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Markov Chains : Models, Algorithms and Applications

Ching, Wai Ki - 2013 - 2nd ed. 2013

Introduction -- Manufacturing and Re-manufacturing Systems -- A Hidden Markov Model for Customer Classification -- Markov Decision Processes for Customer Lifetime Value -- Higher-order Markov Chains -- Multivariate Markov Chains -- Hidden Markov Chains

Persistent link: https://www.econbiz.de/10014016579

An improved multivariate Markov chain model for credit risk

Ching, Wai Ki; Siu, Tak Kuen; Li, Li-min; Jiang, Hao; … - In: The journal of credit risk : published quarterly by … 5 (2009/10) 4, pp. 83-106

Persistent link: https://www.econbiz.de/10003927496

Modeling default data via an interactive hidden Markov model

Ching, Wai Ki; Siu, Tak Kuen; Li, Li-min; Li, Tang; Li, … - In: Computational economics 34 (2009) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10003876947

A higher-order interactive hidden Markov model and its applications

Zhu, Dong-Mei; Ching, Wai Ki; Elliott, Robert J.; Siu, … - In: OR spectrum : quantitative approaches in management 39 (2017) 4, pp. 1055-1069

Persistent link: https://www.econbiz.de/10011777086

Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model

Zhu, Dong-Mei; Lu, Jiejun; Ching, Wai Ki; Siu, Tak Kuen - In: Economic modelling 66 (2017), pp. 223-232

Persistent link: https://www.econbiz.de/10011813727

Option pricing under a stochastic interest rate and volatility model with hidden Markovian regime-switching

Zhu, Dong-Mei; Lu, Jiejun; Ching, Wai Ki; Siu, Tak Kuen - In: Computational economics 53 (2019) 2, pp. 555-586

Persistent link: https://www.econbiz.de/10012134818

European option pricing with market frictions, regime switches and model uncertainty

Siu, Tak Kuen - In: Insurance / Mathematics & economics 113 (2023), pp. 233-250

Persistent link: https://www.econbiz.de/10014466214

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

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. 1025-1047

Persistent link: https://www.econbiz.de/10009388893

Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model

Shen, Yang; Siu, Tak Kuen - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 757-768

Persistent link: https://www.econbiz.de/10010227881