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Esscher transforms and consumption-based models
Badescu, Alex; Elliott, Robert J.; Siu, Tak Kuen - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 337-347
Persistent link: https://www.econbiz.de/10008332292
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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, pp. 1-25
Persistent link: https://www.econbiz.de/10010072038
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Bond valuation under a discrete-time regime-switching term-structure model and its continuous-time extension
Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alex - In: Managerial finance 37 (2011) 11, pp. 1025-1048
Persistent link: https://www.econbiz.de/10009330249
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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
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On pricing and hedging options in regime-switching models with feedback effect
Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alexandru - In: Journal of economic dynamics & control 35 (2011) 5, pp. 694-714
Persistent link: https://www.econbiz.de/10008877103
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Esscher transforms and consumption-based models
Badescu, Alex; Elliott, Robert J.; Siu, Tak Kuen - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 337-348
Persistent link: https://www.econbiz.de/10008890270
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Double dividend, dynamic Laffer effects and public abatement
Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alex - In: Economic modelling 27 (2010) 3, pp. 656-666
Persistent link: https://www.econbiz.de/10008389788
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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