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Risk measures for derivatives with Markov-modulated pure jump processes
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen - In: Asia-Pacific financial markets 13 (2006) 2, pp. 129-149
Persistent link: https://www.econbiz.de/10003496776
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Improving revenue management : a real option approach
Ching, Wai Ki; Li, Xun; Siu, Tak Kuen; Wu, Zhenyu - In: Innovative quick response programs in logistics and …, (pp. 122-139). 2010
Persistent link: https://www.econbiz.de/10003951779
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A mixture price trend model for long-term risk management
Fung, Eric S.; Ching, Wai Ki; Siu, Tak Kuen - In: Business intelligence in economic forecasting : …, (pp. 157-173). 2010
Persistent link: https://www.econbiz.de/10003994046
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Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
Lin, Xiang; Zhang, Chunhong; Siu, Tak Kuen - In: Mathematical methods of operations research 75 (2012) 1, pp. 83-100
Persistent link: https://www.econbiz.de/10009490707
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A functional Itô's calculus approach to convex risk measures with jump diffusion
Siu, Tak Kuen - In: European journal of operational research : EJOR 250 (2016) 3, pp. 874-883
Persistent link: https://www.econbiz.de/10011445346
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On the market-consistent valuation of fish farms : using the real option approach and salmon futures
Ewald, Christian-Oliver; Ouyang, Ruolan; Siu, Tak Kuen - In: American journal of agricultural economics 99 (2017) 1, pp. 207-224
Persistent link: https://www.econbiz.de/10011761182
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Robust reinsurance contracts with risk constraint
Wang, Ning; Siu, Tak Kuen - In: Scandinavian actuarial journal 2020 (2020) 5, pp. 419-453
Persistent link: https://www.econbiz.de/10012262748
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How correlation risk in basket credit derivatives might be priced and managed?
Zhu, Dong-Mei; Gu, Jia-wen; Yu, Feng-Hui; Ching, Wai Ki; … - In: IMA journal of management mathematics 32 (2021) 2, pp. 195-219
Persistent link: https://www.econbiz.de/10012434401
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Using the Hull and White two factor model in bank treasury risk management
Elliott, Robert J.; Hoek, John van der - In: Mathematical finance - Bachelier Congress, 2000 : …, (pp. 269-280). 2002
Persistent link: https://www.econbiz.de/10001679453
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Risk-hedging in real estate markets
Cadenillas, Abel; Elliott, Robert J.; Miao, Hong; Wu, Zhenyu - In: Asia-Pacific financial markets 16 (2009) 4, pp. 265-285
Persistent link: https://www.econbiz.de/10003933754