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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
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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
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Trading strategy with stochastic volatility in a limit order book market
Yang, Qing-Qing; Ching, Wai Ki; Gu, Jiawen; Siu, Tak Kuen - In: Decisions in economics and finance : a journal of … 43 (2020) 1, pp. 277-301
Persistent link: https://www.econbiz.de/10012285400
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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
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Optimal payout strategies when Bruno de Finetti meets model uncertainty
Feng, Yang; Siu, Tak Kuen; Zhu, Jinxia - In: Insurance : mathematics and economics 116 (2024), pp. 148-164
Persistent link: https://www.econbiz.de/10015066799
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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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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
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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
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Minimal variance hedging of natural gas derivatives in exponential Lévy models : theory and empirical performance
Ewald, Christian-Olivier; Nawar, Roy; Siu, Tak Kuen - In: Energy economics 36 (2013), pp. 97-107
Persistent link: https://www.econbiz.de/10009724764
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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