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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

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

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

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

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

Pricing participating products with Markov-modulated jump-diffusion process : an efficient numerical PIDE approach

Fard, Farzad Alavi; Siu, Tak Kuen - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 712-721

Persistent link: https://www.econbiz.de/10010227894

Pricing and managing risks of European-style options in a Markovian regime-switching binomial model

Fard, Farzad Alavi; Siu, Tak Kuen - In: Annals of finance 9 (2013) 3, pp. 421-438

Persistent link: https://www.econbiz.de/10009776434

Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching

Shen, Yang; Siu, Tak Kuen - In: Operations research letters 41 (2013) 2, pp. 180-187

Persistent link: https://www.econbiz.de/10009727702

A decomposition method for optimal portfolios with regime-switching and risk constraint

Liu, Jingzhen; Yiu, Ka-fai Cedric; Siu, Tak Kuen - In: Risk and decision analysis 3 (2012) 4, pp. 269-276

Persistent link: https://www.econbiz.de/10009704597