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A PDE approach for risk measures for derivatives with regime switching

Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung - In: Annals of finance 4 (2008) 1, pp. 55-74

Persistent link: https://www.econbiz.de/10003589415

Option pricing when the regime-switching risk is priced

Siu, Tak Kuen; Yang, Hailiang; Lau, John W. - 2007

Persistent link: https://www.econbiz.de/10003647140

An IID test for functional time series with applications to high-frequency VIX index data

Huang, Xin; Shang, Han Lin; Siu, Tak Kuen - In: Risks : open access journal 13 (2025) 2, pp. 1-25

To address a key issue in functional time series analysis on testing the randomness of an observed series, we propose an IID test for functional time series by generalizing the Brock-Dechert-Scheinkman (BDS) test, which is commonly used for testing nonlinear independence. Similarly to the BDS...

Persistent link: https://www.econbiz.de/10015333723

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

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

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

Shen, Yang; Siu, Tak Kuen - In: Insurance 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 53 (2013) 3, pp. 712-721

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

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

A Dupire equation for a regime-switching model

Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-13

Persistent link: https://www.econbiz.de/10011403770

Asset pricing using trading volumes in a hidden regime-switching environment

Elliott, Robert J.; Siu, Tak Kuen - In: Asia-Pacific financial markets 22 (2015) 2, pp. 133-149

Persistent link: https://www.econbiz.de/10011377522