tak Kuen - In: Insurance / Mathematics & economics 37 (2005) 3, pp. 533-552
Persistent link: https://www.econbiz.de/10006874110
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Subjective risk measures: Bayesian predictive scenarios analysis
Siu, Tak Kuen; Yang, Hailiang - In: Insurance / Mathematics & economics 25 (1999) 2, pp. 157-170
Persistent link: https://www.econbiz.de/10006910268
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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
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Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
Elliott, Robert; Siu, Tak Kuen; Chan, Leunglung - In: Applied mathematical finance 14 (2007) 1, pp. 41-62
Persistent link: https://www.econbiz.de/10008222007
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A game theoretic approach to option valuation under Markovian regime-switching models
Siu, Tak Kuen - In: Insurance / Mathematics & economics 42 (2008) 3, pp. 1146-1158
Persistent link: https://www.econbiz.de/10008057637
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Optimal investment-reinsurance with dynamic risk constraint and regime switching
Liu, Jingzhen; Yiu, Ka-Fai Cedric; Siu, Tak Kuen; … - In: Scandinavian actuarial journal : Actuarial Society of … 2013 (2013) 4, pp. 263-285
Persistent link: https://www.econbiz.de/10010145769